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Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
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"Tick" has different meanings in Trading.
Here in this example it means number of trades. So..... 1 tick say the first one of the 2000 could be a 10 lot.
The next trade, trade number two of the 2000 that hits this market could be a 1 lot and so on until the 2000th trade happens and then a new bar forms and it starts all over again. Volume per bar with tick bars varies.
Does this answer or make sense?
Ron
...My calamity is My providence, outwardly it is fire and vengeance, but inwardly it is light and mercy...
The steed of this Valley is pain; and if there be no pain this journey will never end.
Buy Low And Sell High (read left to right or right to left....lol)
When I re-read your post I suddenly realized you used "tick value" in two ways. You are saying: "my average tick value is $0.50 and I like to exit at $5 or $10 profit...." but then you show the Data Value settings window, where you set the number of ticks per bar for a tick chart. I have trouble relating these two. In fact, there's no connection that I can see at all. Perhaps I just misunderstood you.
But here's why I don't understand:
As @Blash just mentioned, "tick" means different things according to context.
(1) It can mean the smallest price change that your instrument has, which for ES is a quarter point, and is worth $12.50 (1 point = $50). For MES it is still a quarter point, but it's worth $1.25 (1 point = $5.00.) This meaning has a bearing on dollar value, with each tick having the same value. But there's nothing you can set. It's just whatever it is for that instrument.
(2) It can the number of trades that are bundled together to make a bar on a tick chart, which is what it means in the screen shot. (In that case, 1 tick = 1 trade, of any size.) So, in the screen settings you show, NT is asking you to set the number of individual trades you want each bar on the chart to be equal to. So if you select 2000, that means that your price bars will each consist of 2000 trades, regardless of the trade sizes and regardless of the time it took for that number of trades to take place. This meaning has no connection to a dollar value. 2000 trades could all be at the same price, so there is no dollar change at all, or they could make a huge bar covering several points, which will have a big dollar change. It also has no connection to the usual size of your profit.
(3) It can also mean a price change of any size, as in an uptick or downtick. I don't see a connection with tick charts there, however.
So I'm not sure how to answer your question, because I can't understand it. Perhaps I'm just missing something. Can you explain in some other way what you are asking?
It may be that you should just try a few values and see what you get on the chart. For many purposes, ES can be charted using a 2000 tick chart pretty well. If you take a look at the chart you may see whether it is too slow, too fast, or just right. That is the only way to know if it will suit you.
Also, many traders will use volume bars instead. These are bars that are made up of a certain number of contracts traded, rather than a certain number of trades -- the difference being that a "tick" chart considers a 1 contract trade the same as a 10 or a 100 contract trade in importance, but a volume bar will construct the bar based on the total volume only, whether in a few or in many individual trades. Roughly speaking, an average trade in ES is just under 3 contracts, and has been for years, so, roughly speaking, a 2000 tick chart is similar to a 6000 volume bar chart, but many people feel the volume chart is a better portrait of the actual action in the market.
If you compare a tick (or volume) chart to a time chart, you will see a lot of bars during a busy part of a day, and much fewer during the quite times or the overnight period. This responsiveness to the current activity is the main reason people use tick or volume charts. You get a higher level of detail when trading is most active, so compare different settings to time charts at different times and see which gives you the level of detail and responsiveness you want, and which give you too much or too little.
If I didn't address your question, please come back with more detail of what you are looking to do. But my advice is to just try a few options and see what works best for you. That's basically how people end up doing it.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
Wow! Thank you so very much for taking the time to answer with such a detailed answer! Sincerely.
Note: writing this from bed. Excuse me for any illogical wording.
I realized as I was reading your reply that I did not remember where or when I got it into my head that tick value was $0.25 per tick. In fact I wrote some code to sync Bookmap to TradingView and partially to NT8. In NT8 I was way off and the 1 min charts did not look similar at all. With TradingView since tick value is not in the API I used futures price based on my buy order.
I was really hoping I could adjust tick to match an increment of $0.25. However now that I understand tick has a minimum value of $1.25 or 0.25 of an index point, I need to get too my whiteboard with a fresh roasted cup of coffee.
Whole new problem. I need to design an algorithm where a number counts down or up to show profit before fees. My risk management logic is based on number of trades and profit of $5 exit for low risk and $10 exit for high risk. Where $5 is typical scalp and swing trade is $10 in case there is a brief reverse trend for up to my profit plus the fee. I work trailing stop loss mechanism into my algorithm.
I printed out the NT8 api so now I will figure out a strategy for this quandary.
I imagine someone must’ve designed some kind of similar profit/loss + trailing stop loss add on for NT8. Otherwise I need to spend a few days writing one.
Ameritrade Definition (at this moment I yelled Damn it Jim)
“ For Micro E-mini S&P 500 futures, the minimum tick or price fluctuation is also 0.25 index point, or $1.25 per contract (one-tenth of the $12.50 per contract of the /ES). The value of one contract is calculated by multiplying the current level of the index by $5.”
Perhaps I just misunderstood you.