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Understanding of tick volume

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charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 391 since Jan 2015
Thanks: 71 given, 969 received


Hi jiaqiangmit,

I may be able to help. In order to best understand trade volume relative to tick volume you will need to run this on a 1 tick data series, anything other than this will aggregate data and you will not be able to deconstruct tick volume relative to trade volume. From a 1 tick data series, each tick volume = the total volume because the data is granular down to each individual trade.

Alternatively if we run this up to a 5 tick time series we may find that with 5 individual trades you have the following.

Trade 1: Volume = 1
Trade 2: Volume = 4
Trade 3: Volume = 5
Trade 4: Volume = 10
Trade 5: Volume = 1

So the reported volume would be 21, and the number of ticks would be 5. You can infer that the average trade size was 21 / 5 = 4.1 roughly. But you will not be able to see the granularity of each trade once you aggregate your data.

I am not sure what you are looking for exactly because you didn't mention what time series your example data was, how it was constructed, but either way the tick volume would be the total volume of all trades that compose is, so 21 would be the total tick volume.

Hope this helps.

Ian



jiaqiangmit View Post
Hi guys,
I once thought I understand tick volume, now I suddenly doubt.
Instance below, the numbers are prices for every trade

Price / traded volume
10 ---1
10 ---2
11 ---3
11 ---4
12 ---5
13 ---6
--------------------------------


The volume is 21 contract, there are 6 trades, and price changed 4 times(is this right?), So what's the tick volume? 6 or 4?

Thanks


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