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Understanding of tick volume
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Created: by jiaqiangmit Attachments:2

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Understanding of tick volume

  #1 (permalink)
Elite Member
Mianyang China
 
Futures Experience: Beginner
Platform: Multicharts
Broker/Data: broker: Oanda
Favorite Futures: HSI, DAX, ES
 
Posts: 71 since Aug 2017
Thanks: 15 given, 7 received

Understanding of tick volume

Hi guys,
I once thought I understand tick volume, now I suddenly doubt.
Instance below, the numbers are prices for every trade

Price / traded volume
10 ---1
10 ---2
11 ---3
11 ---4
12 ---5
13 ---6
--------------------------------


The volume is 21 contract, there are 6 trades, and price changed 4 times(is this right?), So what's the tick volume? 6 or 4?

Thanks

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  #2 (permalink)
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  #3 (permalink)
Elite Member
charlotte nc
 
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Hi jiaqiangmit,

I may be able to help. In order to best understand trade volume relative to tick volume you will need to run this on a 1 tick data series, anything other than this will aggregate data and you will not be able to deconstruct tick volume relative to trade volume. From a 1 tick data series, each tick volume = the total volume because the data is granular down to each individual trade.

Alternatively if we run this up to a 5 tick time series we may find that with 5 individual trades you have the following.

Trade 1: Volume = 1
Trade 2: Volume = 4
Trade 3: Volume = 5
Trade 4: Volume = 10
Trade 5: Volume = 1

So the reported volume would be 21, and the number of ticks would be 5. You can infer that the average trade size was 21 / 5 = 4.1 roughly. But you will not be able to see the granularity of each trade once you aggregate your data.

I am not sure what you are looking for exactly because you didn't mention what time series your example data was, how it was constructed, but either way the tick volume would be the total volume of all trades that compose is, so 21 would be the total tick volume.

Hope this helps.

Ian



jiaqiangmit View Post
Hi guys,
I once thought I understand tick volume, now I suddenly doubt.
Instance below, the numbers are prices for every trade

Price / traded volume
10 ---1
10 ---2
11 ---3
11 ---4
12 ---5
13 ---6
--------------------------------


The volume is 21 contract, there are 6 trades, and price changed 4 times(is this right?), So what's the tick volume? 6 or 4?

Thanks


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #4 (permalink)
Elite Member
Mianyang China
 
Futures Experience: Beginner
Platform: Multicharts
Broker/Data: broker: Oanda
Favorite Futures: HSI, DAX, ES
 
Posts: 71 since Aug 2017
Thanks: 15 given, 7 received


iantg View Post
Hi jiaqiangmit,

I may be able to help. In order to best understand trade volume relative to tick volume you will need to run this on a 1 tick data series, anything other than this will aggregate data and you will not be able to deconstruct tick volume relative to trade volume. From a 1 tick data series, each tick volume = the total volume because the data is granular down to each individual trade.

Alternatively if we run this up to a 5 tick time series we may find that with 5 individual trades you have the following.

Trade 1: Volume = 1
Trade 2: Volume = 4
Trade 3: Volume = 5
Trade 4: Volume = 10
Trade 5: Volume = 1

So the reported volume would be 21, and the number of ticks would be 5. You can infer that the average trade size was 21 / 5 = 4.1 roughly. But you will not be able to see the granularity of each trade once you aggregate your data.

I am not sure what you are looking for exactly because you didn't mention what time series your example data was, how it was constructed, but either way the tick volume would be the total volume of all trades that compose is, so 21 would be the total tick volume.

Hope this helps.

Ian

Thanks, I was not sure "tick volume is the price change".
price
10
10
11
12
13
12
-------------
let's suppose this is 1 tick data for one minute. There are 6 trades made, the first two price is the same, so the "price change" is 5? In this case the tick volume is 6 or 5?
Thanks.

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  #5 (permalink)
Elite Member
charlotte nc
 
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Platform: ninjatrader
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Posts: 328 since Jan 2015
Thanks: 59 given, 694 received

Hi jiaqiangmit,

I think the best way for you to understand this is to see some raw data, so I am enclosing a raw data output from the ES a couple days ago. This shows each single trade as an individual row. The Volume column shows the number of contracts that were traded in each given trade.

As you start to increase your time series and aggregate the data up to a 5 tick bar, 10 tick bar, 100 tick bar, etc... You lose the granularity. You can see the walk between a 1 tick time serious and everything else by playing with this data.
For example to understand what is in a 100 tick time series. Just take the first 100 rows, sum the volume and look at all the prices that comprise the "Last" column. Take the min of this, and the max of the this, the first value by date time and the last value by date time and you can build a candle stick with the High, Low, Open and Close and see the total volume over this time period as well.

You can also do this not by tick count, but by time as well. Take a 30 second duration, or 1 minute for example and do the same. Sample the data between a starting point and ending point that is time based, and sum the volume, and observe the high low, and first and last values in the "Last" Column and you can see how a time based candle is built.

This should get you started.


Ian







jiaqiangmit View Post
Thanks, I was not sure "tick volume is the price change".
price
10
10
11
12
13
12
-------------
let's suppose this is 1 tick data for one minute. There are 6 trades made, the first two price is the same, so the "price change" is 5? In this case the tick volume is 6 or 5?
Thanks.


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Attached Files
Register to download File Type: zip One Tick Data.zip (46.4 KB, 7 views)
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  #6 (permalink)
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Clemmons
 
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Favorite Futures: Gold, Junior Miners
 
Posts: 7 since Feb 2018
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Looking for Direction, Tick by tick

Hi jiaqiangmit and iantg,

I've looked at several tick accumulators to see if they can function as forecast tools for an upcoming move, or even confirmation of an ongoing trend, but so far, I cannot see a consistent correlation in count or volume. Sometimes a tick spike coincides with an upsurge in price, but just as often there will be a similar spike while the same chart is in a flat consolidation, or declines in tick chart while actual underlying is rising (SEE ATTACHED IMAGE) That said, I have not used (or seen) a tick-by-tick study. I understand Peter Reznicek (ShadowTrader) sells a cumulative tick study that seems to show some relevance.

Here is Image or NON-CORRELATION OF MULTI-TIMEFRAME TICK COUNTS (15m chart).
I see same non-correlated results on all timeframes.
Maybe I'm doing this wrong. Please feel free to add guidance, especially if it includes images and code.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


-Scott

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  #7 (permalink)
Trading Apprentice
Clemmons
 
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Platform: Thinkorswim
Favorite Futures: Gold, Junior Miners
 
Posts: 7 since Feb 2018
Thanks: 1 given, 0 received

Tick Granularity, Regular Indicators

Daytrading using ticks offers an amplified view over a minute-based chart for more accurate entry and exit, especially in a volatile investment that can rise or fall quickly within a 1min candle.

I've been successfully testing the following setup and will be comparing and possibly using a composite grid with tick on one side and minutes on the other: (In any case, paper trade until proven!)
  • 10t and 25t charts typically zoomed to a 30 min view.
    (10t is truly revealing, but leads to a lot of unnecessary in-n-out. Too many leaves, no trees, what forest?)
  • Slow RSI at 25 & 50.
    I set overbought & oversold on 80/20. Emergence from these reversal zones is a big warning sign.
  • Ultimate Oscillator on 25, 50, 100
  • 5-Ribbon Moving Average with 25-tick increments

Here is a detailed TICK entry/exit from JNUG on Friday:
(Green Trade states 2.25% but was actually 3%)

I'll update when I have a side-by-side TICK vs MINUTE paper trade day.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #8 (permalink)
Elite Member
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 328 since Jan 2015
Thanks: 59 given, 694 received

Hi Scottm,

I am not sure exactly what you are looking for an indicator that quantifies the frequency of ticks relative to time to do. I am not familiar with the tools that you mentioned so I wouldn't be able to comment on those specifically, but I can give you my opinion about the correlation between tick frequency and time.

I think that as the number of trades over a certain period of time increase or decrease what you are observing is either an increase or decrease in market orders and little more than this. Most of the popular futures will always have fairly thick limit order books and whether or not the price every moves or not is typically driven by those that are willing to cross the spread and submit market orders.

Any indicator that measures the number of trades per 5 seconds for example can only quantify the speed of the market, I don't believe that this could be used to predict the direction of the market. The best use case for a discretionary trader here I believe would be to measure ticks / time to tell you just how zoomed in or zoomed out you need to be in your chart to see meaningful data. For example if the market is generating 100 trades per second, you will need to zoom out! Alternatively if the market is generating only 10 trades per minute, then you may want to zoom in to try to see more.

I don't think that a large number of trades per X time frame will predict that the market is going to move up or down, because everyone is trying to fight just like always... but this is just occurring much faster. At the same time slower trading conditions won't necessary not move the market either. There is still fighting here but slower.

I don't know if this helps or addresses your question, but I would be glad to discuss further if you find any of this relevant.

Ian



scottm View Post
Hi jiaqiangmit and iantg,

I've looked at several tick accumulators to see if they can function as forecast tools for an upcoming move, or even confirmation of an ongoing trend, but so far, I cannot see a consistent correlation in count or volume. Sometimes a tick spike coincides with an upsurge in price, but just as often there will be a similar spike while the same chart is in a flat consolidation, or declines in tick chart while actual underlying is rising (SEE ATTACHED IMAGE) That said, I have not used (or seen) a tick-by-tick study. I understand Peter Reznicek (ShadowTrader) sells a cumulative tick study that seems to show some relevance.

Here is Image or NON-CORRELATION OF MULTI-TIMEFRAME TICK COUNTS (15m chart).
I see same non-correlated results on all timeframes.
Maybe I'm doing this wrong. Please feel free to add guidance, especially if it includes images and code.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


-Scott


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #9 (permalink)
Trading Apprentice
Clemmons
 
Futures Experience: None
Platform: Thinkorswim
Favorite Futures: Gold, Junior Miners
 
Posts: 7 since Feb 2018
Thanks: 1 given, 0 received

tick

iantg,

Thanks for the insight. Reading through your very technical blog, I appreciate your comments and your in-depth research, wisdom and experience.

I am looking for one or both of the following in a tick tool: Positive and ongoing confirmation of a trend direction, or a predictive entry indicator (like seeing a build of up pressure before a big uptrend). I have seen @shadowtrader promo his cumulative tick tool on one of his weekend updates and thought it looked interesting, so I'm trying to explore that or similar ideas. I am (getting) pretty adept at personalizing and customizing existing studies/code, but I am no programmer.

My current indicators-of-choice usually give good entry/exit signals, but sometimes show me the exit on the first pull back of a very long leg up, meaning I miss the juicy part of the trade. Or worse, indicators will show buy signals on every minor pop of a long leg down, creating a recurring bull trap.

I'm using:
  • Forecast Oscillator as a predictive entry/exit too, but it can be very choppy unless the trend is strong.
  • CCIs and multi-frame RSIs to confirm specific entry points. These can be late on entry and exit, minimizing profits.
  • SMA ribbon as a visual confirmation of trends and changes. Untwisting the ribbon is a good confirmation for a new trend after a consolidation period.
  • Ultimate Oscillator as a buying pressure gauge and for top/bottom divergences.

I am NOT using MACD, True Strength and similar tools, which work some of the time, but can also give very bad signals in extended trends. I've watched a MACD rise in a market that was cascading down, and visa versa. I like tools that show strong correlation, especially if they keep me from losing. I also have not seen a correlation of volume of trade count be a good indicator at all.

I normally stick with 1, 2 or 5min charts for day trades, but just flipped over to a 10-tick and a 25-tick and loved the good entry and exit points (with a few falsies thrown in). I'm still testing to see which is more profitable, tick or minute, or both together.

What I look for in a new tool is a strong and consistent correlation to entry/exit.

I'm not sure if this helps, but any ideas you can throw at me would be greatly appreciated!

Humbly, scottm

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  #10 (permalink)
Elite Member
charlotte nc
 
Futures Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 328 since Jan 2015
Thanks: 59 given, 694 received

For what it's worth...


Hi ScottM,

I don't personally trade this way, so maybe I am not the best person to give you advice in this matter as I am not a chart type of trader, but the last I recall looking, the ADX was a good indicator to pick up trends. You can likely identify trends and ranges with this with the right setting. But like every other indicator they are backward looking and not forward looking.

If I was doing it from a chart, I suppose I would use something like the ADX to define if there was a trend or not.

For trends, enter on the pullbacks
For ranges, enter on the pop outs.

Provided that the trends and ranges are long enough, and you have the settings such that you are capturing macro level events and not small changes every 20 ticks for example, this is about what you could expect.

1. Either a trend or range is established
2. Your ADX picks up on this and you identify your opening. (Enter on either a pullback or pop out) The market continues doing what it was doing and pick the right side with this logic.
3. *** Hope that during your next K number of trades you can repeat the success of your first attempt at this. (Assuming the market held and your first attempt even worked)
4. The market will enviably change, either from a range to a trend, or a trend to a range, and eventually the logic that worked will fail. You will wait for a while for new ADX signal to confirm the change and you will try again the opposite way.

But overall here is the goal.

Capture the right side shortly after the market settles into either a trend or range for the first trade, then repeat and succeed 1 to 2 more times. On your 3rd or 4th attempt expect to lose because the market will flip the opposite way. So all other things even, you should hope for 2 winners for every 1 loser.

In order to get this you will have to have solid profit targets and stop losses that are statistically in line with the present market. You can't always just blindly shoot for 50 point PT and use a 1 tick SL for example. This is a whole other topic, that I have a lot of insight on. It is way easier to get this part right then it is to pick direction in my opinion.

But no matter what, going with indicators you are going to be trying to predict the future based on past data, and this will lead to stale assumptions a lot of the time. You will often get into a terrible game of whack a mole where things work sometimes and don't other times, and you will never quite get a 100% perfect recipe. But there will never be one. The best you can hope for is to gain some edge from using past data to predict future direction.... Level 2 data might give you a slight predictive insight or two, but a lot of this is noise too. (This is a whole other topic though). There are edges that can be gained trying to pick direction, but they are relatively small compared to other edges.

The better edges in my opinion are.

1. Never crossing the spread..... ever!
2. Optimizing your queue position
3. Sizing your exit ticks relative to the market volatility to exploit ranges that market moves in

I'm honestly not in the discretionary trading world at all, so there are others that can probably give you better advice in this area. My comments will likely be generic, and fairly obviously at best.

Good luck!

Ian



scottm View Post
iantg,

Thanks for the insight. Reading through your very technical blog, I appreciate your comments and your in-depth research, wisdom and experience.

I am looking for one or both of the following in a tick tool: Positive and ongoing confirmation of a trend direction, or a predictive entry indicator (like seeing a build of up pressure before a big uptrend). I have seen @shadowtrader promo his cumulative tick tool on one of his weekend updates and thought it looked interesting, so I'm trying to explore that or similar ideas. I am (getting) pretty adept at personalizing and customizing existing studies/code, but I am no programmer.

My current indicators-of-choice usually give good entry/exit signals, but sometimes show me the exit on the first pull back of a very long leg up, meaning I miss the juicy part of the trade. Or worse, indicators will show buy signals on every minor pop of a long leg down, creating a recurring bull trap.

I'm using:
  • Forecast Oscillator as a predictive entry/exit too, but it can be very choppy unless the trend is strong.
  • CCIs and multi-frame RSIs to confirm specific entry points. These can be late on entry and exit, minimizing profits.
  • SMA ribbon as a visual confirmation of trends and changes. Untwisting the ribbon is a good confirmation for a new trend after a consolidation period.
  • Ultimate Oscillator as a buying pressure gauge and for top/bottom divergences.

I am NOT using MACD, True Strength and similar tools, which work some of the time, but can also give very bad signals in extended trends. I've watched a MACD rise in a market that was cascading down, and visa versa. I like tools that show strong correlation, especially if they keep me from losing. I also have not seen a correlation of volume of trade count be a good indicator at all.

I normally stick with 1, 2 or 5min charts for day trades, but just flipped over to a 10-tick and a 25-tick and loved the good entry and exit points (with a few falsies thrown in). I'm still testing to see which is more profitable, tick or minute, or both together.

What I look for in a new tool is a strong and consistent correlation to entry/exit.

I'm not sure if this helps, but any ideas you can throw at me would be greatly appreciated!

Humbly, scottm


In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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