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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: 379 since Jan 2015
Thanks: 69 given, 917 received

Hi jiaqiangmit,

I think the best way for you to understand this is to see some raw data, so I am enclosing a raw data output from the ES a couple days ago. This shows each single trade as an individual row. The Volume column shows the number of contracts that were traded in each given trade.

As you start to increase your time series and aggregate the data up to a 5 tick bar, 10 tick bar, 100 tick bar, etc... You lose the granularity. You can see the walk between a 1 tick time serious and everything else by playing with this data.
For example to understand what is in a 100 tick time series. Just take the first 100 rows, sum the volume and look at all the prices that comprise the "Last" column. Take the min of this, and the max of the this, the first value by date time and the last value by date time and you can build a candle stick with the High, Low, Open and Close and see the total volume over this time period as well.

You can also do this not by tick count, but by time as well. Take a 30 second duration, or 1 minute for example and do the same. Sample the data between a starting point and ending point that is time based, and sum the volume, and observe the high low, and first and last values in the "Last" Column and you can see how a time based candle is built.

This should get you started.


jiaqiangmit View Post
Thanks, I was not sure "tick volume is the price change".
let's suppose this is 1 tick data for one minute. There are 6 trades made, the first two price is the same, so the "price change" is 5? In this case the tick volume is 6 or 5?

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Attached Files
Register to download File Type: zip One Tick Data.zip (46.4 KB, 16 views)
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