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up / down tick volume
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up / down tick volume

  #1 (permalink)
Elite Member
Malchow (Meckl.)
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Favorite Futures: Stocks
 
Posts: 17 since Mar 2011
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up / down tick volume

Hello,

in the last days I have been working with the market breadth indicators.
I use NT 7 with kinetick as data feed.

A value I can not interpret it correctly:

- NYSE ISSUES VOLUME UP: as of 22/02/2013: 551,086.00

Market Statistics

What tells me that value? What is tick volume?

Else one of you works with the market-wide indicators of kinetick?
Kinetick ? Streaming real time quotes and historical market data ? Market Metrics



Greetings

Blackburn

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  #2 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
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Blackburn View Post
Hello,

in the last days I have been working with the market breadth indicators.
I use NT 7 with kinetick as data feed.

A value I can not interpret it correctly:

- NYSE ISSUES VOLUME UP: as of 22/02/2013: 551,086.00

Market Statistics

What tells me that value? What is tick volume?

Else one of you works with the market-wide indicators of kinetick?
Kinetick ? Streaming real time quotes and historical market data ? Market Metrics



Greetings

Blackburn

Jetzt stellt sich natürlich die Frage, warum Du im deutschen Forum auf Englisch postest. So ist das sicherlich nicht gedacht.

Hinter "NYSE Issues Volume Up", normalerweise als UVOL bei Bloomberg und in Charting Programmen geführt, verbirgt sich das Handeslvolumen aller Aktien, die für den laufenden Handelstag im Plus geschlossen haben (advancing issues).

Das Handeslvolumen wird dabei durch 1000 geteilt, um den Index zu ermitteln. Tatsächlich war also am 22. Februar das Handelsvolumen aller Aktien, die im Plus geschlossen haben, bei etwas über 551 Millionen. Hier hast Du eine brauchbare Definition der Indizes von TradeStation Securities.


up / down tick volume-tradestation_calculated_indices.pdf


Nun zu Deiner zweiten Frage. Das Volumen ist die über eine Zeitspanne gehandelte Anzahl von Kontrakten (Futures), Lots (Forex) oder Aktien. Das Tickvolumen ist die über eine Zeitspanne registrierte Anzahl von Transaktionen. Für jeden Tick wird im Times & Sales eine neue Zeile angezeigt.

Eine Transaktion entsteht in der Regel , wenn eine Market Sell Order mit einer oder mehreren Limit Buy Ordern aus dem Orderbuch, oder wenn eine Market Buy Order mit einer oder mehreren Limit Sell Ordern aus dem Orderbuch gekreuzt wird. Je nach Größe der Market Order kann das Handelsvolumen eines Ticks also kleiner oder größer sein. Das Handelsvolumen der Ticks kannst Du Dir im Times & Sales anzeigen lassen.

Das Tickvolumen ist immer kleiner als das Handelsvolumen. Man kann das Tickvolumen insbesondere bei Instrumenten verwenden, für die keine Volumeninformation vorhanden ist, wie z.B. bei FOREX-Paaren. Einige Chart Packages haben das Tickvolumen bereits integriert. Bei NinjaTrader müsste man sich das Tickvolumen über eine sekundäre BarSeries (1-Tick-Daten) errechnen lassen. Am einfachsten ist das Tickvolumen auf einem Tick-Chart zu ermitteln. Auf einem 233-Tick Chart haben nämlich alle Balken das Tickvolumen von 233, da ein Balken sich aus 233 Transaktionen zusammensetzt.


Last edited by Fat Tails; February 25th, 2013 at 08:19 PM.
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  #3 (permalink)
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Malchow (Meckl.)
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Favorite Futures: Stocks
 
Posts: 17 since Mar 2011
Thanks: 15 given, 0 received


Hallo,

danke für Deine ausführliche und hilfreiche Antwort!

Das subforum "German Traders" ist bei mir als Favorit gespeichtert; Beim Verfassen + Sende des thread habe ich das nicht berücksichtigt; darum ist er jetzt hier :-)


Viele Grüße
André

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