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New Tick Aggregation Issues...
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New Tick Aggregation Issues...

  #1 (permalink)
Elite Member
Indianapolis, IN USA
 
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New Tick Aggregation Issues...

Prior to early October 2009, I had /ES tick charts running on TOS and Ninja that were nearly identical. When the CME starting pushing out more data in October, the TOS charts and the Ninja charts were no longer even remotely similar. I am currently using the Zen-Fire data through Ninja and have also compared charts from Open E-cry. The Open E-cry and Zen-Fire data feeds contain way more information than the TOS charts. And now here is the ironic / frustrating issue: If you look at /ES tick charts on the CME's own charting application, the charts are nearly identical to the TOS charts. This whole mess has really affected the confidence I have in tick charts since they are, essentially, now different from different data vendors. How are others handing this? Intuitively, it seems better to trade from the charts that are pushing out "more" data. Maybe it's time to make the change to volume based charts.

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  #2 (permalink)
Trade with the flow
Paris, France
 
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cunparis's Avatar
 
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timefreedom View Post
Prior to early October 2009, I had /ES tick charts running on TOS and Ninja that were nearly identical. When the CME starting pushing out more data in October, the TOS charts and the Ninja charts were no longer even remotely similar. I am currently using the Zen-Fire data through Ninja and have also compared charts from Open E-cry. The Open E-cry and Zen-Fire data feeds contain way more information than the TOS charts. And now here is the ironic / frustrating issue: If you look at /ES tick charts on the CME's own charting application, the charts are nearly identical to the TOS charts. This whole mess has really affected the confidence I have in tick charts since they are, essentially, now different from different data vendors. How are others handing this? Intuitively, it seems better to trade from the charts that are pushing out "more" data. Maybe it's time to make the change to volume based charts.

It didn't affect me other than to increase the tick sizes of my charts, roughly by a factor of 2 but I think it has been calculated to be around 2.5. Other that everything works as before. I use tick charts on tradestation.

Lately I've been thinking that 1min charts during market hours are low enough for me. In overnight sessions tick charts are much better.

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  #3 (permalink)
Elite Member
Queretaro,Qro. Mexico
 
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Platform: Ninja Trader, Multicharts
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What is the new tick count and correlation between old and new tick parameters.....?

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  #4 (permalink)
Elite Member
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This depends upon the data provider. There is a difference between how the data is processed from Zenfire and DTNIQ as compared with Interactive Brokers and Tradestation. Aggregation is nothing new and for most it should not be considered as an obstacle to successful trading.

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  #5 (permalink)
Trade with the flow
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spikoloco View Post
What is the new tick count and correlation between old and new tick parameters.....?

new data has roughly 2.5 times more data. So my old 233 tick chart is now 500 (not exactly 2.5 but I wanted a round number).

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  #6 (permalink)
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cunparis View Post
new data has roughly 2.5 times more data. So my old 233 tick chart is now 500 (not exactly 2.5 but I wanted a round number).

Cunparis, who are you using for data on NT? Did you notice a significant difference with your tick charts in Tradestation?

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  #7 (permalink)
Trade with the flow
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ArtCole View Post
Cunparis, who are you using for data on NT? Did you notice a significant difference with your tick charts in Tradestation?

I use zen-fire.

On Tradestation I went from 233 ticks to 500. I didn't do a lot of effort on that, I read that the difference was 2.5x. 233 was a fib so i just went to 500 and got a slightly faster chart.

On zen-fire I haven't used tick charts, I use range or minute. I do most of my trading on tradestation..

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