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Volume Bar vs Tick Bar


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Volume Bar vs Tick Bar

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  #1 (permalink)
stamford, connecticut
 
Experience: Beginner
Platform: NinjaTrader, ToS
Trading: Currency Futures
 
Posts: 14 since Apr 2012
Thanks: 15 given, 12 received

Hi All,

I am interested in comparing Volume Bars vs Tick bars.

To clarify a bit, I have been using a 512 tick chart on Ninja Trader and was always a little bit surprised to see the data box volume for each bar come in around 600 or so, when I expected to see it at 512 every time. After doing some research, I learned that what I was expecting to see is known as a Volume bar, not a tick bar.

Quick definition:
Tick Bar - Prints a bar for every X number of trades . If someone trades 1 contract in a transaction, that counts as one trade. If someone trades 3 contracts in a transaction, that STILL only counts as 1 trade.

Volume Bar - Prints a bar for every X number of contracts transacted. i.e. If someone trades 3 contracts in a transaction, that counts as 3.

I can think of reasons for using both. Tick bars paint a better picture of how many people are moving a market in a specific direction while volume bars show how many traded contracts are moving a market in a that direction. They're certainly correlated, but likely generate very different looking indicators (ES being an example where indicators for tick and volume likely differ greatly due to the large number of contracts involved in the average transaction)

My Question
Why do tick bars seem to be much more widely used? . Do commonly used indicators seem to correlate more closely to tick bars than to volume bars? Are people gaining additional information from tick bars that I am overlooking?

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  #3 (permalink)
Chicago, IL
 
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Platform: oil super computer
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might be wrong but I think I saw somewhere that tick bars have been around longer so that may be one reason more people would use them. As far as being different it depends on the contract with the ES a 2000 tick is pretty similar to a 10,000 vol chart but on contracts with less volume the numbers are much closer

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January 14, 2013


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