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Sierra Cumulative Tick Indicator setup
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Created: by steve2222 Attachments:4

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Sierra Cumulative Tick Indicator setup

  #1 (permalink)
Just a boy
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Sierra Cumulative Tick Indicator setup

@josh (or anyone else)

I didn't want to take TT's thread off topic.

I see you bouncing posts backwards and forwards with @Big Mike regarding the above.

I wondered if you could steer me in the correct direction of how to create this in SC.

I have created a One minute chart of the symbol TICK-NYSE (which is from SC's own real time Market Statistics service collection).

I have then applied a study to that chart being a SMA with a period of 1 to average the high and low for each 1 minute bar.

Session time is 9.30am to 4.00pm ET.

What do I now do to create the Cumulative plot? Is it correct that I would use 'Cumulative Sum of Study' study?

If so I note you only have the option of producing this for the current session or the period of that chart that is currently showing on the screen. So how do you then create a cumulative plot say since the start of the year?

Thanks for your help.

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  #2 (permalink)
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It's actually even more straightforward than that @steve2222

You have two easy options, which produce identical results. I use option 1:

1) Chart A has TICK, 1 minute bars. Attach the study "Summation", input data is "HL Avg"
2) Chart A has TICK, 1 minute bars. Attach the study "Cumulative Sum of Study" and set "Reset at Start of Trading Day" to "No" and Study/Subgraph to Reference to "Main Price Graph" and "HL Avg"

In either case, set the number of days to load for chart A to be as many as you'd like to look back at.

(Cumulative sum of study gives you the option to reset at the start of the day, which is what I use for my cumulative tick that I look at during the trading day. Summation is just a straight sum of every value on the chart.)

Chart B is your reference chart of S&P or whatever you like. Use the Study/Price Overlay to reference the study in chart A you are using to overlay it, making sure you set the scale of the study to Independent.

FWIW, I've noticed that the SC TICK-NYSE feed tends to have a bit of an upward bias to it, compared to IQFeed, but that's part of the challenge in using TICK, as it is non-standard.


Last edited by josh; December 27th, 2014 at 02:18 PM.
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  #3 (permalink)
Just a boy
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Hi @josh,

For my continuing education. Is the chart that you posted in the Spoo thread (https://futures.io/index-futures-trading/13452-es-s-p-500-futures-contract-sp500-spoo-nalysis-1112.html#post462472) a daily chart with a 1min cumulative tick overlay?

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  #4 (permalink)
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Yes @steve2222, it is exactly as described above.

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  #5 (permalink)
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I Need help with the cumulative tick on sierra charts

I did not want to make a new thread so I hope I can get some help through here, I would like to replicate cumulative tick onto sierra charts I have try different times with different approaches but none of them net me close to what I am looking for (I'm using stock chart cumulative $tick as a "standard"). I understand that there is no standardization on NYSE Tick that every provider has their on algorithm which makes what I see on stock charts or TOS or any other platform/provider look different to what I might see on sierra chart.

So what I am asking is sierracharts tick nyse (bullish bias)? I say this b/c when I used the Cumulative Study it was mostly up.

I have tried a couple of formulas that I thought were it but were off here and there.

The only Cumulative tick that worked for me other than the one on stock charts was TOS.

-thanks in advance

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  #6 (permalink)
Just a boy
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militonyc View Post
I did not want to make a new thread so I hope I can get some help through here, I would like to replicate cumulative tick onto sierra charts I have try different times with different approaches but none of them net me close to what I am looking for (I'm using stock chart cumulative $tick as a "standard"). I understand that there is no standardization on NYSE Tick that every provider has their on algorithm which makes what I see on stock charts or TOS or any other platform/provider look different to what I might see on sierra chart.

So what I am asking is sierracharts tick nyse (bullish bias)? I say this b/c when I used the Cumulative Study it was mostly up.

I have tried a couple of formulas that I thought were it but were off here and there.

The only Cumulative tick that worked for me other than the one on stock charts was TOS.

-thanks in advance

@militonyc

Recent discussion on this has been mainly around @Big Mike trying to get validation of his tick data. Consequently this discussion is spread across:

https://futures.io/elite-circle/13452-elite-es-s-p-500-futures-contract-sp500-spoo-nalysis-2283.html

and

https://futures.io/elite-trading-journals/1415-big-mike-s-day-trading-method-advice-386.html

The first thread has most recent discussion. Search on that thread for 'tick' and/or 'cumulative'.

I would not class StockCharts as the standard. They aggregate the data into too higher time level ie not enough granularity.

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  #7 (permalink)
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@steve2222
thank you I am going to do some research later today on CTick.

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  #8 (permalink)
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NQ TICK


josh View Post
Yes @steve2222, it is exactly as described above.

Hi @josh, I hope you can help me with interpretation. I trade the NQ and use the NQ Tick. But I struggle to find the edge. I'm using a daily cumulative tick (using SC's Cumulative Sum of Study) and reset the value to 0 every day. I overlay this on a 1597 tick chart. However, I find many examples where NQ price leads and the cumulative tick lags. Attached is an example. Is this normal?

PS - I am familiar with Steenbarger's TraderFeed and have read a lot of his material but the theory and the practical doesn't match up and I would like to know where I err.

Attached Thumbnails
Sierra Cumulative Tick Indicator setup-nq-tick.png  
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  #9 (permalink)
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I used @josh method two, with resetting at the start of session (0930 - 1600) EST.

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  #10 (permalink)
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I think there are much better ways you can represent this. You need to normalize the data or use some kind of percentile ranking algorithm.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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