The NYSE TICK tells us how many stocks are trading at their offer price minus those trading at their bid. It is now available on NT with a live Kinetick feed, and goes under the symbol ^TICK.
It is a great measure of very short-term sentiment, because it captures the degree to which the broad market reflects aggressiveness of bulls (lifting offers) vs. bears (hitting bids). A 10-13 period moving average of the NYSE TICK removes much of the noise from the one-minute values. In the attached chart of Friday’s trading, a few things stand out:
1)You can often identify strong days to the upside and downside when the first hour's TICK is persistently positive or negative. This means we have skewed sentiment, with stocks aggressively trading on upticks or downticks. When TICK MA pullbacks can't even go into positive or negative territory you know that the sentiment is quite negative or positive. That's a hallmark of a trending day.
2) You can see the 13 MA of TICK is spending more time below the zero line, which tells us that the Cumulative TICK is running negative. The possibility of a trend day is evident because we're persistently below the zero line in the TICK MA. The moving average of TICK also helps us identify intraday turns in sentiment and trend, when markets shift from primarily above/below zero to primarily below/above. Non-trending markets will generally spend more balanced time above and below the zero level.
3) In a weak market, pullbacks in the 13 MA of TICK are often good short-term entry points. Notice that each time the 13MA (blue line) pulled back to the zero line it created a perfect selling opportunity. Even in a market that is about to change direction, we'll often get a retest of previous highs/lows after one of these TICK pullbacks/bounces, making it much easier to scratch trades.
Also note the distribution of TICK values over time. In the attached chart, we see the first hour of trade for Friday’s market. The center green horizontal line is placed at zero, and the blue horizontal lines are a 4 standard deviation regression channel. Notice that the bars are distributed more below the zero line and that the extreme bullish TICK readings peak at 600, while the extreme bearish readings peak at the -800 level. Clearly, the net distribution of TICK is skewed negatively, and we're seeing more bouts of significant selling than buying.
On average, the one-minute high value for TICK is around +250 and the average one-minute low value is around -250. The standard deviation is approximately 450. That means that two-thirds of all TICK values will fall between +700 and -700. About 95% of all TICK values will fall between +1040 and -1040, making values greater than +1000 or less than -1000 the exception.
Please note that while we are looking at a single days picture of the TICK, it's readings has implications several days out. Very positive trader sentiment over a several day period tends to generate strength over the next several days, and very negative sentiment tends to lead to reversals.
ADD - Second Panel
A very effective tool for identifying trend environments vs. range ones is the intraday NYSE advance-decline line. It tracks the difference between advancing and declining stocks on an intraday basis; and is now available on NT with a live Kinetick feed, and goes under the symbol ^ADD
Friday’s ADD opened flat and was -530 in the first 15 minutes, it then pulled back to the zero line and failed and was - 1570 within a relatively short period of time. In Friday's case we had the ES break below it's opening range, accompanied by a rapidly falling ADD, which signaled a possible trend day down.
The opening value for $ADD correlates with the value at the end of the first half hour of trade by .56. The median opening value for $ADD has been -1, with a standard deviation of 81. So when we see $ADD open at +150 or greater or at -150 or less, it is an indication that we might be in a trend day. By the end of the first half hour of trade, the median value for $ADD has been -346, with a standard deviation of 1378. So, within the first 30 minutes of trading, we should have a pretty good idea of what kind of trading day is ahead of us. If we're seeing $ADD with readings of +1500 or more or -1500 or more (negative), then there is a high probability of a trend day.
Thank you for this post. I think that watching market breadth indicators in parallel with index futures produces a real edge. Unlike the usual bunch of indicators, which is derived from price, the TICK, ADD and TRIN use information from a different source.
I agree on everything that you have written on the TICK, it is a very valuable information on short term sentiment. I use a 20-period SMA with fixed bands. When the ticks exceed those bands I am getting an acoustic signal. I have also experimented with a center line instead of a moving average (center line of Donchian Channel), and this gave similar results.
It is important to adjust the bands to the trend in order to catch the retracements and not the unwanted countertrend signals. This is what you have also done, as I can see the asymmetry between the two lines plotted on the chart.
The chart below shows six signals that were generated during the first two hours today, when the bands were violated. When using the SMA(20) as a trendfilter, five of the six signals were confirmed, one of them was invalid. The invalid signal, although it had one of the highest tick readings in absolute terms was dangerous to take.
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For A/D TWS does not display the data, but it is available using the API
This is very interesting, too bad it is mainly linked to difficult instruments (ES and NQ), although they relate to each other, I wish we had Tick and AD for TF and Dax. Look forward for the follow up.
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I haven't corrolated the TICK with the futures contracts, but today I traded the SPY, and the TF. Notice on the attached chart of the SPY how, in this huge down day, the TICK consistently enables good counter trend trades. I scalp the market with and against the trend, I just highlighted the counter trend trades, because in a strong trend, the TICK will seldom hit the extreme going with the trend, as evident in the chart. The indicator plots a 'T' when a Tick extreme is reached.
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Agreed...there were at least a half dozen sell signals that presented better opportunities to have extended gains, because you were trading with the trend on a huge trend day. Once again, it's not the frequency of the winning trades; it's the magnitude of the winning trades.
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I trade both with and against the trend, I actually had just as many entries with the trend, but I don't use the TICK to take trades with the trend, I only use it to confirm counter trend trades. Since this thread is about the TICK, I only showed the entries that were supported by the TICK. As you can see on the chart, the indicator had only 1 or 2 TICK extremes going with the trend. I am a scalper I try to take 6 to 10 ticks out every pullback and every continuation move and get out. I can't be in a trade for more then 3 minutes, or I will pull my hair out.
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Close to a 30point trend day down, and you can't hold onto your winners for more than 3 minutes? That's some serious A.D.D. On a day like this you should be trading with the trend, and pressing like crazy.
Yup... Uh... what were we talking about? That's why there are trend riders and there are scalpers. You have to know your personality, and choose a trading style that fits it. I probably ended up the day with just as many points as a trend rider, most likely more. If I shorted at the beginning of the day, and tried to hang on to the close, I probably would have a coronary just around 10:30 am
According to my charts, the spy traveled about 290 ticks today from absolute high to the absolute low. I only traded from 8am to 1pm est. But, if I took every entry signaled by my system for the entire session, and my mechanical system has a fixed 5 tick stop and fixed 10 tick target for the SPY, scalping with and against the trend. Counting all winners and losers, I would have ended up the day with +340 ticks on an instrument that moved 290 ticks tip to tip. How would that compare with most trend systems trading the SPY, or its futures counterpart, the ES. I don't know, I am earnestly asking the question, it would be interesting if someone did that exercise. Even if someone responded and said they made 2500 ticks, I still would not become a trend trader, because it's just not me. We can all make money, even given all our differences, using the method that suits us best.
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I would imagine that FT would be better qualified to expound on the subject of position sizing and expectancy, so I will defer to him. I do know however, that I would would rather have a small amount of very large winning trades than a large amount of very small winning trades, and I have a forty year data base from which to draw that conclusion.
I was a very risk adverse mechanical scalper on the floor for 25 years, cranking out a relatively a low 6 figure income every year. I used to be proud of the fact that I rarely had had a losing day, almost never had a losing week, and never had a losing month. Which is wonderful and all, but is exactly the kind of thinking that was inhibiting me from making a lot of money.
I was more concerned with the frequency of my winning trades than the size of my winning trades, because that is what is intuitive to most people, traders included. It wasn't until I left the floor and started trading electronically that I changed my risk reward parameters and style,(out of necessity) and began to press and add to my winners. What happened was the frequency of my winners went down, but the size of my winners grew by a lot, and so did my year ends.
Part of being a good trader is recognizing what kind of day it is. Range days and trend are traded differently, and days like today are special days which must be taken advantage of. The same goes for individual trades;some are better than others, and a good trader realizes when he is in a really good trade, and adds to, and presses that trade.
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I see the retracements, but how did you trade this day, if you traded this chart, or how would you trade it? Where would your entries be, where would your exits be? Can you put some entry/exit arrows or any notes on the chart so we can see the process.
Monpere, just draw a trend line and sell when price hits the line. I see at least four good entries or if you have bawls get in and stay in until price breaks the trend line. Pretty simple huh?
Interesting thread Tiger. I have recently replaced my sector charts with the Cumulative Tick (CT). The sole reason to use them is to help identify trend/range days on the ES and to some extent the NQ.
I notice that the CT and the ADD have very similar appearances. Is there value in having both CT and ADD in your opinion? If so - could you explain how they could both add value?
Very strange day, the two different indicators, that is the MACD type oscillator below and the Supertrend, gave exactly the same entry signals. Remarkable, as one of them is a momentum and the other one a volatility based indicator. That said, if downward volatility resumes, it naturally creates downward momentum.
Also note that all three trend filters are clearly bearish, or can you see anything, which remained green on the chart?
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The last 3 red arrows on your chart are valid entries but really it's not the best place to enter as you are entering when price makes a similar bottom in all three cases which i usually consider a bad place to consider an entry. This is where amateurs open new positions. You are not an amateur, are you ? (p.s. this is humor)
Quite logical and i understand the rational behind it but where do you place your limit in terms of retracement. It's easy to say sell strength like when we have a potential for a double top formation but during a trend and more particularly when price makes an attempt to break the trend, how do you differentiate a simple pullback from an attempt to reverse and change the overall bias considering your heuristic rule: "sell strength, not weakness" or vice versa. If you are heavily loaded when price makes an atempt to reverse then you don't want to give it all back.
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The simple answer to this is - you never know and you can NEVER be certain.
Still there are things you can do. If the market has moved up and is pulling back, the single best method to guage the end of the pullback is the tape. If you trade forex - good luck with that. The tape will slow down, large sellers will disappear and you may also see firming up on the DOM OR lots of volume hitting a small bid yet price not ticking down.
Whether you use this method, whatever your 'in' is - consider that this 'pullback' from an uptrend will do one of 3 things:
1 - Continue up and carry on the uptrend
2 - Move up and then fail
3 - Move straight down
You should look at how far you are from the last swing high - if it's not far enough to at least get 1 target off or to a break even, then pass on the trade because you might get back up there and sellers jump back in.
If the last swing high is closer than the pullback low because you hesitated, pass on the trade because you are in an unfavourable position.
Get in close to the pullback low - by analysing order flow.
Ensure the last place that the price stalled is far enough away to take money off the table by the time you get there.
Ensure your stop is closer than that first target/last swing high.
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With futures it's tough - contracts ain't cheap for the small guy and so I think trading the ETFs as a proxy allows the retail trader to work with position size/scaling algos he'd not be able to use with futures contracts.
Still - my current model is to have:
Target 1 - 50% of position - 4 points NQ, 2.5 points ES
Target 2 - 25% of position - next swing high
Target 3 - 25% of position - opposite end of range but managed (e.g. if buying yesterdays low, target = yesterdays high)
Stop - Same as Target 1
This way if I reach Target 1 - it's s free trade. Target 1 must,must ,must be a price that has been traded before though. There can't be anything in the way of it.
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Of course, I am an amateur, you may consider that there are different levels of amateurship though.
What I wanted to show: range bound areas identified by the Dual Supertrend indicator matched short term overbought conditions identified by an oscillator (yellow areas on lower panel). The arrows indicate entries based on a confirmed resumption of the trend. Confirmed by the SuperTrend means a downward volatility breakout, confirmed by the oscillator means divergence (as opposed to convergence) of the moving averages.
Confirmed signals will always be late and may not be the best signals for timing entries. Actually there are three possible ways to reenter on retracements, options refer to a prevailing downtrend:
(a) enter short at resistance without confirmation by price
(b) enter short after a lower close has been made
(c) enter short after confirmation
My worst experiences have been made with (a), as any S/R leve can be simply ignored. With (b) and (c) you enter the train at least in the current direction, which is consistent with statistical findings that two consecutive price moves have a slightly positive correlation.
Whether (c) is a valid entry depends on the position of price relative to the prior low, as typically this needs to be tested to allow for rejection of the current hypothesis that price is in a downtrend.
The last two entry signals were too close to the prior low, so they were similar to potential breakout trades. You may as well conclude that breakout trades are amateur trades. I think this is true, if you are close to the end of the trend, but not at the beginning, when volatility is still rising.
The trend is your friend, until the end, when it bends.
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Your account value is $100,000, the ATR of the ETF is 3, and the ETF trades at $100. You set your risk at 2% of your capital on any given trade - $2,000 in this case. And you choose to use a 2 ATR stop. Using these risk parameters, you are willing to allow the ETF to fall by 6% before getting stopped out. 20 period ATR X 2 ATR stop. We now have the absolute value of our stop, which is $6. Divide the 2% risk capital ($2,000) by $6 and we get our position size of 333 shares.
Now, if you want to add to your winner, you can add units of risk at the appropriate technical points, or in 1/2 ATR increments. Your “adds” gets the same risk management treatment as your initial position. You can allow yourself 4 units total risk per trade which would be putting 8% of your capital at risk.
This may be a little rich, so if you want, you can adjust your risk downward.
You should always ask yourself before adding to a position, "Would I initiate a trade from this point, if I didn’t already have this position on ?
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Not in the strictest sense. My trading is a little more visceral, in the sense I can guesstimate from experience, how to size my trades. But the general concept forms the framework for my trades.
Interesting - I scale out, not in. It suits my personality more. Once I'm at target 1 it's a free ride, so even if it comes right back, I'm stress free.
I have heard proponents of both methods saying it's the only way. I just use what suits me.
Yes, the small arrows are auto-generated. The large just point to the colors changes of the oscillator after an overbought condition had been detected, so I could have generated the same arrows with the other indicator as well. The other indicator does not use volatility but relies on momentum.
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Anyone here know if OEC offers this data (NYSE TICK data)? A brief chat with them before they closed informed me that $TICK is the symbol, but I'm not getting anything. I wonder if a separate feed might be needed...
Just before the mkt closed I put "$TICK" into TOS and got the attached (5 min intra-day). Might one of you be able to compare this to your data to see if it's an accurate depiction of the NYSE cumulative tick?
I emailed TOS earlier in the day and got this response:
Thank you for your email. NYSE Cumulative Tick data is not something we provide at this time, sorry for any inconvenience.
====
After finding the attached, I of course replied, but I've heard that TOS data is not exactly desirable. Not sure why exactly, but I'm curious if this NYSE tick data is dependable. Thanks.
EDIT / ADD: I heard back from a TOS, a different person, with this:
"On the Think or Swim, $TICK is indeed the NYSE cumulative tick data. We do not alter it in any way."
his didn't close at +82, he just cut off the last bar. they are certainly not identical, but not that much different either. one problem could be how they update the data. I believe TOS updates those internal indicators like every 13-15 seconds. which is of course almost an eternity in trading.
anyway I'm still using it. I prefer it on a 1 min chart.
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Thank you Silvester17! I should have caught that (the close). I like how you did your 1 min chart. May I ask what settings you used to get green above and red below the zero line?
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If indeed TOS has 13 or so second delay on this data, when, or in what instances would this be detrimental to the trader?
The way I see it, referencing this data throughout the day helps determine (forecast) the trend, if there is one. A slight delay here is not critical, I would think. How about at extrema, like at +1,000 and -1,000, when one might want lighten a position or take the opposite side of the trade? If trading the ES as an example, and you see the NYSE tick above 1k, and the expectation is a reversal, is it typically immediate or minutes later? If not immediate (but minutes later), then such a delay might be of no consequence, in that scenario. Trying to see if and when this data (if indeed delayed by TOS) might be impairing...
Thanks much.
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Thanks for the reality check. I might just roll with TOS for this data then... I'll have MC open, doing most of the heavy lifting, and the iMac with the the NYSE tick data and possibly Market Profile (TPO) charts. Do you happen to use those also Silvester17? I like the alert capability with TOS and I read somewhere here that TOS users can listen to the pit for added sensory input...
it's pretty impressive all the features they offer. but I don't use alerts or the pit noise. in case you want to listen, go to help - support/chat - chat rooms - market cast and click on listen.
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Funny, I posted on MB's, I think yesterday (I forget where on this forum)! I believe it is new to TOS as of Feb this year. Honestly, I don't quite understand it all yet, but the link you provided should help.
Silvester17, trading experience, none, really? You have been most helpful, thank you.
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I have been working on something similar. The research looks promising, but when it comes to actual trading, the results are not that great
I was wondering if Tiger or anyone else could shed some light on what the problem maybe?
Chart Setup:
plot 1 - ES 5 min
plot 2 - 4 period moving average of 3 min $TICK
*Plot 1 also has the same 4 period sma.
*$TICK(NYSE TICK) chart is hidden not shown.
This morning at 10:55 AM EST. I correctly identified a negative divergence between price(ES) and TICK moving average.
After putting in a high, when ES rallied back up towards 1226, TICK ma failed to confirm the move.(see the purple arrow).
Given the above, how would you have traded the ES?
I think I am having trouble with this since the analysis is based on something other than price. This divergence can last a while, can also show up early as was the case with the second 'signal' at the bottom.
Thanks
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Although not trading TICK divergence yet. All three setups looked good today. There appears to be a need to use wide stops and give the mkt room for the trade to play out.
tigertrade, what trades would you have taken today? Thanks
Didn't really pay much attention to the ES today, because of the FOMC meeting; sat on my hands most of the day. Traded the curve and got short the NOB; seemed more relevant for the day.
hi,
I have tradestation $TICK and CQG NinjaTrader 8 ^TICK. When I compare both, they have different data value. Similar movement but different value. Both firms told me they getting the data straight from the feed. Any ideas why the differences?
Sam
Yes this is right have compared too. I dont know the answer.But do we really care? Set the exteme settings accordingly . I mean for me the extremes on transact are around +600 -400. Tradestation comparing +1000 -800. What is your setting for extreme readings on tradestation?
depending on the day. If big down day -1000. on big up day +800 on Tradestation. Have you used Kinetick? is it different than Tradestation for $TICK reading. I wonder if there are no 2 feeds a like. I called NY stock exchange and got the run around. The data should be the same unless it is filtered somewhere. Sometimes CQG and Tradestation are similar and other times far a part. maybe big mike knows the answer.
I haven't used kinetick...just compared side by side tradestation and infinity-transact and what I saw was infinities extremes was way less than tradestation extremes.....but similar analogicaly.
Each data provider can have different TICK numbers. I have used Tradestation for a decade and add Sierra Charts a few years ago for Volume Profile needs. There is a difference is TICK and ADD between the two platforms.
That's why there are trend riders and there are 
