Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

nycdweller

Tick Charts with Volume?

Recommended Posts

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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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/eminis/how_to/articles/-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.

Share this post


Link to post
Share on other sites

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 :D 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. :)

Edited by BlowFish

Share this post


Link to post
Share on other sites

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/glossaries/tick/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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites
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 agree that I am repeating possibly erronous sources. I do want to make sure I understand what you two are saying. So a tick is a trade with volume. How much? Is one stock share traded a tick? Or if I get filled an order of 100 shares is that a tick? I ask because all bars would have the same volume if 1 share is one tick.

I still can not see how a tick chart can have exact volume measurements as a time chart in light trading. Lets say there are 50 trades made the first minute, then only 3 for 3 minutes. There will be one tick bar, volume 50, and 4 time bars with different volume: not the same.

I am happy to learn, I just want to come away with something that makes sense and was worth the the time of all involved. And the guidance is appreciated.:)

ps- I want to sort this out, as I want to understand what exchanges use as spike filters. Does a tick need a certian amount of volume to be valid; if it is a way out tick?

Share this post


Link to post
Share on other sites

Hi Eric

 

I tick can consists of endless volume so to speak :) Please take a look a the attached screenshot, here you can see Date, Time, Price and Volume which are the attributes for a tick. A tick only displays the buy/ sell -order, not the fillers ;)

 

A tickchart does have volume bars a for instance a timebased chart has, for instance a 5min timebased chart accumulates all the volume traded within those 5 min, it's the same way a 250tick accumulates, but it accumulates the traded volume within 250 tick instead of 5 min.

 

I think the biggest difference between tick and timebased charts is that timebased moves along the x-axis without any or minor volume/ trades, and a tickbased chart only moves when there is action going on :)

 

The spike filters could be nice to have, I don't know which data providers that can handle such, but I believe that some tradingplatforms has spike filtering built-in.

 

I'm happy to explain :D

tickexport.png.faf27778a40410fdef9c947451544e11.png

Share this post


Link to post
Share on other sites

Hello, sounds like a useful explanation. I guess my question now is, for your model, is it a change of traders (making a trade) producing the new tick? I suppose few people get this specific, due to the lack of descriptive links on the web.

This was a spin off of trying to find a quality quote feed. My friend believed many were manipulated. I was moving toward verifying charts integrity with the tick record, or disqualify a feed source. I just need to have a clear working knowledge of how the exchanges are handing or filtering the data. Even the selection of the official opening tick of a session , when there may be thousands of orders in cue (at a range of prices); effects my technicals. Anyhow, at least there are helpful people who see the value of clarity.

Share this post


Link to post
Share on other sites

I myself is a big believer of clarity.

 

Actually when I sits here thinking about it, I'm a bit unsure if it still counts as only one tick when the order is splitted between many fillers. I'll look into that and post my research here.

 

I guess some of the more "commercial" data providers has a lack of seriousness for ticks. Commercial data providers could be I've knowledge of some providers who actually aggregates the tick in terms of consolidating their historical data storage, but I don't think the ticks is manipulated with a bad intention for the clients.

 

Take a look at http://www.chi-x.com/ , they cover Europe, I don't know if there exists any like in USA. The exchanges seems be less controlled, well just a feeling.

 

I use eSignal, only as a data provider, for the OMX Nordic. I could try to compare the ticks recieved from eSignal contra the ticks I recieve from my broker.

 

Interesting issues you've brought op :D

Share this post


Link to post
Share on other sites

You essentially get a tick for each trade there will be volume associated with that trade. Some exchanges might aggregate trades in heavy markets. I don't think most exchanges filter high volume ticks. In theory there should be no 'bad ticks'. If you have a fat fingered trader somewhere you might get a trade for 10,000 lots rather than 10.:) You do get busted trades occasionally if a fat finger trade goes off spiking well outside the 'normal' market (causing lots of stops and limits to be filled).

 

You also get block trades on most exchanges (Globex and Eurex for sure). These are large trades negotiated outside the auction process. They will be reported as a single trade (tick).

 

You can find out details of order matching & preferencing, reporting, general rules regulations etc. at the exchanges web site. There are small differences exchange to exchange.

Share this post


Link to post
Share on other sites

I just read through the thread and it seems to me that part of the confusion regarding the definition of a "tick" is that the industry applies the in 2 ways. It is used to define a single transaction and this is the basis of tick charts as we know them. But it is also used in conjunction with a change in price (i.e., uptick/downtick) which is a essentially a transaction at the next higher or lower price. So much for varied terminologies.

Share this post


Link to post
Share on other sites

I am pretty confused here also... If a tick = 1 transaction and say you have 512 tick chart, it would take 512 transactions before the close of the bar. Wouldn't volume on a tick chart all be the same since volume counts the number of transactions that are made?

 

:doh::confused:

 

Found the answer to my question...

 

http://www.mypivots.com/articles/articles.aspx?artnum=7

 

Ticks: A tick is a single trade irrespective of size. A tick chart builds each bar based on a certain number of ticks per bar. A 233 tick chart will create a new bar after every 233 trades have gone through.

Edited by DaKine

Share this post


Link to post
Share on other sites

Volume does not count the number of transactoins. Volume counter the number of shares/contracts traded. So, for example, one ES transaction could be composed of 5 contracts traded. Thus there would be 1 tick unit and 5 volume units occurring in this example.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Date: 11th July 2025.   Demand For Gold Rises As Trump Announces Tariffs!   Gold prices rose significantly throughout the week as investors took advantage of the 2.50% lower entry level. Investors also return to the safe-haven asset as the US trade policy continues to escalate. As a result, investors are taking a more dovish tone. The ‘risk-off’ appetite is also something which can be seen within the stock market. The NASDAQ on Thursday took a 0.90% dive within only 30 minutes.   Trade Tensions Escalate President Trump has been teasing with new tariffs throughout the week. However, the tariffs were confirmed on Thursday. A 35% tariff on Canadian imports starting August 1st, along with 50% tariffs on copper and goods from Brazil. Some experts are advising that Brazil has been specifically targeted due to its association with the BRICS.   However, the President has not directly associated the tariffs with BRICS yet. According to President Trump, Brazil is targeting US technology companies and carrying out a ‘witch hunt’against former Brazilian President Jair Bolsonaro, a close ally who is currently facing prosecution for allegedly attempting to overturn the 2022 Brazilian election.   Although Brazil is one of the largest and fastest-growing economies in the Americas, it is not the main concern for investors. Investors are more concerned about Tariffs on Canada. The White House said it will impose a 35% tariff on Canadian imports, effective August 1st, raised from the earlier 25% rate. This covers most goods, with exceptions under USMCA and exemptions for Canadian companies producing within the US.   It is also vital for investors to note that Canada is among the US;’s top 3 trading partners. The increase was justified by Trump citing issues like the trade deficit, Canada’s handling of fentanyl trafficking, and perceived unfair trade practices.   The President is also threatening new measures against the EU. These moves caused US and European stock futures to fall nearly 1%, while the Dollar rose and commodity prices saw small gains. However, the main benefactor was Silver and Gold, which are the two best-performing metals of the day.   How Will The Fed Impact Gold? The FOMC indicated that the number of members warming up to the idea of interest rate cuts is increasing. If the Fed takes a dovish tone, the price of Gold may further rise. In the meantime, the President pushing for a 3% rate cut sparked talk of a more dovish Fed nominee next year and raised worries about future inflation.   Meanwhile, jobless claims dropped for the fourth straight week, coming in better than expected and supporting the view that the labour market remains strong after last week’s solid payroll report. Markets still expect two rate cuts this year, but rate futures show most investors see no change at the next Fed meeting. Gold is expected to finish the week mostly flat.       Gold 15-Minute Chart     If the price of Gold increases above $3,337.50, buy signals are likely to materialise again. However, the price is currently retracing, meaning traders are likely to wait for regained momentum before entering further buy trades. According to HSBC, they expect an average price of $3,215 in 2025 (up from $3,015) and $3,125 in 2026, with projections showing a volatile range between $3,100 and $3,600   Key Takeaway Points: Gold Rises on Safe-Haven Demand. Gold gained as investors reacted to rising trade tensions and market volatility. Canada Tariffs Spark Concern. A 35% tariff on Canadian imports drew attention due to Canada’s key trade role. Fed Dovish Shift Supports Gold. Growing expectations of rate cuts and Trump’s push for a 3% cut boosted the gold outlook. Gold Eyes Breakout Above $3,337.5. Price is consolidating; a move above $3,337.50 could trigger new buy signals. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • Back in the early 2000s, Netflix mailed DVDs to subscribers.   It wasn’t sexy—but it was smart. No late fees. No driving to Blockbuster.   People subscribed because they were lazy. Investors bought the stock because they realized everyone else is lazy too.   Those who saw the future in that red envelope? They could’ve caught a 10,000%+ move.   Another story…   Back in the mid-2000s, Amazon launched Prime.   It wasn’t flashy—but it was fast.   Free two-day shipping. No minimums. No hassle.   People subscribed because they were impatient. Investors bought the stock because they realized everyone hates waiting.   Those who saw the future in that speedy little yellow button? They could’ve caught another 10,000%+ move.   Finally…   Back in 2011, Bitcoin was trading under $10.   It wasn’t regulated—but it worked.   No bank. No middleman. Just wallet to wallet.   People used it to send money. Investors bought it because they saw the potential.   Those who saw something glimmering in that strange orange coin? They could’ve caught a 100,000%+ move.   The people who made those calls weren’t fortune tellers. They just noticed something simple before others did.   A better way. A quiet shift. A small edge. An asymmetric bet.   The red envelope fixed late fees. The yellow button fixed waiting. The orange coin gave billions a choice.   Of course, these types of gains are rare. And they happen only once in a blue moon. That’s exactly why it’s important to notice when the conditions start to look familiar.   Not after the move. Not once it's on CNBC. But in the quiet build-up— before the surface breaks.   Enter the Blue Button Please read more here: https://altucherconfidential.com/posts/netflix-amazon-bitcoin-blue  Profits from free accurate cryptos signals: https://www.predictmag.com/ 
    • What These Attacks Look Like There are several ways you could get hacked. And the threats compound by the day.   Here’s a quick rundown:   Phishing: Fake emails from your “bank.” Click the link, give your password—game over.   Ransomware: Malware that locks your files and demands crypto. Pay up, or it’s gone.   DDoS: Overwhelm a website with traffic until it crashes. Like 10,000 bots blocking the door. Often used by nations.   Man-in-the-Middle: Hackers intercept your messages on public WiFi and read or change them.   Social Engineering: Hackers pose as IT or drop infected USB drives labeled “Payroll.”   You don’t need to be “important” to be a target.   You just need to be online.   What You Can Do (Without Buying a Bunker) You don’t have to be tech-savvy.   You just need to stop being low-hanging fruit.   Here’s how:   Use a YubiKey (physical passkey device) or Authenticator app – Ditch text message 2FA. SIM swaps are real. Hackers often have people on the inside at telecom companies.   Use a password manager (with Yubikey) – One unique password per account. Stop using your dog’s name.   Update your devices – Those annoying updates patch real security holes. Use them.   Back up your files – If ransomware hits, you don’t want your important documents held hostage.   Avoid public WiFi for sensitive stuff – Or use a VPN.   Think before you click – Emails that feel “urgent” are often fake. Go to the websites manually for confirmation.   Consider Starlink in case the internet goes down – I think it’s time for me to make the leap. Don’t Panic. Prepare. (Then Invest.)   I spent an hour in that basement bar reading about cyberattacks—and watching real-world systems fall apart like dominos.   The internet going down used to be an inconvenience. Now, it’s a warning.   Cyberwar isn’t coming. It’s here.   And the next time your internet goes out, it might not just be your router.   Don’t panic. Prepare.   And maybe keep a backup plan in your back pocket. Like a local basement bar with good bourbon—and working WiFi.   As usual, we’re on the lookout for more opportunities in cybersecurity. Stay tuned.   Author: Chris Campbell (AltucherConfidential) Profits from free accurate cryptos signals: https://www.predictmag.com/   
    • DUMBSHELL:  re the automation of corruption ---  200,000 "Science Papers" in academic journal database PubMed may have been AI-generated with errors, hallucinations and false sourcing 
    • Does any crypto exchanges get banned in your country? How's about other as Bybit, Kraken, MEXC, OKX?
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.