Date/Time: Wed, 19 Jan 2022 14:25:18 +0000
Post From: Why Sierra Chart TICK-NYSE Market Statistic Calculation is Very Good
Sierra Chart Engineering - Posts: 99781
Over the last week, we have made some internal changes, fixed some minor issues and made some improvements with the market statistics calculation program.
There was not the objective of this to improve the TICK calculation. It is already as good as can be and we do not believe the changes had any affect upon it.
As we were comparing the TICK today to the IQ Feed calculated TICK (JTNT.Z), we noticed it is very clear that Sierra Chart provides faster updating, up to six times a second, and provides a higher highs and lower lows.
Here is the comparison for 2017-06-02:
The two graphs at the bottom, show that the high extremes of the Sierra Chart calculated TICK are higher than this TICK from the other supplier. And the low extremes are lower with the Sierra Chart calculated TICK.
Also as we were monitoring the values in real-time, they basically literally matched, other than the extremes which Sierra Chart was doing a much better job of.
The reason Sierra Chart we believe is providing higher highs and lower lows for TICK is because SC calculates this data using each and every single tick from the entire NYSE and records the maximum and minimum extremes for every quarter second and transmits those as needed.
This minimum and maximum recording was one of the things that was completely rewritten in the code with this last update. But it should not have any effect other than at times reducing the number of updates per second, which sometimes was excessive with the old method.
Sierra Chart Support - Engineering Level
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Date Time Of Last Edit: 2018-11-11 01:46:56