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Direct MessagesDate/Time: Wed, 01 May 2024 08:36:17 +0000
Accurate NYSE TICK Data
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| [2015-06-09 02:46:25] |
| User463662 - Posts: 50 |
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My TICK data does not seem to be quite as accurate as others. I follow a couple traders and their TICK data and mine are VERY different. I know it varies between platforms or data services, but is there a way to get more accurate data? Mine is quite a ways off compared to theirs and compared to a few other trading platforms I looked at.
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| [2015-06-12 03:21:29] |
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This is something we will be looking into but we have not gotten to it yet.
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 |
| [2015-06-14 19:43:39] |
| conr - Posts: 204 |
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Hopefully soon. That is good news.
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| [2015-06-14 20:23:26] |
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Please do not have any expectations. We may not be able to accomplish much with this.
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 |
| [2015-06-25 04:56:33] |
| Rob_2560 - Posts: 20 |
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I was looking into the data feed of the NYSE TICK and noticed that it is very off from other feeds as well. Can this be looked into further? The candles seem much more compressed and don't follow what other feeds are doing. I'm seeing many other feeds all look alike and then Sierra Rithmic feed is way off from them. |
| [2015-06-25 09:47:25] |
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It does not mean that the calculation is inaccurate. It is quite accurate based on how it is being done. Sierra Chart provides far more in-depth information on the how the TICK calculation is done, than any other data feed. We are experimenting to see if we can make any improvements, but we can make no promises. 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: 2015-06-25 09:59:51
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| [2015-06-25 13:20:05] |
| conr - Posts: 204 |
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While we appreciate everything you do and no disrespect intended but obviously the way your TICK is coming across is not the same as others. The data and calc. may be accurate but something is throwing off the reading relative to others.
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| [2015-06-25 16:28:58] |
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What we are working on now is that if the bid/ask is above/below the last trade price (bid > last trade or ask < last trade), and if so count that as an up/down tick. The bid/ask then becomes the new last price for the next calculation. Trades are still used as before (above/below last price). The change provides a TICK with generally the same shape, but the extremes are more extreme. The question is, is this more "accurate". That is up for debate. 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: 2015-06-25 16:29:41
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| [2015-06-30 15:16:53] |
| User16114 - Posts: 153 |
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pls let us know if you have made any changes to the nyse tick since this thread was started and keep us up to date on any changes made in the future. as well when you make changes to the nyse tick do you make the same changes to the other ticks ie: NASDAQ tick etc? |
| [2015-06-30 18:27:32] |
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No, changes yet. There will not be any changes to the existing TICK-NYSE but we will be adding new symbols with a different calculation. Since the new calculation cannot be considered "better" but only different.
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 |
| [2015-06-30 18:43:24] |
| User16114 - Posts: 153 |
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very happy to hear this - the best tick might be the one you get used to over time - there are some interesting articles discussing the different tick calculations at daytradingbias.com
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| [2015-07-01 03:46:43] |
| User463662 - Posts: 50 |
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So you guys won't be making any changes to the existing TICK-NYSE? Will you ever have a TICK-NYSE chart with the newer, different calculation for those of us that would like to try that out instead?
Date Time Of Last Edit: 2015-07-01 03:47:25
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| [2015-07-01 08:07:00] |
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There will be a new symbol for TICK-NYSE with the alternative calculation.
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 |
| [2015-07-27 03:27:41] |
| User463662 - Posts: 50 |
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Do you know when the new symbol will be released or is it still being worked on? Thanks!
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| [2015-07-27 17:48:36] |
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We have released this now. The symbol is TICKBA-NYSE 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 |
| [2015-07-27 23:55:59] |
| User228426 - Posts: 14 |
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The attached pic shows the eSignal (DTN data) 5m Cumulative Tick on top and the SC NYSE 5m Tick on the bottom for June 18, 2015. This morning session was trend up from the open. 1. The eSignal Cumulative Tick shows a very strong open around 600 with a high approx. 1000 in the first bar. The SC Tick shows an open at about 0 and a high of approx. 300. 2. The 1st, 4th, 20th and 21st eSignal bars show emotional extremes close to 1000. Rather than any more commentary I'd like to ask 3 questions... Q1. Would it make sense to have the SC Tick open relative to it's constituent stocks close the previous trading day? ie: when the SC Tick opens and there are 600 more stocks on an uptick from the individual stocks previous close - the SC Tick opens at 600 rather than zero. This is a valuable piece of information. Q2. Could the consistently lower extremes that the SC Tick plots have anything to do with having the SC Tick open at 0? Q3. Is the SC Tick CUMULATIVE or a snap shot at the moment? And could this have anything to do with the consistently lower extremes with the SC Tick. Thanks! You have created a fantastic product!!! |
 NYSE TICK COMPARISON PNG.PNG / V - Attached On 2015-07-27 23:53:40 UTC - Size: 120.33 KB - 376 views |
| [2015-07-28 04:50:46] |
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and the Sierra $TICK only reflecting -482 instead of correctly reflecting >-1000.
In regards to this, see the values below comparing the Sierra Chart market statistics to IQ Feed. At the close IQ feed gave a reading of -464. The Sierra Chart market statistics were not out of line. Not at all.2015-07-27 TICK-NYSE: High = 810 Low = -671 TICK-SP: High = 340 Low = -290 TICKBA-NYSE: High = 877 Low = -805 IQ Feed NYSE Net Tick: High = 729 Low = -972 (occurred at 9:30) In response to post #17: Would it make sense to have the SC Tick open relative to it's constituent stocks close the previous trading day? ie: when the SC Tick opens and there are 600 more stocks on an uptick from the individual stocks previous close - the SC Tick opens at 600 rather than zero.
This is already the case.However, there is no "cumulative" calculation involved in the NYSE TICK and it is not snapshot either. We do not know why E-Signal uses the term Cumulative. The TICK calculation that Sierra Chart does, updates itself at every single tick among the approximate 6500 stocks it is tracking. You can get a good inside view of what the Sierra Chart market statistics are doing by looking at certain symbols. From documentation: To get a better understanding of the number of stocks involved in the calculation at any moment in time, look at charts for the following symbols TISS-[exchange or index], ISS-[exchange or index].
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: 2015-07-28 04:53:31
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| [2015-07-28 09:47:40] |
| User228426 - Posts: 14 |
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Thanks for the info in post #18. As you know, the NYSE has a little over 3,000 stocks. The SC TISS-NYSE (NYSE TOTAL ISSUES) provides data on a little over 3,000 stocks, as it should. 1. Why is the SC TICK-NYSE tracking 6,500+ stocks (post #18). This sounds like an "NYA Composite" Tick which MAY explain the disparity many of us see daily. Also, on July 13 2015 the ES opened with a gap of 15.25 points from the previous day close. But the SC NYSE-TICK opened at +49 and the high in the first 15 minutes was +308. I would think that as stocks gap open their first tick since the previous day close would be "up" providing a much higher tick reading at the open and/or in the first 15 minutes when most stocks are trading. 2. How is the SC TICK-NYSE calculated relative to the previous day close? On gap opens the SC TICK-NYSE open, or at least early readings, should be much closer to extremes, shouldn't they? Thanks! |
| [2015-07-28 10:47:40] |
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1. We need to clarify this. The previous answer was quickly given without more careful consideration to what was said. The program that is generating the market statistics is monitoring approximately 6500 stocks. This includes the NYSE and NASDAQ. The TICK-NYSE is only tracking the NYSE stocks within that 6500. 1.1. Stocks begin trading before 9:30 AM. They actually start around 4 AM. This is when the calculation begins. Go into the Chart >> Chart Settings and set the Start Time to 0:00:00 and you can see the calculation begin before 9:30 AM. This may be the reason for the difference on some days. Not always though. The reason it was actually done this way, was to get a calculation which matched better to IQ Feed, at the time this was originally developed. We will try resetting the start time to 9:30 AM to see if it makes a difference. 2. Your question is answered in this section here: Sierra Chart Market Statistics: Calculations and Algorithms (Refer to the TICK- subsection) 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: 2015-07-28 10:49:11
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| [2015-07-28 13:27:43] |
| User228426 - Posts: 14 |
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Thanks for the info in post 20. Stocks actually trade somewhere, 24 hours a day. The SC Calculations and Algorithms section referred to above states that, "For the first trade of the day for an issue, the price is compared against the prior close for that issue." I can't speak for others but I think it would be more useful to use the Open Price from the RTH session for the first trade when calculating the TICK-NYSE rather than resetting the start time to 09:30:00. ie: "For the first trade of the day for an issue, the official NYSE U.S. open price from the RTH (Regular Trading Hours 09:30:00 to 15:59:59) session is compared against the prior RTH close for that issue." Thanks! |
| [2015-07-28 15:26:05] |
| conr - Posts: 204 |
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I think you may have fixed it.
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| [2015-07-28 15:36:29] |
| conr - Posts: 204 |
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may have spoken too soon. We just has a spike. TOS showed a high of 1112 and yours was 936. I have to say though, it seems better today.
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| [2015-07-28 15:45:13] |
| User52989 - Posts: 42 |
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Yes, thanks for working on this, $TICKBA-NYSE is now pretty accurate compared with other platforms now.
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| [2015-07-28 18:46:48] |
| User228426 - Posts: 14 |
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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 - 671 views |
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