By Mick Hittesdorf, OneTick Senior Cloud Architect
In the fast-paced world of financial technology, the sheer volume and velocity of market data can feel overwhelming. Many firms are still wrestling with legacy systems and outdated infrastructure that simply wasn’t built for the scale and agility demanded by today’s high-volume and high-velocity markets.
At OneTick, our deliberate, forward-looking approach with OneTick Cloud is about solving these challenges head-on, particularly when it comes to extracting value from the vast ocean of historical tick data.
The Enduring Value of Historical Tick Data
Tick data provides the most granular view into market activity, detailing every trade, quote, and order book event. This historical record is invaluable.
Whether you're a quant developing alpha-generating strategies, a risk manager fine-tuning models, or a compliance officer conducting in-depth investigations and backtesting, access to decades of high-quality historical data is non-negotiable. Our customers leverage this data for:
- Alpha research and signal testing
- Transaction Cost Analysis (TCA)
- Surveillance for market abuse
- Algo design and strategy back-testing
- Liquidity analytics across fragmented markets
The problem is, this critical data often remains trapped inside outdated databases, siloed storage, or slow analytics stacks, hindering firm-wide insights.
SQL: Your Gateway to Deep Insights
OneTick Cloud makes tick analytics cloud-native, real-time, scalable, and developer-friendly, without compromising on performance or accuracy. A key aspect of this modernization is providing flexible and powerful access to historical data through Interactive SQL.
SQL access to data assets is broadly supported through various interfaces, including:
- The OneTick Cloud dashboard
- The REST API
- Python API (with both Directed Graph and Pandas style APIs)
- ODBC & JDBC Drivers
- And the OneTick desktop tools
This comprehensive access allows users to query market data assets available in OneTick Cloud via SQL. Users can start with example queries provided, which cover both data retrieval and time series analytics, or write their own SQL queries to retrieve relevant data. The types of data and analytics accessible via SQL include, but are not limited to:
- Core Data Assets and Symbol Universe
- Reference Data & Enumerations
- Futures Continuous Contracts and Corporate Actions History
- L1 Tick Data, Trade and Quote Bars, and Book Depth
- Calculations such as EBBO (European Best Bid and Offer)
- Latest Prices and Point in Time with Offsets
- Market Replay functionality
- And Period Quote & Trade Statistics
Unlike traditional relational databases, OneTick is built around a proprietary time-series database and streaming analytics engine specialized for financial data. It understands the nuances of trading, quoting, and order book processing natively. This platform offers a highly flexible query language based on a graph paradigm that is significantly more powerful than the conventional relational model, enabling you to:
- Efficiently handle massive volumes of data.
- Execute complex queries, including streaming queries, against many data sources simultaneously.
- Seamlessly merge and join real-time and historical data streams.
This means you can write straightforward SQL queries to delve into years of tick data, uncovering patterns and insights that would be cumbersome, if not impossible, with legacy tools.
Unleashing Performance and Scale
To truly harness historical tick data, performance and scalability are paramount. OneTick is designed from the ground up to be the fastest and most advanced tick analytics platform, with:
- A multi-threaded 64-bit server architecture.
- No limitations on data volumes, peak rates, or length of stored history.
- The ability to handle global market data exceeding 10 billion messages per day.
- Bulk processing rates of over 10 million ticks per second, per core.
This robust architecture ensures that your SQL queries against historical data are executed with unparalleled speed, allowing you to iterate on research and analysis quickly.
Beyond Raw Data: Clean and Contextualized
As I've often said, "garbage in, garbage out." Capital markets data is particularly unforgiving. Without clean, contextualized data, your analytics projects will falter.
OneTick's foundational work solves these hard problems of market data infrastructure, normalizing across asset classes, handling corporate actions, and maintaining nanosecond precision across time zones.
The system also implements dynamic data QA and sanity checks at various stages, ensuring data quality and completeness before analytics are performed. These data quality checks can be applied at collection, loading, and even in parallel with alert generation, with issues flagged similar to compliance risks.
Cloud-Native Advantages and Open Formats
Running SQL analytics against historical tick data in the cloud brings significant benefits:
- Elasticity: Burst compute power during peak demand without overprovisioning.
- Accessibility: Global teams can securely collaborate, querying the same data with consistent results.
- Fully managed cloud storage: Eliminates the need for local hardware, data collection, and maintenance.
Furthermore, OneTick embraces open data formats like Apache Parquet as a native format for its archives. OneTick is also converting all its data in OneTick Cloud to Parquet to facilitate easier data sharing with customers.
This commitment to open, scalable, and future-proof data formats is crucial for modern data platforms, driving portability and efficiency in your data strategy.
Beyond Parquet, Apache Iceberg will soon be supported in OneTick Cloud as a transactional and metadata management layer, suitable for a full range of analytics and operational use cases that require change data capture strategies.
The Path Forward
Modernizing tick analytics is a strategic transformation. It frees quants, compliance officers, and dev teams from the burden of "plumbing" to focus on innovation. With OneTick Cloud, you gain a unified platform that delivers powerful, accessible SQL analytics against historical tick data, empowering your firm with the performance and flexibility needed to stay ahead in evolving markets.
If you're still grappling with fragmented, siloed data and outdated infrastructure for your historical analytics, it’s time for a change. Let's talk about how OneTick Cloud can simplify your journey to deeper insights. Sign up for a free demo today.
— Mick Hittesdorf, OneTick Senior Cloud Architect
