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Accurate NYSE TICK Data

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[2015-07-28 18:46:48] #25 [Go To First Post]
User228426 - Posts: 14
This is a follow up post to posts 17, 19 and 21. The attached PNG shows the eSignal Tick, SC TICK-NYSE and the SC TICKBA-NYSE for today's morning session. The ES opened 7.25 points above yesterday's settlement. The eSignal Tick first 5m bar, opens below 0 and then has a high around 750, showing the strength of the NYSE stocks first trades. The first SC TICK-NYSE 5m bar opens around 0, with a high around 90. The first SC TICKBA-NYSE 5m bar opens below 0 around -200, with a high around -100. Both SC ticks completely miss the strength of the higher open in stocks, especially the TICKBA. As well, the SC consistently plots lower extremes. The bar labeled with the number 2 shows highs of approx. +1200 (eSig), +870 (TICK-NYSE) and +950 (TICKBA-NYSE). Finally, the SC ticks seem to update more often than the eSignal tick which is good. Could this result in lower extremes? I don't know. Just pointing this out. The biggest issue for me is how the SC ticks perform at the open and the first 10 to 15 minutes. Thanks for reading this! I would love to use SC only but the way I like to trade the open makes this difficult with SC only.


NYSE TICK COMPARISON 2015 07 28.PNG / V - Attached On 2015-07-28 17:58:47 UTC - Size: 145.62 KB - 670 views

[2015-07-29 13:43:18] #26 [Go To First Post]
conr - Posts: 204
now the numbers no where near match.

[2015-07-29 15:00:44] #27 [Go To First Post]
User228426 - Posts: 14
SC, I'm sure this entire post is increasingly annoying as you have many things you consider much more important on your development plate! Sorry for that! I'm sure the Tick is doing what you have programmed it to do. You are obviously an extraordinarily talented group. FYI: The ES opened basically flat this morning. The open was 1.25 points above the settlement. The eSignal Tick showed a quiet open close to 0. The eSig Tick first 5m bar O/H/L/C was approx. 0/+60/-300/+20, the SC TICK-NYSE O/H/L/C was +64/+260/-126/+191 and the TICKBA-NYSE O/H/L/C was +603/+782/+360/+420. The most noticeable thing about the numbers in the previous paragraph is how weird the TICKBA-NYSE numbers were for a flat/quiet opening. They were WAY OFF what you would expect for a flat open! Summary: It seems the 09:30 RTH TICK-NYSE open and early trade, needs fixing to reflect the opening of individual stocks, relative to the previous day's settlement. And the extremes are more muted than all the Tick indexes I and many others observe. My biggest concern is the open. Second is the extremes. Third, not sure I can trust an index created by using the Bid/Ask because it looks better sometimes and then is way, way, off this morning. Thanks again for your efforts.

[2015-07-29 19:33:24] #28 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will have a look at the TICK Bid Ask calculation to make sure it is working properly under all conditions. We are also going to document it. We are experimenting resetting the TICK at 9:30 a.m. open US Eastern time. If we see that is helpful, we will release it. There is nothing more we can do other than to use a different source data feed to see if that makes a difference. We will look into this, but that really is not an easy process to do. So it is not going to help to post further in this thread. We will occasionally monitor this but there is nothing more we can do and we will not be commenting further on this unless there is something useful for us to say. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-07-29 20:28:12

[2015-07-29 19:50:24] #29 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
These are the values for the IQ Feed TICK for 2015-07-29 for the first 5 minutes at 9:30 AM: Open = -26 High = 284 Low = -241 Last = 170 Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2015-07-29 20:12:24] #30 [Go To First Post]
conr - Posts: 204
TOS for first 5 min. Open= -190 High= 150 Low= -320 Last= 75

[2015-07-29 20:26:03] #31 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
One thing we can say with certainty at this point is the Sierra Chart TICK calculation algorithm is probably the very best out there since so much work has been put into it. So there is no misunderstanding about what we said, we are referring to the algorithm. If the input data it has a problem, then it will affect the result. But the algorithm is excellent. So the question remains, is the final result less accurate than others are more accurate? We think the answer to this question is that there is there is no 100% definite answer to this and it probably does vary at times. And logically, other TICK statistics that you look at that you may think are correct, really are not necessarily any better. They are just giving different results due to different calculation algorithms and different input data. If the SC TICK is less "accurate" (and this can be subjective) at times, then this possibly could be improved upon by us using a different source data feed. And we are going to experiment with that, but it is quite a significant task. So at this point, we will be looking at this further, but not likely to have any new information for a couple of months. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-07-29 22:00:55

[2015-07-29 20:29:05] #32 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The most noticeable thing about the numbers in the previous paragraph is how weird the TICKBA-NYSE numbers were for a flat/quiet opening. They were WAY OFF what you would expect for a flat open! They may seem way off. But they are 100% correct based upon what it is designed to do and may very well have some useful information. So it should not be dismissed. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2015-07-29 20:42:31] #33 [Go To First Post]
Al SC Developer - Posts: 434
The TICKBA-NYSE is a different calculation and needs to be understood before just comparing it to the TICK-NYSE. We are updating the documentation: The Bid/Ask cumulative tick (TICKBA-NYSE) is similar to the cumulative tick (TICK-NYSE) except that the Best Bid/Ask for each symbol is also taken into account to determine if an issue is trading on an up/down tick. If the Best Bid/Ask indicates that a stock will trade on and up/down tick (i.e. Best Bid higher than prior trade), then that issue will be counted accordingly. Generally, this allows thin issues to participate in the cumulative tick. So given that, today's TICKBA at the open may be more interesting (flat open but underlying issues are indicating strength).

[2015-07-31 19:44:49] #34 [Go To First Post]
User228426 - Posts: 14
Sincere thanks for your efforts and patience dealing with me/us! This is my last post in this thread (unless SC brings it back to life). The attached PIC/PNG is for the TICK enthusiasts out there. My take-away from this thread so far, is that the eSignal data NYSE TICK (under the ES in pic) and the SC NYSE-TICK (bottom) are VERY similar but, I also notice there are differences at the open, the zero line and the extremes. Good trading to all!


TICK COMPARISON 1MIN 2015 07 31.PNG / V - Attached On 2015-07-31 19:40:56 UTC - Size: 119.5 KB - 522 views

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