[nycdweller]

Almost all of the information I've seen about using volume while daytrading is on interval charts (second or minute charts). I recently discovered that I can add volume to my tick charts. Is there a difference in the way volume is presented with interval charts verses tick charts? Is volume on a tick chart just as accurate as it would be on an interval chart? Thanks.

[januson]

Hi

I use tickcharts with volume, the volume is exactly the same as with timebased intervals, atleast in MultiCharts.

As you probably allready know.. A tick is a trade with some volume, so 15tick would accumulate 15 trades volume.

I timebased interval could actually sometimes be splitted into 2 bars, for instance if a trade is initiated milliseconds before the interval has reached it endpoint in time, then the next bar would start with the leftovers from previous trade info.

[Eric Johnson]

I believe that each tick represents a price. At a given tick there can be any amount of trades at that price. When sales move to a new price tick, then volume or trades begin counting again. Example 512 tick chart volume will show the sum of 512 individual price volumes.
For a one minute chart it is just the total of the trades at any price in that time period. At given intervals or light trading, there should be times when the volume is not exactly the same on the different type bars. For example if the price of trading stayed at one price for 5 minutes, and volume was light; you would only get one tick bar, but 5 one minute bars. The one tick may have 50 for volume and the minute bars should divide up the 50 according to the time traded.

[BlowFish]

Thats not quite right EJ . Each tick represents a transaction. So a 150 tick chart will have 150 transactions a bar. There is nothing stopping you adding a volume histogram to a tick chart.

Using the same 150 tick chart example, if you add a volume histogram it will show volume for each group (bar) of 150 transactions. This tends to give a fairly flat volume histogram as usually higher volume is accompanied by more transactions causing more bars.

An interesting study is constant volume bars with a time histogram representing how long it took the volume bar to form.

As always it depends on what you are trying to achieve.

[Eric Johnson]

This is a most interesting subject. I did some research when investigating tick spike filters. Investigating what parameters do the exchanges use to filter valid trade range. For example what was the high and low of the day, if there was a way out market order filled? This effects my technicals.

Here is a link on the subject of what is a tick and how is volume measured. It also covers constant volume charts.
http://www.tradingmarkets.com/.site/...les/-75249.cfm
Here is the essence of my point, pasted from the article.
Tick charts" form price bars by measurement of price changes rather than size of trades executed. In other words, if the ER2 price moves from 700.00 to 700.10 to 700.20 to 700.10, that would be four ticks in formation of a chart bar. If the tick chart setting is "500" per bar, it would obviously take some 500 price changes to complete each bar on that specific chart. Within that series of five hundred price changes would be an unknown quantity of volume. Some tick chart bars would have more or fewer actual contracts / shares represented than other similar bars elsewhere on the chart.

[BlowFish]

Just to re-iterate it does not need price changes to form bars it just needs a trade/transaction to record a tick. You could get 500 trades at the same price and that would cause a new 500 tick bar. If the article says different it is wrong! OK Just checked and it is wrong. It's by Austin Passamonte too he should know better To be clear 700.00 700.00 700.00 will cause 3 ticks too. It is nothing to do with price change.

Constant range charts require price changes..thats a whole other ballgame.

[Eric Johnson]

As I read articles trying to isolate the working definitions; I find the idea that a tick is just a single lot transaction, and can vary in share size. Also I find the idea that a tick has to do with a change in price, and volume is measured as how many shares were traded at that price.
It is amazing for me to consider that a single (share) trader of the DIA could be counted as one tick, but I am learning.
Perhaps this is the source of the confusion. The link below gives the business definition of a tick as the change in price. Perhaps it is not the same for charting.
http://www.allbusiness.com/glossarie...4942617-1.html

My pracitical interest is in the difference in quote feed charts. There can be major differences in the bars, or highs or lows. Is it junk data, way out fills and spikes, or different parameters for what makes a valid tick? Even backfill historical data can look different then when it was first given live. Even for drawing fibonacci retracements, I need to know where a good top and bottom are. Anyhow glad for the discussion, ideas, and hope others join.

[januson]

EJ-> You're wrong, a tick has nothing to do with price change. I think the authors of your references have misunderstood the definition of a tick.
A tick is a trade/ transaction, and a price move could be/ is called uptick or downtick.