Beyond daily and minute K-line, tick-by-trade data carries the most micro-economic information: per-trade time, price, volume, and direction. This post covers A-share tick structure, active buy/sell inference, and typical applications.
A-share tick records typically contain:
- time — matching time (millisecond precision)
- price — trade price
- volume — trade volume
- side — buy/sell flag (some sources omit, need inference)
- order_no / trade_no — order/trade IDs (for linking to order book)
When the source doesn't provide side (many A-share tick feeds have side=0), use the classic Lee-Ready (1991) algorithm:
Lee-Ready isn't 100% accurate but is statistically robust at scale.
| Category | Size range (shares) |
|---|---|
| Retail | < 4,000 |
| Medium | 4,000 - 20,000 |
| Large | 20,000 - 100,000 |
| Super-large | ≥ 100,000 |
Thresholds adjust by stock price (high-price stocks have lower thresholds). The "main capital flow" indicator is essentially "large + super-large net inflow minus outflow."
Data consistency is critical — all signals (backtest + live) should use the same tick feed.