El blog Algo Trading India -hallazgo del último trimestre del año- tiene un excelente post explicando lo que es Tick Data y como filtrarla.
Financial markets are the absolute core source of high frequency data. The global financial markets produce millions or trillion of data per day. Those data can be quotes, transaction prices, transaction volume, transaction time and other information like counterparties of the transaction etc. Man names each logical unit of high frequency data a “tick”. In most centralized markets like stock exchanges, especially those electronically traded ones, transaction data are electronically recorded by the exchange and directly provided to interested parties (like NSE and MCX). Those data contain detailed information about the transaction and are more consistent. In decentralized markets (over-the-counter, OTC markets) for example foreign exchange market, where globally 24 hours traded, transaction data are not recorded by a central institution. There is no comprehensive data source. Data vendors like Reuters capture the transaction data from the global market and fed their customers with those data in real time. Data vendors also provide tools to structure customized data sets
Por último les dejo un link de al Historical Data Feed de Dukascop donde hay Tick Data!