Edit: tick data is usually collected over time, because data sources have different characteristics, and you should be testing over the same realtime data that

Edit: tick data is usually collected over time, because data sources have different characteristics, and you should be testing over the same realtime data that you'll be using to trade live. You need to know the bid/ask prices and volumes, in order to know where to place limit orders. Otherwise you are just paying commissions and spreads to brokers and market makers.