Big Ticks and Small Ticks in Equity Microstructure

· Dean · Aug. 23, 2026, 1:52 p.m.
Python quant equity Microstructure Python polars Data Parsing Equity Microstructure
Summary
This blog post provides a guide on parsing limit order book data using Python and Polars, with insights into different microstructure metrics and the distinctions between big-tick and small-tick equity trading.
Read full post on dm13450.github.io →
AUTHOR
Advertise
Sponsor diff.blog
Put your product in front of developers who read and write about their craft. One exclusive sponsor at a time.
Become a sponsor →