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Article about Sierra Chart Market Statistics and their Accuracy
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| [2016-01-03 01:21:01] |
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For the article about Sierra Chart market statistics and their accuracy, refer to: Sierra Chart Market Statistics: Market Statistics Calculations Compared to Other Data Services You will see that the Sierra Chart market statistics are accurate and reliable and can be relied upon. 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: 2016-01-03 01:21:36
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| [2016-01-03 01:50:28] |
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This is something we have mentioned in the article but we are only now paying more close attention to it: http://www.sierrachart.com/image.php?l=1451785554504.png This is a chart with two studies at the bottom showing that the extremes that the Sierra Chart calculated TICK for the S&P 500 stocks has are more than IQ Feed for the same S&P 500 TICK statistic symbol. What does this tell us? We are sure we are using the correct IQ Feed symbol because that is what they specify for their S&P 500 TICK symbol: http://forums.iqfeed.net/index.cfm?page=topic&topicID=3383 We cannot say with certainty, but the higher highs and lower lows, greater extremes, do indicate that Sierra Chart is delivering a much more complete data presentation. Sierra Chart does not use a sampling method but instead uses all trades of the S&P 500 stocks in the TICK calculation. This chart here indicates the number of stocks that are used in the S&P 500 TICK calculation: http://www.sierrachart.com/image.php?l=1451786374675.png It increases on December 14, 2015 but we still notice greater extremes with the SC calculated TICK for the S&P 500 before this date. You can easily validate this yourself by looking at the TICK-SP symbol. We will see why there is a jump at this date. 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: 2016-01-03 08:26:28
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| [2016-02-14 16:04:40] |
| User13668 - Posts: 291 |
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It increases on December 14, 2015 but we still notice greater extremes with the SC calculated TICK for the S&P 500 before this date. You can easily validate this yourself by looking at the TICK-SP symbol. We will see why there is a jump at this date.
Out of interest did you discover why the jump in stocks in the basket on 14 December? Is it possible S&P re-balanced the top 500 index on this date ie maybe 20 odd stock symbols were dropped and 20 new ones were added on this date to comprise the new top 500. If so this could perhaps explain that prior to 14 December those 20 new symbols will not be in your data set for the top 500. We are sure we are using the correct IQ Feed symbol because that is what they specify for their S&P 500 TICK symbol:
I think you are right, JT6T.Z is the S&P 500 Issues Net TICK (JTNT.Z is the NYSE Net TICK). But I got mine from their symbols list (http://www.iqfeed.net/symbolguide/index.cfm?guide=mktindices) and I note there they also have S&P 500 TICKS Ratio (TR6T.Z) and S&P 500 TICKS Total (TI6T.Z) - but I have no idea what they are ie how they differ from S&P 500 Issues Net TICK. Date Time Of Last Edit: 2016-02-14 16:05:58
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| [2016-02-14 21:24:06] |
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Out of interest did you discover why the jump in stocks in the basket on 14 December? In this chart here: http://www.sierrachart.com/image.php?l=1455484843825.png You can see that the number of S&P 500 stocks drops to around 480 to 483 during 2015-8-31 to 2015-12-11. Possibly the number of stocks in the index was actually was reduced during that time. Possibly during the trading day not all of the S&P 500 stocks were trading during that time. This would seem very unlikely though. Possibly the list of S&P 500 stocks that we use, was missing some of the S&P 500 stock symbols. Possibly the data feed that we use to calculate the statistics from was not transmitting data for those stocks. Although this is extremely unlikely. So we do not know. 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 |
| [2016-02-27 15:39:40] |
| User13668 - Posts: 291 |
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I spent some time reading this page Sierra Chart Market Statistics: Calculations and Algorithms to make sure I fully understood how SC were calculating Market Symbols - especially those associated with creating TICK. I just wanted firstly to support a comment SC made in another thread where you said SC provided the most detail in a public environment around the calculation of Market Statistics - from what I have seen this is very true. There were a couple of areas I wanted to clarify to make sure I was understanding your computation of TICK: 1/ With DTIS and UTIS I take it that stocks are excluded until they have their first trade of the day. 2/ What if the first trade today for a stock is the same price as the prior close (yesterday's last trade)? Is that stock still excluded until it does trade up or down, or is it included based on if it was last (yesterday) on an Uptick or Downtick? 3/ If during today a stock trades again (not the first time today), but at the same price as the previous trade today? Is it excluded from the TICK calculation, or is it included based on it's direction from when it last traded up or down today? 4/ What if a stock has traded already today, but at the next point you sample the data to measure TICK that stock has not traded. Is it excluded from the TICK calculation, or is it included by maintaining it's direction from the last time it ticked up or down? I assume it is the later. 5/ Finally you say ISS helps to illustrate the # of stocks making up the TICK calculation, but how is that accurate because ISS is only stocks traded in that second, whereas TICK keeps the direction of a stock even if it has not traded in that second? Thanks |
| [2016-02-28 01:29:39] |
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We will answer these questions in the documentation. We will comment on these now: 4. There is not a sampling of the data. There is an update of market statistics at every single trade that comes in the full tick by tick feed for the US equities market. If there has been no change in direction for the last tick for a particular symbol, then the prior direction is used. 5. Yes you are right about this and that part of the documentation has been removed. You need to use the total traded issues instead. 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 |
| [2016-02-29 14:20:08] |
| Al SC Developer - Posts: 434 |
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1. Correct, stocks are only included when they have traded. 2. All stocks start in a neutral state and are not included. The first trade of the day is compared against the prior days settlement price. If it is unchanged, then it would still not contribute to the tick count. 3. As a stock trades, each tick is compared to the previous tick for the that stock. The result is an up tick, down tick, or no change. The tick count is then updated based on the prior tick state and the current tick state. For example, if a stock 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. |
| [2016-03-01 04:30:06] |
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The documentation has been updated with the above information.
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 |
| [2016-06-21 02:51:29] |
| Paul.M - Posts: 113 |
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Today's TICK showed a major difference to ThinkorSwim- and Tradestation TICK. See the major difference at the open. The market reacted to the version of TOS & Tradestation. A sierra tick-version that mirrors TOS & Tradestation exactly would be helpful. TY |
 2016-06-21_2.jpg / V - Attached On 2016-06-21 02:49:39 UTC - Size: 539.57 KB - 366 views |
| [2016-06-21 04:21:31] |
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One thing that people do not realize, is that when you see the net TICK calculation start off at a very negative or very positive value at the very point in time where the calculation begins for the day, it must inherently be wrong. So are we saying those other calculations are wrong? Yes we are. They make no sense. We have confidence in what we say, unless the other services can explain how it is they do the calculation. Here is a chart image of the calculation from IQ Feed: http://www.sierrachart.com/image.php?Image=1466482465940.png We see the very same thing. But it does not make sense. In the past, the Sierra Chart TICK-NYSE would begin the calculation at 4 AM US Eastern time when the market begins to trade. However, because users would notice differences compared to our calculation and other services, we decided to change the start time to 9:30 AM US Eastern time. This is how it works now. Today the Sierra Chart TICK opens at 0. The basic problem is that the market data is a high-speed single stream of data. Therefore, the calculation has to start off at 0, -1 or 1 since the very first trade is going to be a single stock. It can rise up or down very rapidly from that point in a matter of microseconds but it does not make sense for it to open very negative or positive. If it does, it calls into question as to whether the calculation method is even valid to begin with. Other reasons for differences has to do with the underlying data data feed being used, but there is not an indication there is genuinely anything wrong with the underlying data feed used by Sierra Chart in the market statistics calculation. However, we will make an inquiry with the data provider about a question we have related to 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 Date Time Of Last Edit: 2017-01-08 19:46:04
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| [2016-06-21 06:50:16] |
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Although if these other calculations were to sample all of the trading activity at the open and then begin with the real-time updates to the TICK, that may give them the result that they have of a significantly positive value. So actually this is the real explanation for it. In this case, the others are not necessarily wrong. But effectively the Sierra Chart market statistics were doing that before when it was starting the calculation at 4 AM. Update: We did change the Sierra Chart TICK calculations to start the calculations in the premarket which starts at 4 AM, as was the case before. 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: 2017-01-08 19:48:23
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| [2017-01-08 01:29:53] |
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Here is further detailed analysis about this: Sierra Chart Market Statistics: Recent Analysis (Recent Analysis) We are reviewing it now to make sure it is all good. In that section, you will see some numbered items. Make sure you read item number 4. That really proves the Sierra Chart TICK calculation is accurate and actually discovers why there is most likely a difference. But this reason does not make it inaccurate. 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: 2017-01-08 01:30:09
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