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the definitions of uptick and downtick

  #4 (permalink)

San Diego
Trading Experience: None
Platform: Sierra Chart
Favorite Futures: CL
Posts: 28 since Dec 2017
Thanks: 43 given, 7 received

Ian, thanks a lot for your good comments. Yes the price jumps between ask/bid sounds to follow a random process. It seems that only with bid/ask tick data, we would have better chance to detect the buying/selling force at a micro level. Correct me if I get it wrong. The changes of the bid/ask prices show the direction of the move, and then the corresponding volumes reflect the buying/selling forces.

iantg View Post
Hi sureway,

There is a good bit of noise here that you need to be aware of. When the price oscillates between the bid price and ask price on the same price level this should be considered a neutral event. Take for example a price level:

Bid = 2000.00 / Ask = 2000.25
And let's say that as the limit order queue is being cleared and matched to the market order queue you may have the following "last price" series created.


Once this price level finally has a victor and either all of the bid limit orders are cleared, or all the ask limit orders are cleared the market will move to the next price level. Let's say that all the limit orders on the 2000.00 price level are cleared.... As a result of this the market will move down to the next price level which will be

Bid = 1999.75 / Ask = 2000.00

So I would characterize a price level change as a significant event that should be noted and included in part of your analysis. But ticking back and forth between the bid and ask price on a single price level is just the market filling both ends of the limit order queue and this is going to happen on every price level, so I would consider this noise.

Anyway, hope this gives you a slightly different perspective, and that this has some value for you.

Best of luck!


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