How much does a stock price typically change from tick to tick? - futures io
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How much does a stock price typically change from tick to tick?


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How much does a stock price typically change from tick to tick?

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  #1 (permalink)
Xebec
Herriman, UT, United States
 
 
Posts: 2 since May 2020
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I'm looking at a stock's Raw Data history to try some backtesting. (Data source is TDAmeritrace) It's trading in the $15 range and from one tick to the next, the price is often changing from 10 to 30 cents.

Is that common?

Basically, I'm trying to judge the accuracy of the raw data I'm looking at. 30 cent jumps between ticks seems high. I'd expect changes of a few pennies at a time. But, I don't know the market well enough to judge.

Anyone know?

EDIT: I discovered that the data source aggregates down to 4 data points per minute, so that's why I was seeing such large jumps. Though I do understand that every stock has its own "personality" and actually could see jumps like that.

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ZviTradingCoach
Eilat, Israel
 
 
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Xebec View Post
I'm looking at a stock's Raw Data history to try some backtesting. (Data source is TDAmeritrace) It's trading in the $15 range and from one tick to the next, the price is often changing from 10 to 30 cents.

Is that common?

Basically, I'm trying to judge the accuracy of the raw data I'm looking at. 30 cent jumps between ticks seems high. I'd expect changes of a few pennies at a time. But, I don't know the market well enough to judge.

Anyone know?

EDIT: I discovered that the data source aggregates down to 4 data points per minute, so that's why I was seeing such large jumps. Though I do understand that every stock has its own "personality" and actually could see jumps like that.

Well, that would depend on the spread of the stock (difference between ask and bid prices).
Some stocks have a 1-2 Cent spread. Others have a Dollar... In general, expensive stocks (e.g. AMZN) and relatively thinly traded stocks tend to have wider spreads than cheap or mid-priced, high-volume stocks.
Take a look at your specific stock during the day, on live feed. Look at the typical difference between ask and bid throughout the day and get a feel for it.
If it seems too wide for your trading methods - just choose different stocks.

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