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Indicator for Market TICK reading?
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Created: by hector24 Attachments:5

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Indicator for Market TICK reading?

  #1 (permalink)
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Indicator for Market TICK reading?

I don't know how many of you watch the TICK but I was wondering if someone knew how to code and indicator (ninja)that shows the TICK at certain levels. For instance at level 600 brown dot, at level 1000 a blue dot, at level 1300 a red dot, etc. I have attached a pic to show what I am talking about.

http://screencast.com/t/4tAKhDl5yqd

Thanks
Hector

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  #2 (permalink)
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hector24 View Post
I don't know how many of you watch the TICK but I was wondering if someone knew how to code and indicator (ninja)that shows the TICK at certain levels. For instance at level 600 brown dot, at level 1000 a blue dot, at level 1300 a red dot, etc. I have attached a pic to show what I am talking about.

tick pic - hector24's library

Thanks
Hector

Hi,

Pace of tape is kind of what you are looking for View Download Details - Big Mike's Trading Forum

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  #4 (permalink)
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I think he is talking about TICK-NYSE, not tick reading.

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BCNTrader View Post
I think he is talking about TICK-NYSE, not tick reading.

I think you are right, I can code the indy for the OP, but I need more details, for instance in ^Tick charts it is difficult to find fixed recurring levels, IMO the indy should plot between Tick ranges like blue dot between 400 and 600 and so on.

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hector24 View Post
I don't know how many of you watch the TICK but I was wondering if someone knew how to code and indicator (ninja)that shows the TICK at certain levels. For instance at level 600 brown dot, at level 1000 a blue dot, at level 1300 a red dot, etc. I have attached a pic to show what I am talking about.

tick pic - hector24's library

Thanks
Hector

Not difficult to code, but in my experience absolute levels of tick reading are not that useful. If you have an uptrending day, you will frequently find tick readings above 1000. You cannot fade these reading, but they are simply a sign of strength.

More interesting are the high tick readings against the trend. To catch these the tick levels should be adjusted for the current trend. A tick reading of -600 against the trend can be more significant than a tick reading of +1000 in direction of the trend.

See charts of NYSE Tick and ES 06-11 below for yesterday.

Attached Thumbnails
Indicator for Market TICK reading?-tick-1-min-27_04_2011.jpg   Indicator for Market TICK reading?-es-06-11-3-min-27_04_2011.jpg  
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Fat Tails View Post
More interesting are the high tick readings against the trend. To catch these the tick levels should be adjusted for the current trend. A tick reading of -600 against the trend can be more significant than a tick reading of +1000 in direction of the trend..

Fat Tails, Its all about context isn't it. That, IMO, is where most attempts at AutoTrading blow up.

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Is easy to code.... I started coding it 20 minutes ago but I don't know how to use the same periodtype that the main chart (I used my fav. 5min, but must be something about this, never used multi-instrument in indicators but strategies) and I don't know how this will work in real-time (I can't test it now and I like to see the candle close, so I'm not used to).

So, I will post the code here, use at your own risk, is at very basic level, you'd better improve it and test it:

 
Code
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    /// <summary>
    /// TICK
    /// </summary>
    [Description("TICK")]
    public class BCNxTICKAlerts : Indicator
    {

        private double vdAlertHighXtrme = 1000;    
        private double vdAlertHigh         = 800;
        private double vdAlertLow          = -800;
        private double vdAlertLowXtrme  = -1000;
        
        
        // 2 = XT High / 1 = high /  _1 = low / _2 = XT Low 
        private bool vlAlert2 = false;
        private bool vlAlert1 = false;
        private bool vlAlert_1 = false;
        private bool vlAlert_2 = false;
        
        
        /// <summary>
        /// This method is used to configure the indicator and is called once before any bar data is loaded.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;            
            Overlay                = true;
            Add("^TICK",PeriodType.Minute, 5);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (BarsInProgress == 0)
            {
                
                // User chart data
                if (vlAlert_2 == true) DrawDiamond(CurrentBar.ToString(), true, 0, Low[0] - (TickSize * 5), Color.Green);                
                if (vlAlert_1 == true) DrawDiamond(CurrentBar.ToString(), true, 0, Low[0] - (TickSize * 2), Color.Aqua);
                if (vlAlert1  == true) DrawDiamond(CurrentBar.ToString(), true, 0, High[0] + (TickSize * 2), Color.Aqua);    
                if (vlAlert2  == true) DrawDiamond(CurrentBar.ToString(), true, 0, High[0] + (TickSize * 5), Color.Red);
            
                // Reset alerts
                vlAlert_2 = false;
                vlAlert_1 = false;
                vlAlert1 = false;
                vlAlert2 = false;
                

            } else if (BarsInProgress == 1) 
            {
                // TICK data
                
                if (Low[0]  <= vdAlertLow)       vlAlert_1 = true;
                if (Low[0]  <= vdAlertLowXtrme)  {
                    vlAlert_1 = false;
                    vlAlert_2 = true;
                }
                
                if (High[0] >= vdAlertHigh)      vlAlert1  = true;
                if (High[0] >= vdAlertHighXtrme) {
                    vlAlert1  = false;
                    vlAlert2  = true;
                }
                
            }
            
            
        }

        [Description("Draw a green diamond 5 ticks under the candle when TICK low is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_LowTick
        {
            get { return vdAlertLow; }
            set { vdAlertLow = value; }        
        }    

        [Description("Draw a green diamond 5 ticks under the candle when TICK low is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_LowTickXtrme
        {
            get { return vdAlertLowXtrme; }
            set { vdAlertLowXtrme = value; }        
        }            
        [Description("Draw a red diamond 5 ticks above the candle when TICK high is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_HighTick
        {
            get { return vdAlertHigh; }
            set { vdAlertHigh = value; }        
        }            
        [Description("Draw a red diamond 5 ticks above the candle when TICK high is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_HighTickXtrme
        {
            get { return vdAlertHighXtrme; }
            set { vdAlertHighXtrme = value; }        
        }                
    }
}

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  #9 (permalink)
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Is easy to code.... I started coding it 20 minutes ago but I don't know how to use the same periodtype that the main chart (I used my fav. 5min, but must be something about this, never used multi-instrument in indicators but strategies) and I don't know how this will work in real-time (I can't test it now and I like to see the candle close, so I'm not used to).

So, I will post the code here, use at your own risk, is at very basic level, you'd better improve it and test it:

 
Code
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    /// <summary>
    /// TICK
    /// </summary>
    [Description("TICK")]
    public class BCNxTICKAlerts : Indicator
    {

        private double vdAlertHighXtrme = 1000;    
        private double vdAlertHigh         = 800;
        private double vdAlertLow          = -800;
        private double vdAlertLowXtrme  = -1000;
        
        
        // 2 = XT High / 1 = high /  _1 = low / _2 = XT Low 
        private bool vlAlert2 = false;
        private bool vlAlert1 = false;
        private bool vlAlert_1 = false;
        private bool vlAlert_2 = false;
        
        
        /// <summary>
        /// This method is used to configure the indicator and is called once before any bar data is loaded.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;            
            Overlay                = true;
            Add("^TICK",PeriodType.Minute, 5);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (BarsInProgress == 0)
            {
                
                // User chart data
                if (vlAlert_2 == true) DrawDiamond(CurrentBar.ToString(), true, 0, Low[0] - (TickSize * 5), Color.Green);                
                if (vlAlert_1 == true) DrawDiamond(CurrentBar.ToString(), true, 0, Low[0] - (TickSize * 2), Color.Aqua);
                if (vlAlert1  == true) DrawDiamond(CurrentBar.ToString(), true, 0, High[0] + (TickSize * 2), Color.Aqua);    
                if (vlAlert2  == true) DrawDiamond(CurrentBar.ToString(), true, 0, High[0] + (TickSize * 5), Color.Red);
            
                // Reset alerts
                vlAlert_2 = false;
                vlAlert_1 = false;
                vlAlert1 = false;
                vlAlert2 = false;
                

            } else if (BarsInProgress == 1) 
            {
                // TICK data
                
                if (Low[0]  <= vdAlertLow)       vlAlert_1 = true;
                if (Low[0]  <= vdAlertLowXtrme)  {
                    vlAlert_1 = false;
                    vlAlert_2 = true;
                }
                
                if (High[0] >= vdAlertHigh)      vlAlert1  = true;
                if (High[0] >= vdAlertHighXtrme) {
                    vlAlert1  = false;
                    vlAlert2  = true;
                }
                
            }
            
            
        }

        [Description("Draw a green diamond 5 ticks under the candle when TICK low is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_LowTick
        {
            get { return vdAlertLow; }
            set { vdAlertLow = value; }        
        }    

        [Description("Draw a green diamond 5 ticks under the candle when TICK low is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_LowTickXtrme
        {
            get { return vdAlertLowXtrme; }
            set { vdAlertLowXtrme = value; }        
        }            
        [Description("Draw a red diamond 5 ticks above the candle when TICK high is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_HighTick
        {
            get { return vdAlertHigh; }
            set { vdAlertHigh = value; }        
        }            
        [Description("Draw a red diamond 5 ticks above the candle when TICK high is at least xxxx")]
        [GridCategory("Parameters")]        
        public double Alert_HighTickXtrme
        {
            get { return vdAlertHighXtrme; }
            set { vdAlertHighXtrme = value; }        
        }                
    }
}

The periodtype and value of the first bar series can be recovered via BarsPeriods[0].Id or BarsPeriods[0].Value, but I think this does not work within the Initialize method().

In the end you should be fine, if you just add a 1 minute bar series of ^Tick.

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  #10 (permalink)
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Looks fine to me

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