Tick versus Time based bars....

[Lawrence Chan]

From my observation of the latest tick data from Globex, it actually improves the quality of the tick data in some areas.

As the real large orders (single price with size) are reported as a single fill. That makes those trades stand out more. Of course, if there is cross current and trades happened at the other end, then that stopped the bunch reporting.

Pull out a time and sales and compare that to your chart, say, using 5-second bars to see what I meant.

With the old reporting method, we get the raw transaction data. So it is harder to see how these orders got filled.

Constant volume bar is a nice concept and yes NeoTicker has that. In NeoTicker there are many ways such bars are constructed, including the ability to construct virtual bars with your own customization rules within indicators.

Lawrence

Quote from ProfLogic:

IMHO, when Globex destroyed the Constant Tick environment with randomly grouping orders they put the proverbial nail in the Tick Chart coffin. It was a variable environment before and then iit became worse. The best view of price comes from seeing price move unencumbered by time or market affiliation. Just because a large institution executes a trade in the Market doesn't mean then have any better grasp of where price is going then anyone else randomly throwing orders at the Market. The sentiment in total, as seen by price movement, is that clear indicator of direction.

Lawrence, does NeoTicker has constant Volume bars and if so does it allow the user to cap the individual bar to a specific unit number or does it just tack on the next trade to fill out the bar before it goes on to create the next new bar?

 

[Equalizer]

Quote from Lawrence Chan:

From my observation of the latest tick data from Globex, it actually improves the quality of the tick data in some areas.

As the real large orders (single price with size) are reported as a single fill. That makes those trades stand out more. Of course, if there is cross current and trades happened at the other end, then that stopped the bunch reporting.

Pull out a time and sales and compare that to your chart, say, using 5-second bars to see what I meant.

With the old reporting method, we get the raw transaction data. So it is harder to see how these orders got filled.

Constant volume bar is a nice concept and yes NeoTicker has that. In NeoTicker there are many ways such bars are constructed, including the ability to construct virtual bars with your own customization rules within indicators.

Lawrence

Interesting, so could these virtual bars update every - say for the emini S&P - 100 ticks, or 1000 contracts traded (for example only) whichever comes first? A hybrid if you like.

So if it trades 1000 contracts in 10 ticks, the bar count is incremented. Likewise, if it trades 200 contracts in 100 ticks, again the bar count is incremented.

Can any other measure (function) be used to modulate the bar-to-bar temporal displacement? Just curious.

Thanks.

 

[ProfLogic]

Quote from Lawrence Chan:

From my observation of the latest tick data from Globex, it actually improves the quality of the tick data in some areas.

As the real large orders (single price with size) are reported as a single fill. That makes those trades stand out more. Of course, if there is cross current and trades happened at the other end, then that stopped the bunch reporting.

Pull out a time and sales and compare that to your chart, say, using 5-second bars to see what I meant.

With the old reporting method, we get the raw transaction data. So it is harder to see how these orders got filled.

Constant volume bar is a nice concept and yes NeoTicker has that. In NeoTicker there are many ways such bars are constructed, including the ability to construct virtual bars with your own customization rules within indicators.

Lawrence

Lawrence,

Thanks for the constant volume bar information. Not many companies offer that capability. I had to fight to get them created in the first place.

 

[ProfLogic]

Quote from Equalizer:

See above post.

PDF provides pretty pictures to make it all clear. How you go about getting such a feed is another question - definitely not from eSignal, IB, DTN, QCharts, or TS.

Good luck getting any info out of CQG.

Thanks for the info. Really appreciated.

 

[Lawrence Chan]

Quote from Equalizer:

Interesting, so could these virtual bars update every - say for the emini S&P - 100 ticks, or 1000 contracts traded (for example only) whichever comes first? A hybrid if you like.

So if it trades 1000 contracts in 10 ticks, the bar count is incremented. Likewise, if it trades 200 contracts in 100 ticks, again the bar count is incremented.

Can any other measure (function) be used to modulate the bar-to-bar temporal displacement? Just curious.

Thanks.

Yes, you can create hybrid rules to construct your own version of volume/tick bars.

I have just posted an example that allows our users to track point and figure series within an indicator,
http://newsletter.neoticker.com/?p=219

Since what we are talking about is pretty much off topic here, it may be a good idea to start a separate thread if you like to discuss the concept, or, you can ask questions at our forum.

 

[NZDSPeCIALISt]

Quote from 4XIS4U:

I'm starting to use tick and volume charts and was wondering if anyone know what's the equivalent number of ticks for 3/5 and 30 minutes charts...

Thanks!

Quote from whitster:

fwiw, i use both

i trade YM

they have different utility

whitster is right.
This thread has made me go back and “rediscover” tick charts – the ups of ET.
What I found is to have confluence of both tick chart and time chart signals is best.
IE. On the euro, have the 5 minute up and the 500 tick and perhaps a real fast tick chart (34t) to get into the nitty gritty.

 

[DerferMark]

Good news - eSignal will soon offer constant range (or tick) charts:

Sent: Monday, January 22, 2007 10:41 AM
Subject: RE: Constant Range bars

Thank you for the interest. Range bars will be coming in the next version of eSignal and will be entered as something such as .25R or 1R. We'll be starting an external beta for this release in the next week or so and you can take a look at that point or wait until we have a final release 4 to 6 weeks later.

Thank you,
Todd Pellizzer | Senior Product Manager | www.esignal.com
eSignal, a division of Interactive Data Corporation

 

[ProfLogic]

Quote from DerferMark:

Good news - eSignal will soon offer constant range (or tick) charts:

Sent: Monday, January 22, 2007 10:41 AM
Subject: RE: Constant Range bars

Thank you for the interest. Range bars will be coming in the next version of eSignal and will be entered as something such as .25R or 1R. We'll be starting an external beta for this release in the next week or so and you can take a look at that point or wait until we have a final release 4 to 6 weeks later.

Thank you,
Todd Pellizzer | Senior Product Manager | www.esignal.com
eSignal, a division of Interactive Data Corporation

Oh really, are they going to as inconsistent as eSignal's Volume Bars?

"Anything worth doing is worth doing well."

A statement not adhered to in corporate America these days.

 

[KPCURRENCY]

Quote from 4XIS4U:

I'm starting to use tick and volume charts and was wondering if anyone know what's the equivalent number of ticks for 3/5 and 30 minutes charts...

Thanks!

First, tick volume represents activity and thus can be used in place of actual volume.

Suppose you are watching the market and using a 230 tick chart. Now all of a sudden you note that it took 3mins to for the last 230 tick bar. The next bar, however, takes 5 mins 10 seconds to form. What does this mean? Without getting too deep into the analysis, we can say that the first, quicker bar, had more activity and thus more conviction than the second. There was more market facilitation on the first bar, and at certain price level represented by the bar's high, low, open , close.

Now, isn't this the point of tick charts? A bar that forms faster than the previous bar, or faster than average means more activity, more conviction. Slow forming bar connote little interest in the market and in the corresponding price levels at that time.

Therefore the question is not how many ticks in a 5 min bar. But rather how does the actual time this bar took to form, call it bar x, relate to x-1, or x,-2 , or even x+1?

Tick chart take time out of the equation an replace it with activity. The appropriate way to add time back in is relational-one bar to another.

 

[DerferMark]

Quote from ProfLogic:

Oh really, are they going to as inconsistent as eSignal's Volume Bars?

"Anything worth doing is worth doing well."

A statement not adhered to in corporate America these days.

No idea - I'm just an eSignal user and was glad to hear the news so I passed it along.

I haven't had many problems at all with volume bars for ER2. I have noticed that the start time for the first bar of each day is somewhat random (just after midnight) but I assume this is because there is nobody trading then and it takes up to a few minutes or more past midnight for the first contract to trade. Attached is from this morning - 1st bar started at 0:10

What inconsistencies do you see?