Volume Bar Chart Question

[ptcman 10]

Hi.

 

I've been watching volume bar charts and I have a better view of price swings with this type of charts. My question though is about up and down ticks when using volume bar charts.

 

If trading a 500 volume bar chart and measure the up and down ticks of each bar, lets say, 300 up ticks and 200 down ticks, indicates of the 500 contracts (volume) traded, 300 made prices tick upwards and 200 made prices tick downwards.

 

Is this reading correct? I don't know why but this sounds a bit strange.

 

Regards.

[Tams 20]

Hi.

 

I've been watching volume bar charts and I have a better view of price swings with this type of charts. My question though is about up and down ticks when using volume bar charts.

 

If trading a 500 volume bar chart and measure the up and down ticks of each bar, lets say, 300 up ticks and 200 down ticks, indicates of the 500 contracts (volume) traded, 300 made prices tick upwards and 200 made prices tick downwards.

 

Is this reading correct? I don't know why but this sounds a bit strange.

 

Regards.

 

why do you want to be concerned with up ticks and down ticks?

 

who is your broker?

what is your charting program?

 

I ask, because up tick and down tick have different meaning (definition) to different people (program).

[ptcman 10]

why do you want to be concerned with up ticks and down ticks?

 

who is your broker?

what is your charting program?

 

I ask, because up tick and down tick have different meaning (definition) to different people (program).

 

Hi TAMS.

 

I don't receive my data through my broker (IB). I use eSignal for data, and Multicharts has my trading/chart platform.

 

My idea for up and down ticks is to "know", within a bar" which side won, buyers or sellers? Sometimes, a bar closes at the high, but down ticks are higher than up ticks.

[Tams 20]

Hi TAMS.

 

I don't receive my data through my broker (IB). I use eSignal for data, and Multicharts has my trading/chart platform.

 

My idea for up and down ticks is to "know", within a bar" which side won, buyers or sellers? Sometimes, a bar closes at the high, but down ticks are higher than up ticks.

 

are you looking for up tick / down tick? or up volume / down volume?

 

 

just want to make sure you understand,

most of the datafeed are aggregated.

 

eg. IB sends its quotes out every 250~300 millisecond.

 

if there are 3 trades (ie it should be 3 ticks) during a 300 ms time lapse,

you might only get 1 tick reported from IB.

[ptcman 10]

Like I said TAMS, I receive my data through eSignal, not IB. Because of that lag IB has on retrieving quotes (especially volume) I was forced to subscribe eSignal data service.

 

Yes, there is that question of up/down volume and up/down ticks which I continue to have some troubles understanding.

 

I have a couple of indicators in Multicharts where, for example, if bartype => 2 volume is used for calculations, but if bartype < 2 then ticks is used.

 

My view is that for a better volume reading when using minute or seconds charts, ticks are more reliable.

 

My question is if when I'm using up or down ticks am I using volume or the trade count? That's why I'm getting second thoughts when applying the up and down tick to bar volume charts, because a 500 volume bar chart, indicates that during that bar, 500 contracts were traded. So when I request the up and down tick for that bar and receive 300 up ticks and 200 down ticks, what am I receiving?

 

I can see that every time price move up it counts has 1 up tick and every time it moves down it count has 1 down tick, I have a countdown that does that, but since we are looking at a 500 volume bar chart, are those 300 contracts indicating they were traded upwards and those 200 contracts indicating they were traded downwards, since 1 tick equals 1 trade, which equals 1 contract?

 

Damn, why such a simple thing becomes so hard to understand?

[Tams 20]

...

 

Damn, why such a simple thing becomes so hard to understand?

 

... and I haven't even got to the legacy problem yet.

[Tams 20]

when you create your chart,

from the format instrument window,

under the settings tab,

you have an option to choose "Build Volume On:"

 

1. Trade Volume

2. Tick Count

[Tams 20]

get the ebook

EasyLanguage Essentials Programmers Guide

 

go to

 

Appendix A

Volume Reserved Words Usage Tables.... pg. 133

 

read up on the difference between TICKS and VOLUME

[Tams 20]

Like I said TAMS, I receive my data through eSignal, not IB. Because of that lag IB has on retrieving quotes (especially volume) I was forced to subscribe eSignal data service.

...

 

eSignal aggregates its quotes as well. It is in the small print of the user aggreement.

[Tams 20]

...

Yes, there is that question of up/down volume and up/down ticks which I continue to have some troubles understanding.

 

I have a couple of indicators in Multicharts where, for example, if bartype => 2 volume is used for calculations, but if bartype < 2 then ticks is used.

...

 

ONE tick is ONE transaction.

 

ONE transaction may consists of many contracts/share.

 

eg. one person might buy 100 shares of IBM... that's one tick on the record.

another person might buy 10,000 shares of IBM... that's also one tick on the record.

 

when the data feed is aggregated,

when 3 people buying 100 shares each might show up as 3 ticks of 100 shares, or 1 tick of 300 shares.

[raul 10]

If I understand correctly, you are using price bars that are defined by contract size. I used 10,000 contracts on the ES before, once 10,000 contracts are traded, another bar prints. It is still the price action that you want to look at because that's the result of buying and selling. I hope that wasn't a useless answer.

[uexkuell 10]

... I receive my data through eSignal, not IB. Because of that lag IB has on retrieving quotes (especially volume) I was forced to subscribe eSignal data service.

 

Never heard or have seen such a lag.

 

IB feed is much better than people think.

Usually it shows no lag even in high volatility times.

 

Btw the often read commonplace that IB sends one quote 3-4 times every second is not true.

Actually the feed adapts to market action and can send data much more frequently.

Everyone who cares to write a program to interface directly to their API can see this.

Surely IB is not suited for bid/ask studies. (But then their use is disputable.)

 

(I am not affiliated with IB and see many things on their platform quite critical.

This post is only to allow you to save money)

[ptcman 10]

Hi.

 

Accordingly to eSignal, they do not aggregate their data. All are sent in real time. I cannot prove this of course, but I can say that their data (tick/volume) can have at times huge disparities when compared with IB's data. I mean huge disparities....

For example, using tick count on Multicharts (Built Volume On) and applying the Ticks reserved word on a 500 contract bar chart, IB never goes above 100 whereas eSignal go easily above 300 on each bar.

 

Look, I'm not saying that IB feed is a bad one. In terms of minute price data, they are exactly the same, diverging at times on the bar close price. My problem with it was always regarding their volume data, and of course my lack of understanding about the up and down tick reading that TAMS promptly helped with, thanks.

Now I can see even clearer the differences between IB and eSignal tick data. Like I said, they are huge, which can generate quite different results.

[laurus12 10]

Hello Ptcman,

 

Simply put. No. You should not see tick and volume as the same in movement of price. One tick is every time the price is making a single movement. Contract volume during that time can be what ever it can be.

 

 

Laurus

[tulanch 10]

Here's how I view it...

 

A tic is a trade and a trade has volume.

 

Most of the time (>95%) the volume of a trade is either 1 or 2 contracts.

(export tic-based-data for a day, import/open in excel and validate for yourself)

 

In the not so distant past, we most likely saw larger block trades in higher frequency. I suspect since the majority of trading is nowadays automated by computer, large blocks can be easily broken up and hidden within smaller orders so the big boys do not tip off each other and larger block transactions can be filled at more consistent prices leading to larger profits. Do you think the big boys pay a per-trade commission? I often wonder if seemingly large block trades observed today are actually a ploy. Anyway... back to my point.

 

The price of a trade can be either up, down or the same as the prior price - this is the price you get filled at...

 

An interesting aspect to analysis is if this trade price is at the Bid or at the Ask – hard to hide this fact from us.

 

A common and rather valid assumption is that trades at the Ask are Buys and trades at the Bid are Sells - to validate consider what price you get filled at when you place a respective market order, ie what price do you get filled at when a Market Buy order is filled - typically at the Ask (if not always). What price do you get filled at when you panic and exit or panic and enter? Consider what type of traders placing such orders.

 

Strangely this assumption does not fit traders who place Limit orders to buy below the market or sell limit orders above the market. Ask yourself what type of a trader does this... this knowledge is most definitely an edge to be taken advantage of.

 

So to me a question of volume and tics up/down based on price is not as important or “tail” telling as the answer to questions about volume, tics at the Bid or Ask... it makes for a much better and easier market story read.

 

Happy trading

[FulcrumTrader 10]

PROX Bars charts for comparison;

 

 

.75 Renko charts -

 

Images | ChartHub.com

 

4,000 contract equal Total Volume candles -

 

Images | ChartHub.com

 

4,000 contract equal Delta Volume candles -

 

Images | ChartHub.com

 

 

I ONLY use DTN.IQ feed for all my PROX Bars and Cumulative Delta charting (the only feed that keeps passing all my BID/ASK data testing). I tend to use a 1.0 Renko for my "ES" HTF chart and .50 Renko for my Entry chart. BTW, looks like Trendscalping site will have PROX Bars ready in Sierra Charts by the end of next week (right now only in Inv RT Pro / Marketdelta charts).

[ptcman 10]

Very interesting messages guys, thanks.

 

When we look at an up tick aren't we looking at a trade(s) that hit the ask, and when we look at a down tick aren't we looking at a trade(s) that hit the bid? Naturally that we don't know the volume produce at each price, but can't we use a tick counter to have an idea of the movement made on those prices?

 

I rarely used, if ever, limit orders

[SunTrader 10]

An uptick is a tick that is higher than the previous tick (or the same as the previous tick). A downtick is a tick that is lower than the previous tick (or the same as the previous tick).

[fadenscales 10]

I think what you are looking for is Volume Delta and nothing to do with ticks. The idea behind looking the volume delta is to get an idea of how strong an up or down tick might be, or likewise to find divergence where we see price rising but number of contracts traded within that price bar is negative. This is very simplistic, but I believe it is what you're looking for. Have you had a look at Market Delta, as it has these charts already available. In terms of data feed you should look for a higher quality one like DTN.IQ, which is unfiltered and non-aggregated.

 

Tom