A couple years ago, I started getting into quant trading beginning with daily resolution data and eventually moving to minute resolution data. I started my search for data on this forum and eventually found a great vendor for minute resolution data (QuantQuote for those interested).
Now that my strategies are showing success and I've been able to move up to exchange colocation, I'm interested in developing even faster algorithms. I notice that a number of vendors are offering full tick resolution data. However, full tick resolution is super expensive and huge in terms of storage (at least 10TB for 5-6 years based on NYSE TAQ). I'm wondering why nobody offers second resolution data. It is a huge improvement over minute resolution data, the datasize is reasonable (<1TB compressed, extrapolating from minute resolution data), yet I can't find a single vendor that offers data in this resolution. Has anybody here done model development using second resolution data?
Now that my strategies are showing success and I've been able to move up to exchange colocation, I'm interested in developing even faster algorithms. I notice that a number of vendors are offering full tick resolution data. However, full tick resolution is super expensive and huge in terms of storage (at least 10TB for 5-6 years based on NYSE TAQ). I'm wondering why nobody offers second resolution data. It is a huge improvement over minute resolution data, the datasize is reasonable (<1TB compressed, extrapolating from minute resolution data), yet I can't find a single vendor that offers data in this resolution. Has anybody here done model development using second resolution data?
