Sierra Chart Market Statistics
- Calculations and Algorithms
- Forex Indexes Calculation
- Overlaying a Chart on Another Chart as a Study
- Obtaining Data Further Back in Time for Some Market Statistics Symbols
- Market Statistics Calculations Compared to Other Data Services
With Sierra Chart Service Package 3 and 5, a complete real-time and historical market statistics data feed for the US stock market. The US Dollar index is also provided.
This real-time data feed works along with most of the Data and Trading services Sierra Chart supports. There is no need to select a different Data service to use this market statistics data feed.
All of the market statistics are calculated 24 hours a day if market data is available.
The update frequency is 500 milliseconds for all Sierra Chart market statistics. However, within a 500 milliseconds timeframe, if there is a new high or low value for the market statistic for that 500 milliseconds timeframe, an update will be immediately sent out with the calculated value. This is to ensure that the data contains the actual high and low calculated extremes. This will result in more than two updates per second and could be as many as 8 updates a second.
The market statistics data feed is a Sierra Chart calculated data feed using a NYSE and NASDAQ real-time stock data feed. The market statistics data feed is distributed from Sierra Chart servers.
The time unit of the historical data provided by the market statistics data feed is 1 second. This contains all of the updates within the single second. The update frequency for real-time data is at least twice a second.
You need to be on Sierra Chart Service Package 3 or 5 to use the Sierra Chart Market Statistics data feed.
You can determine your Service Package by selecting Help >> Account Control Panel on the Sierra Chart menu. The Service Package for your account can be changed on the Change Service Package page. To access that page, you will need to login to your Account Control Panel on the website if you are not already logged in.
The market statistics symbols are provided with most of the supported Data and Trading services. Select File >> Find Symbol >> Market Stats.
If you do not see Market Stats section listed, then you will need to Update the Symbol Settings.
In the Find Symbol window, the US Dollar index is listed under the FX Stats section.
Select a market statistics symbol and press the Open Historical Chart or Open Intraday Chart button.
The old Market Statistics symbols that begin with a $, like $TICK, are no longer supported.
There is also the SC Market Stats service which can be selected through Global Settings >> Data/Trade Service Settings >> Service . This service provide you access to the Market Statistics data feed, independent of the other supported Data and Trading services.
An example of a market statistics symbol is TICK-NYSE. The general format is [statistics prefix]-[exchange/index].
All of the market statistics symbols can be looked up through File >> Find Symbol >> Market Stats.
The following table lists all of the prefixes and their meaning.
|TICK||The number of stocks that traded at a higher price compared to their previous trade, minus the number of stocks that traded at a lower price compared to their previous trade. For example, if TICK reads +500, then there are 500 more stocks trading higher compared with stocks trading lower. The opposite is true if it is -500. TICK-NYSE is equivalent to the old $TICK symbol.|
|TICKBA-NYSE||The TICK Bid/Ask is similar to the TICK except that the best Bid/Ask for each issue is also taken into account to determine if an issue is trading on an up tick or down tick. If the best Bid/Ask indicates that a issue will trade on an up tick (Example: best Bid higher than last trade price), then that issue will be counted as an up tick. Otherwise, a down tick. Generally, this allows thin traded stocks to participate in the TICK calculation.|
|TRIN||This is the Trading Index. This calculation is the number of stocks that are up compared to the previous trading day close, divided by the number of stocks that are down compared to the previous trading day close. This ratio is then divided by the volume of stocks that are up compared to the previous trading day close, divided by the volume of stocks that are down compared to the previous trading day close. Formula: TRIN = (ADV / DECL) / (UVOL / DVOL). TRIN-NYSE is equivalent to the old $TRIN symbol.|
|ADV||The number of stocks that have traded during the current trading day and are up in price compared to their previous trading day close. Each stock only counts a value of one towards the statistic.|
|DECL||The number of stocks that have traded during the current trading day and are down in price compared to their previous trading day close. Each stock only counts a value of one towards the statistic.|
|UNCH||The number of stocks that have traded during the current trading day and are unchanged in price compared to their previous trading day close. Each stock only counts a value of one towards the statistic.|
|ADR||The advance decline ratio (ADV / DECL).|
|TISS||The number of stocks that have traded during the current trading day. Each stock only counts a value of one towards this statistic.|
|NISS||The difference between ADV and DECL. This is the symbol to use to get the Advance-Decline line. However, to get the true Advance-Decline line, you need to add the Advance Decline Line study to a chart of this symbol. Refer to Adding/Modifying Chart Studies for instructions.|
|ISS||The number of stocks that have traded in the second for which this is reported for. Each stock only counts a value of one towards this statistic.|
|UVOL||The total volume of the stocks that have traded in the current trading day and are up in price compared to their previous trading day close.|
|DVOL||The total volume of the stocks that have traded in the current trading day and are down in price compared to their previous trading day close.|
|TVOL|| The total volume of stocks that have traded in the current trading day for the particular exchange or index the symbol is for.
As of 2015-11-27, during the Day trading session, the Total, Up, Down and Net volume are only based upon the day session volume of the stocks versus all 24 hour volume for the stocks as was done previously.
Therefore, at the 9:30:00 US Eastern time open of the NYSE and NASDAQ, the total daily volume of the stocks get reset at the open. It is for this reason that the Total Volume (TVOL) market statistics will decrease at this time.
|NVOL||NVOL is the difference between UVOL and DVOL.|
|UTCK||The number of trades of the stocks that have traded in the current trading day and are up in price compared to their previous trading day close. Quoted in 1000s.|
|DTCK||The number of trades of the stocks that have traded in the current trading day and are down in price compared to their previous trading day close. Quoted in 1000s.|
|TTCK||The total number of trades of stocks that have traded in the current trading day for the particular exchange or index the symbol is for. Quoted in 1000s.|
|NTCK||NTCK is the difference between UTCK and DTCK. Quoted in 1000s.|
|DTIS||The number of stocks that traded at a lower price compared to the previous price or compared to the prior close at the first trade of the day. This is used in the TICK calculation.|
|UTIS||The number of stocks that traded at a higher price compared to the previous price or compared to the prior close at the first trade of the day. This is used in the TICK calculation.|
|PVOL||The total volume for a one second period for the stocks that have traded during that second. The actual volume that you will see for a chart bar will be equal to the volume over the timeframe of the chart bar. So when using the Volume study on a 10 minute per bar chart, the Volume will be for that 10 minutes when using this symbol. The chart bars themselves represent the Open, High, Low, and Close of all of the 1 second total volume intervals regardless of the time length of the bar. For example, the high of a bar would be the maximum volume encountered during a one second period, during the timeframe of the chart bar.|
The following table lists all of the exchanges and indexes that market statistics are available for and provides descriptions for them.
|NASDAQ||Based on the stocks traded on the NASDAQ exchange.|
|NQ||Based on the stocks traded in the NASDAQ 100 index.|
|NYSE||Based on the stocks traded on the New York Stock Exchange.|
|SP||Based on the stocks traded in the S&P 500 index.|
|YM||Based on the stocks traded in the Dow Jones 30 Industrials index.|
|TF||Based on the stocks traded in the Russell 2000 index.|
The following table lists all of the foreign exchange indexes (FX Indexes).
|USDX||US Dollar Index - calculated using the standard ICE algorithm.|
|EUR-X||Euro FX Index|
|GBP-X||British Pound FX Index|
|AUD-X||Austrialian Dollar FX Index|
|NZD-X||New Zealand Dollar FX Index|
|CAD-X||Canadian Dollar FX Index|
|CHF-X||Swiss Franc FX Index|
|JPY-X||Japenese Yen FX Index|
|USD-X||US Dollar FX Index|
The Open, High, Low, Close Historical Daily chart values for the FX Index symbols are based upon the time range from 00:00:00 to 23:59:59 UTC time.
There is no data earlier than 2014-03 for these symbols.
Calculations and Algorithms
This section contains additional information about the calculations and algorithms used for market statistics.
- The data for all market statistics symbols are calculated and provided using Sierra Chart software and systems using a full tick by tick data feed of the NASDAQ and NYSE exchanges. This includes stocks and ETFs. Basically all reported and tradable symbols. This documentation makes reference to "stocks" which can include ETFs.
- All stock based statistics are based on the trading day, which includes the pre and post market trading sessions unless otherwise noted. The statistics are reset at midnight US Eastern time. This is after the post market session and before the pre market session. They run continuously through the entire trading day.
- The market statistics symbols for US exchanges and indexes will definitely be active from 09:30 to 16:00 US Eastern time on weekdays. There may be activity for these at other times, but not necessarily.
- To calculate the stock based statistics, all trades and volume updates are examined for the NYSE and NASDAQ exchanges. Each trade is used to determine the status of the stock, which is then applied to the proper statistic based on which exchange or index the stock is a member of.
- A particular issue/stock is not included any the market statistics calculations until it has traded for the current day.
- All stocks start in a neutral state and initially are not included any of the market statistics calculations. When there is the first trade of the day for a particular issue, it is compared against the prior days settlement price. If it is unchanged, then it would still not contribute to market statistics that require an up or down consideration of a particular issue. Otherwise, for volume and number of trades market statistics, the issue will be counted as soon as it trades for the day.
- There is not a sampling of the stock exchange data. There is an update of market statistics at every single trade that is received from the full tick by tick feed for the exchanges being monitored. If there has been no change in direction (up, down, unchanged) for the last trade for a particular symbol, then the prior direction is used for that symbol in the market statistics where applicable.
- Volumes and Number of Trades are shown in thousands (K) of shares / trades.
- The TICK- symbols are the total number of stocks trading at a higher price than their prior trade (up tick) minus the total number of stocks trading at a lower price than their prior trade (down tick). If an issue has not traded yet, it is not included in the count.
An up tick is a trade that trades at higher price than the prior trade. A down tick is a trade that trades at a lower price than the prior trade.
When a trade executes at the same price, the prior tick direction is maintained.
For the first trade of the day for an issue, the price is compared against the prior closing price for that particular issue.
In the case where an issue changes direction from an up tick to a down tick or the other direction, this causes a change of 2 in the TICK- symbol. For example, if an issue goes from an up tick to a down tick, the TICK- will change by -2.
The TICK- symbols are updated at every single trade for the particular stocks being monitored and they are transmitted at least twice per second. The extreme values are also maintained, so there is no loss during the sampling period.
The TICK- calculations are reset at midnight US Eastern time and effectively start at the pre-open.
To know the number of stocks involved in the calculation for a particular TICK- symbol at any moment in time, refer to a chart for TISS-[exchange or index] for the same exchange or index.
- As an issue/stock trades, each trade is compared to the previous trade for the that issue/stock. The result is an up tick, down tick, or no change. In the case of the TICK- market statistics, they are then updated based on the prior tick state and the current tick state. For example, if an issue changes from down tick to up tick, both the down ticking total and the up ticking total need to be updated resulting in the net ticks moving +2. In the case of trading at the same price, the tick direction is maintained in the same state, and so there is no change to the tick counts used for the final TICK output.
- The TRIN is the standard calulation: TRIN = (ADV / DECL) / (UVOL / DVOL). Refer to the Symbols section for a description of ADV, DECL, UVOL, DVOL.
- Market Statistics Bid Volume: All market statistics maintain Bid Volume for Intraday data. Every 1 unit of Bid Volume indicates that the market statistic had a lower value than the previous value or had the same value as the previous value and the value previous to that was considered a lower value. When market statistics data is stored tick by tick, Bid Volume or Ask Volume will be 1 for the Intraday Tick data record. When looking at the Bid Volume in a chart, a value of 107 for a 1 minute Intraday bar indicates that the market statistic had 107 lower values for that bar.
- Market Statistics Ask Volume: All market statistics maintain Ask Volume for Intraday data. Every 1 unit of Ask Volume indicates that the market statistic had a higher value than the previous value or had the same value as the previous value and the value previous to that was considered a higher value. When market statistics data is stored tick by tick, Bid Volume or Ask Volume will be 1 for the Intraday Tick data record. When looking at the Ask Volume in a chart, a value of 107 for a 1 minute Intraday bar indicates that the market statistic had 107 lower values for that bar.
Forex Indexes Calculation
This section documents the formula used for the Forex Indexes EUR-X, GBP-X, AUD-X, NZD-X, CAD-X, CHF-X, JPY-X, USD-X.
FOREX quotes for commonly traded currency pairs are widely reported. For instance, a quote of EUR.CHF = 1.4929 indicates that 1 Euro is exchanged for 1.4929 Swiss francs. The first currency in the quote symbol is called the base currency, and the second is called the quote currency. We wish to have an index for each currency that makes no explicit reference to other commonly traded currencies, but is instead averaged over them. In order to write down compact mathematical expressions for these indices, it will be inconvenient to use the FOREX currency abbreviations. Therefore, we will use the following instead.
C1 = EUR C2 = GBP C3 = AUD C4 = NZD C5 = USD C6 = CAD C7 = CHF C8 = JPY
In this nomenclature, C1.C7=EUR.CHF. Note that reversing the order of the currencies in this expression yields the reciprocal of the previous quote, i.e.: C7.C1=1/C1.C7. In the expressions for the indices, we will also want to cite a reference value of the quote. This will be the value of the quote on 31Dec2008, and it will be denoted by C1.C7(Ref).
We are now ready to write down an expression for the indices of the currencies. For currency Cj, its index will be denoted Cj-X. So for example, C1-X or EUR-X is the index for Euros.
Both the quote Cj.Ci and the index Cj-X are calculated about once per second. We are summing over all i not equal to j to avoid including terms in which a currency is compared with itself. We divide by 7 because we are averaging the expression in the summand for currency j over the other seven currencies.
Overlaying a Chart on Another Chart as a Study
If you have a chart that you wish to overlay in the study region of another chart, then this can be done by using the Overlay (Bar) study. For example, maybe you wish to overlay the TICK-NYSE chart below another chart.
To do this you will add the Overlay (Bar) study to your destination chart, have it refer to the chart that you wish to overlay, and set it to display in Chart Region 2 or whatever region you would like.
For general information to work with studies, refer to the Adding Studies section.
Obtaining Data Further Back in Time for Some Market Statistics Symbols
The Symbols documented on this page have data which go back to approximately the beginning of 2014 except for the following which have more history:
From 2009-08-28 for NISS-NYSE. From 2008-08-07 for TICK-NYSE.
To access all of the available historical data for any of the market statistics symbols, follow the Downloading / Viewing More Historical Intraday Data.
Market Statistics symbols are also provided with the Sierra Chart Historical Data Service which uses data from the Barchart Data service. These are completely separate market statistics symbols.
Follow the instructions on the Sierra Chart Historical Data Service page to use that service.
You can open Historical Daily or Intraday charts for any of the Sierra Chart Historical Data Service Market Statistics symbols using that service.
The historical Intraday data is in 1 minute units with that service.
Market Statistics Calculations Compared to Other Data Services
Sometimes we receive comments that the Sierra Chart market statistics in particular the TICK-NYSE differs at times compared to TICK NYSE data provided by other market data services.
You will see that the Sierra Chart TICK market statistics have the same shapes/patterns as compared to other data services. The actual values do tend to vary slightly, especially at extremes, but that is the case if you compare any of the different vendor TICK values.
In this section here, we will explain that the market statistics results provided by the Sierra Chart data feed are accurate.
You may also be interested in the TICKBA-NYSE symbol. For more information, refer to Symbols.
TICK Calculation is Not Weighted Based on Market Capitalization of Containing Stocks
Since the TICK calculation is not weighted, large-capitalization stocks will affect the TICK calculation to the same extent compared to small-capitalization stocks.
We have seen some traders run a simple summation of the TICK-NYSE using an Intraday bar interval, and compare that to the S&P 500 cash index Daily chart to find a correlation. This is a flawed and unreliable method of analysis for several reasons. One reason is that in the case of the S&P 500 index, the S&P 500 is a weighted index of 500 large capitalization stocks on the NYSE and NASDAQ. The TICK is all of the stocks on the NYSE and there is no weighting.
The TICK market statistic is also a short-term market direction indicator. For example, if a stock is down for the day, it is still possible for that same stock throughout the day to have many upticks but still be down on the day compared to its previous closing price. There is not always a definitive and reliable correlation that can be made between the TICK market statistic and a weighted cash index. Often there will be a correlation but this is not always the case.
Another reason why this is an unreliable comparison is explained in the Explanation of TICK Positive or Negative Bias and How to Correct.
In summary, the TICK is a short-term calculation indicating the number of stocks that have traded at a higher price compared to their prior price minus the number of stocks trading at a lower price compared to their prior price. Whereas a weighted cash market index like the S&P 500, is indicating for a group of large capitalization stocks their last trade prices compared to their final trade prices the day before, using a weighted formula based upon market capitalization.
There is not always a direct correlation between the two.
TICK for S&P 500 Stocks Matches DTN IQ Feed
When calculating the TICK market statistic for the S&P 500 stocks using the DTN IQ Feed data feed and comparing that to the DTN IQ Feed calculated TICK, we see that there is a very close match as the below image shows.
You will notice that in the first chart at the top of this image, the timestamps differ from the other two charts below because the top chart is using delayed data. The timestamps differ by 15 minutes but that is beside the point with the comparison being made.
Interestingly you will see that the Sierra Chart calculated TICK from IQ Feed data has higher extremes which indicates more accurate reporting of these extremes. This tends to indicate that IQ Feed is using a sampling method whereas the Sierra Chart market statistics calculation involves every single trade from the S&P 500 stocks.
We also see a very close match to the Sierra Chart calculated TICK market statistic for the S&P 500 stocks using the Barchart data feed compared to the IQ Feed calculated TICK for the S&P 500.
Aside from the differences with the extremes, the small occasional variations in appearance most likely are due to time stamping differences with the final TICK output.
Therefore, the Sierra Chart TICK market statistic calculation has proven to be accurate and follows a standard calculation model. The TICK market statistics calculation method is very simple and there never has been a problem with it other than some rare instances of a problem with the underlying data feed.
Therefore, differences with the TICK-NYSE must be primarily due to small differences or variation in the particular stocks being tracked on the NYSE and to some extent time stamping differences. Sierra Chart uses a reliable list of symbols which lists the stocks on the NYSE to do the calculation. The source data comes from Barchart. As of this writing, approximately 3200 stocks are used in the calculation each day and this also matches the number of stocks that DTN IQ Feed shows are traded on the NYSE every day.
Explanation of TICK Positive or Negative Bias and How to Correct
This is an image of the S&P 500 cash index Daily chart with 3 overlay studies below it.
The first overlay is a cumulative summation of the average price of each 1 Minute chart bar of the TICK market statistic for the S&P 500 stocks calculated by Sierra Chart. This is overlaid as OHLC bars on to the S&P 500 cash index Daily chart. Notice how it slopes up.
The second overlay is a cumulative summation of the average price of each chart bar of the DTN IQ Feed calculated TICK market statistic for the S&P 500 stocks. This is overlaid as OHLC bars on to the S&P 500 cash index Daily chart. Notice how it slopes down. It goes in a completely opposite direction.
The third overlay at the bottom is the Adjusted Cumulative Value study on the chart of the TICK market statistic for the S&P 500 stocks calculated by Sierra Chart (symbol TICK-SP). This is overlaid as OHLC bars. You can now see some correlation at times to the underlying S&P 500 cash index.
As explained in the TICK for S&P 500 Stocks Matches DTN IQ Feed section we can see that there is a very close match between the Sierra Chart calculated TICK market statistic for the S&P 500 stocks compared to the IQ Feed TICK for the S&P 500.
We also want to point out, that the Barchart Data Service $TICK symbol data also has a positive bias when performing a cumulative summation of it over an extended period of time.
So why therefore is there a 100% difference of slope between the Sierra Chart calculated TICK and the DTN calculated TICK for the S&P 500 stocks?
Once again, the TICK is not a weighted calculation. Small-cap stocks will have just as much of an effect on the calculation as large-cap stocks. Although this is not relevant to the discrepancy and neither the nearly continuous positive or negative slope makes sense.
All of the reasons why one TICK is sloping up and the other is sloping down, are not exactly known. However, in the case of the IQ Feed calculated TICK for the S&P 500, at times where the market is closed the TICK value repeats itself and if it is a negative number (which it is in our test case), that then causes a downward slope of the cumulative summation calculation over that period of time. This is one of the reasons which has been observed.
However, one thing that can conclusively be said, is that this method of analyzing the TICK market statistic by running a simple summation of the values is inherently flawed and produces completely unreliable results and should never be relied upon.
What is the solution to the problem that we see? Clearly there is a solution with the third overlay in the image above. In this Cumulative Line for the Adjusted NYSE TICK article, it discusses a calculation that can be used on the TICK market statistic symbol to obtain a relative reading from the TICK. The result of this is the third overlay at the bottom of the chart above and you can see that it is more closely correlated to the actual underlying S&P 500 cash index Daily chart.
Based upon all of the above information, what can be concluded? The Sierra Chart provided TICK market statistics calculations are accurate and reliable.
You will see differences among all of the different vendors TICK market statistics calculations.
Do the differences make one better than the other, perhaps with someone's particular view that might be the case but as we have shown it does not mean that the Sierra Chart calculated TICK is inaccurate.
Being that the TICK is not a weighted calculation, due to the nature of the calculation and due to some inevitable variations with the underlying stock data it is calculated from, this only reveals the inconsistent nature of the TICK calculation among data services when comparing it to the underlying stock indexes.
If you are not satisfied with the Sierra Chart calculated TICK market statistics, then perhaps it is more a nature of the TICK calculation in general which you should examine as a method of your analysis and the reliance that you currently have on it.
*Last modified Wednesday, 19th October, 2016.