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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: 388 since Jan 2015
Thanks: 71 given, 965 received

Hi Scottm,

I am not sure exactly what you are looking for an indicator that quantifies the frequency of ticks relative to time to do. I am not familiar with the tools that you mentioned so I wouldn't be able to comment on those specifically, but I can give you my opinion about the correlation between tick frequency and time.

I think that as the number of trades over a certain period of time increase or decrease what you are observing is either an increase or decrease in market orders and little more than this. Most of the popular futures will always have fairly thick limit order books and whether or not the price every moves or not is typically driven by those that are willing to cross the spread and submit market orders.

Any indicator that measures the number of trades per 5 seconds for example can only quantify the speed of the market, I don't believe that this could be used to predict the direction of the market. The best use case for a discretionary trader here I believe would be to measure ticks / time to tell you just how zoomed in or zoomed out you need to be in your chart to see meaningful data. For example if the market is generating 100 trades per second, you will need to zoom out! Alternatively if the market is generating only 10 trades per minute, then you may want to zoom in to try to see more.

I don't think that a large number of trades per X time frame will predict that the market is going to move up or down, because everyone is trying to fight just like always... but this is just occurring much faster. At the same time slower trading conditions won't necessary not move the market either. There is still fighting here but slower.

I don't know if this helps or addresses your question, but I would be glad to discuss further if you find any of this relevant.


scottm View Post
Hi jiaqiangmit and iantg,

I've looked at several tick accumulators to see if they can function as forecast tools for an upcoming move, or even confirmation of an ongoing trend, but so far, I cannot see a consistent correlation in count or volume. Sometimes a tick spike coincides with an upsurge in price, but just as often there will be a similar spike while the same chart is in a flat consolidation, or declines in tick chart while actual underlying is rising (SEE ATTACHED IMAGE) That said, I have not used (or seen) a tick-by-tick study. I understand Peter Reznicek (ShadowTrader) sells a cumulative tick study that seems to show some relevance.

I see same non-correlated results on all timeframes.
Maybe I'm doing this wrong. Please feel free to add guidance, especially if it includes images and code.

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