Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Yeah Ive been testin the 1000 tick chart and it looks good, great swings. Im testing it with the 610 ticks for faster movements. Catching big movements is good but it also depends on your account size and stop loss, as of now I cant have big stops and my entries arent sniper entries yet lol.
Are you aware than the definition of an ES tick changes from time to time, and is often different between data providers?
I recall at least two times when CME changed the way ticks work on Globex. Most recently when MDP 3.0 was introduced in 2014-15. I have not heard any recent numbers, but back then it was thought that tick counts dropped by about 70% due to the change. (The started sending ticks based on the aggressor trader, vs the non-aggressor.)
To further complicate matters, some data providers tweaked the MDP 3.0 datafeed to keep ticks about what they were before. For example, TradeStation.
So you can't just talk about ticks without digging a little deeper. When you talk about 610 ticks coming from CME, or 610 ticks on your platform? And one person's 610 ticks is not the same as another's. And when different data providers have different data, it's kinda hard to consider Fib #s having any magic.
I use minute charts personally. But after watching CME over the past decade, I would never use tick charts -- and allow CME data engineers to jack with my trading. Volume charts are much more real.
I need to dig up a link to a video I saw about a guy who was getting multiple different answers from cme regarding how they were filtering their data a while back. You might be interested but I probably won't be able to dig it up until tonight.
It talks a little about the semantics behind different market data filtering techniques, like being able to see "intent", such as when an aggressor acts in the market, ie. walks up to the best bid price and dumps 400 contracts on it, as I understand it...this stuff is fascinating to me and i want to learn more!
This change looked like it would be a big deal a few years ago, but I believe it came to nothing in the end. As I recall, there was a big outcry and then it seems that when things settled down there were no huge changes.
The issue, as I recall, was in fact something like whether "a trade" was initiated by an aggressor or a non-aggressor. What does that mean? Say there is an order for 100 contracts sitting at a limit price and then it is hit by 100 1-contract market orders. Were there 100 trades of 1 contract each, or just 1 big trade for 100 contracts? You could sort of take your pick -- it depends on, literally, how you define "a trade." If you look at the fact that there were 100 traders getting filled against that one limit order, then there were 100. But if you look at the one big trader who got a fill, there was just one.
I don't recall which way the last change went, actually, and to make things worse, I believe that the change before that one had switched it the other way....
Again, my impression is that after much upset on all sides, nothing changed after all, but I did lose track of how it was going. One reason I stopped caring is that I switched at that time to volume charts, so whatever the definition of "a trade" might be, it wouldn't matter. In the example I just gave, there were 100 contracts traded no matter how you count the individual trades, so I stopped caring.
(All this looked like it would matter a lot to traders who used order flow to trade, but that's a different story.)
For whatever it's worth, on the data feeds I have used, the average ES trade is still, as I recall, just under 3 contracts, and that's what it was before and after the last change, which is why I'm not sure anything really happened that much. However, I certainly could be wrong, especially about what individual feeds are doing. Someone else may be able to fill in the details better....
I think @Solidus is correct in saying that a particular number of ticks really can't be that special, when the way a tick has been counted has changed in the past, and could change again.
I think you just want your chart to make sense to you, and to match your preference for longer or shorter timeframes. The number is arbitrary.
The obvious advantages to native MDP 3.0 are speed and data quantity. On big volume days, your CPU sees a huge difference between processing one tick for 450 contracts from an institutional order or 127 same-price ticks. Plus just having 70% (or whatever the % is) less ticks means loading anything tick based is faster, 32 bit programs don't have as many issues, etc.
There are some lesser know issues which are also pretty neat too. For example, Globex flags trades as aggressor or non-aggressor. If you access this you can get perfect "trade at bid/ask" data, without all the errors from synchronizing bid/ask feeds with quote feeds, etc. the way people have typically done it.
One other cool thing is Market by Book, which allows you to see actual iceberg orders live. See blog of @quantBrokers for more info.
Another interesting tidbit: I understand that one big reason for MDP 3.0 was threatened patent litigation over the previous fast/fix system.
But getting back to the original question, Which tick level on the ES charts?
Ninja has a way to help you figure it out. Clink the far right icon on the top of your chart where you set background color, border width etc. Click the box to turn off equidistant bar spacing. Now go back and look at the day. Match the chart to your trading style.
For example, Mini P running 600 tick ES is untradeable for me the bars would be too run together and too fast until about an hour or so into the day. I can barely keep up the first half hour on my 2,000 tick chart where it is printing a bar every 30 seconds. A quiet afternoon and it is down to five minutes per bar.
And don't forget the volume is really off the last couple of weeks according to Futures Trader 71. So fine tune your system now but go get some normal volume from last year so you know what it will turn into. FT71 said for over a year 1.1 million contracts a day was pretty typical and now we are running under 800,000. Well that is going to make a big impact on your bar count for the day.
