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nycdweller

Tick Charts with Volume?

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Almost all of the information I've seen about using volume while daytrading is on interval charts (second or minute charts). I recently discovered that I can add volume to my tick charts. Is there a difference in the way volume is presented with interval charts verses tick charts? Is volume on a tick chart just as accurate as it would be on an interval chart? Thanks.

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Hi

 

I use tickcharts with volume, the volume is exactly the same as with timebased intervals, atleast in MultiCharts.

 

As you probably allready know.. A tick is a trade with some volume, so 15tick would accumulate 15 trades volume.

 

I timebased interval could actually sometimes be splitted into 2 bars, for instance if a trade is initiated milliseconds before the interval has reached it endpoint in time, then the next bar would start with the leftovers from previous trade info.

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I believe that each tick represents a price. At a given tick there can be any amount of trades at that price. When sales move to a new price tick, then volume or trades begin counting again. Example 512 tick chart volume will show the sum of 512 individual price volumes.

For a one minute chart it is just the total of the trades at any price in that time period. At given intervals or light trading, there should be times when the volume is not exactly the same on the different type bars. For example if the price of trading stayed at one price for 5 minutes, and volume was light; you would only get one tick bar, but 5 one minute bars. The one tick may have 50 for volume and the minute bars should divide up the 50 according to the time traded.

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Thats not quite right EJ :). Each tick represents a transaction. So a 150 tick chart will have 150 transactions a bar. There is nothing stopping you adding a volume histogram to a tick chart.

 

Using the same 150 tick chart example, if you add a volume histogram it will show volume for each group (bar) of 150 transactions. This tends to give a fairly flat volume histogram as usually higher volume is accompanied by more transactions causing more bars.

 

An interesting study is constant volume bars with a time histogram representing how long it took the volume bar to form.

 

As always it depends on what you are trying to achieve.

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This is a most interesting subject. I did some research when investigating tick spike filters. Investigating what parameters do the exchanges use to filter valid trade range. For example what was the high and low of the day, if there was a way out market order filled? This effects my technicals.

 

Here is a link on the subject of what is a tick and how is volume measured. It also covers constant volume charts.

http://www.tradingmarkets.com/.site/eminis/how_to/articles/-75249.cfm

Here is the essence of my point, pasted from the article.

Tick charts" form price bars by measurement of price changes rather than size of trades executed. In other words, if the ER2 price moves from 700.00 to 700.10 to 700.20 to 700.10, that would be four ticks in formation of a chart bar. If the tick chart setting is "500" per bar, it would obviously take some 500 price changes to complete each bar on that specific chart. Within that series of five hundred price changes would be an unknown quantity of volume. Some tick chart bars would have more or fewer actual contracts / shares represented than other similar bars elsewhere on the chart.

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Just to re-iterate it does not need price changes to form bars it just needs a trade/transaction to record a tick. You could get 500 trades at the same price and that would cause a new 500 tick bar. If the article says different it is wrong! OK Just checked and it is wrong. It's by Austin Passamonte too he should know better :D To be clear 700.00 700.00 700.00 will cause 3 ticks too. It is nothing to do with price change.

 

Constant range charts require price changes..thats a whole other ballgame. :)

Edited by BlowFish

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As I read articles trying to isolate the working definitions; I find the idea that a tick is just a single lot transaction, and can vary in share size. Also I find the idea that a tick has to do with a change in price, and volume is measured as how many shares were traded at that price.

It is amazing for me to consider that a single (share) trader of the DIA could be counted as one tick, but I am learning.

Perhaps this is the source of the confusion. The link below gives the business definition of a tick as the change in price. Perhaps it is not the same for charting.

http://www.allbusiness.com/glossaries/tick/4942617-1.html

 

My pracitical interest is in the difference in quote feed charts. There can be major differences in the bars, or highs or lows. Is it junk data, way out fills and spikes, or different parameters for what makes a valid tick? Even backfill historical data can look different then when it was first given live. Even for drawing fibonacci retracements, I need to know where a good top and bottom are. Anyhow glad for the discussion, ideas, and hope others join.

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EJ-> You're wrong, a tick has nothing to do with price change. I think the authors of your references have misunderstood the definition of a tick.

A tick is a trade/ transaction, and a price move could be/ is called uptick or downtick.

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Hi

 

I use tickcharts with volume, the volume is exactly the same as with timebased intervals, atleast in MultiCharts.

 

As you probably allready know.. A tick is a trade with some volume, so 15tick would accumulate 15 trades volume.

 

-------------------------------------------------------------------------

 

I agree that I am repeating possibly erronous sources. I do want to make sure I understand what you two are saying. So a tick is a trade with volume. How much? Is one stock share traded a tick? Or if I get filled an order of 100 shares is that a tick? I ask because all bars would have the same volume if 1 share is one tick.

I still can not see how a tick chart can have exact volume measurements as a time chart in light trading. Lets say there are 50 trades made the first minute, then only 3 for 3 minutes. There will be one tick bar, volume 50, and 4 time bars with different volume: not the same.

I am happy to learn, I just want to come away with something that makes sense and was worth the the time of all involved. And the guidance is appreciated.:)

ps- I want to sort this out, as I want to understand what exchanges use as spike filters. Does a tick need a certian amount of volume to be valid; if it is a way out tick?

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Hi Eric

 

I tick can consists of endless volume so to speak :) Please take a look a the attached screenshot, here you can see Date, Time, Price and Volume which are the attributes for a tick. A tick only displays the buy/ sell -order, not the fillers ;)

 

A tickchart does have volume bars a for instance a timebased chart has, for instance a 5min timebased chart accumulates all the volume traded within those 5 min, it's the same way a 250tick accumulates, but it accumulates the traded volume within 250 tick instead of 5 min.

 

I think the biggest difference between tick and timebased charts is that timebased moves along the x-axis without any or minor volume/ trades, and a tickbased chart only moves when there is action going on :)

 

The spike filters could be nice to have, I don't know which data providers that can handle such, but I believe that some tradingplatforms has spike filtering built-in.

 

I'm happy to explain :D

tickexport.png.faf27778a40410fdef9c947451544e11.png

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Hello, sounds like a useful explanation. I guess my question now is, for your model, is it a change of traders (making a trade) producing the new tick? I suppose few people get this specific, due to the lack of descriptive links on the web.

This was a spin off of trying to find a quality quote feed. My friend believed many were manipulated. I was moving toward verifying charts integrity with the tick record, or disqualify a feed source. I just need to have a clear working knowledge of how the exchanges are handing or filtering the data. Even the selection of the official opening tick of a session , when there may be thousands of orders in cue (at a range of prices); effects my technicals. Anyhow, at least there are helpful people who see the value of clarity.

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I myself is a big believer of clarity.

 

Actually when I sits here thinking about it, I'm a bit unsure if it still counts as only one tick when the order is splitted between many fillers. I'll look into that and post my research here.

 

I guess some of the more "commercial" data providers has a lack of seriousness for ticks. Commercial data providers could be I've knowledge of some providers who actually aggregates the tick in terms of consolidating their historical data storage, but I don't think the ticks is manipulated with a bad intention for the clients.

 

Take a look at http://www.chi-x.com/ , they cover Europe, I don't know if there exists any like in USA. The exchanges seems be less controlled, well just a feeling.

 

I use eSignal, only as a data provider, for the OMX Nordic. I could try to compare the ticks recieved from eSignal contra the ticks I recieve from my broker.

 

Interesting issues you've brought op :D

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You essentially get a tick for each trade there will be volume associated with that trade. Some exchanges might aggregate trades in heavy markets. I don't think most exchanges filter high volume ticks. In theory there should be no 'bad ticks'. If you have a fat fingered trader somewhere you might get a trade for 10,000 lots rather than 10.:) You do get busted trades occasionally if a fat finger trade goes off spiking well outside the 'normal' market (causing lots of stops and limits to be filled).

 

You also get block trades on most exchanges (Globex and Eurex for sure). These are large trades negotiated outside the auction process. They will be reported as a single trade (tick).

 

You can find out details of order matching & preferencing, reporting, general rules regulations etc. at the exchanges web site. There are small differences exchange to exchange.

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I just read through the thread and it seems to me that part of the confusion regarding the definition of a "tick" is that the industry applies the in 2 ways. It is used to define a single transaction and this is the basis of tick charts as we know them. But it is also used in conjunction with a change in price (i.e., uptick/downtick) which is a essentially a transaction at the next higher or lower price. So much for varied terminologies.

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I am pretty confused here also... If a tick = 1 transaction and say you have 512 tick chart, it would take 512 transactions before the close of the bar. Wouldn't volume on a tick chart all be the same since volume counts the number of transactions that are made?

 

:doh::confused:

 

Found the answer to my question...

 

http://www.mypivots.com/articles/articles.aspx?artnum=7

 

Ticks: A tick is a single trade irrespective of size. A tick chart builds each bar based on a certain number of ticks per bar. A 233 tick chart will create a new bar after every 233 trades have gone through.

Edited by DaKine

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Volume does not count the number of transactoins. Volume counter the number of shares/contracts traded. So, for example, one ES transaction could be composed of 5 contracts traded. Thus there would be 1 tick unit and 5 volume units occurring in this example.

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