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Date/Time: Mon, 09 Dec 2019 10:27:54 +0000



Why Sierra Chart TICK-NYSE Market Statistic Calculation is Very Good

[2017-06-02 22:29:00]
Sierra Chart Engineering - Posts: 79010
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:
http://www.sierrachart.com/image.php?Image=1496442065719.png

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
[2017-06-14 04:39:17]
Sierra Chart Engineering - Posts: 79010
We made some additional changes this evening. There should be at least four updates per second assuming there is market activity four times a second which should be the case when the market is open. This is not always the case and it seems to slow down slightly when the market activity picks up and that should not be the case. This issue is now resolved.

We also made changes to ensure the 1-second statistics reset exactly at the end of the current second.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2017-06-14 12:22:23
[2017-07-04 17:49:18]
maxima120 - Posts: 101
so if I read .scid with TICK for example I will find millisecond stamps ? (close to .000, .250, .750) is that correct ?
[2018-01-22 18:44:23]
User48838 - Posts: 35
I recently tread the following...

In the case where a stock 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 a stock goes from an up tick to a down tick, the TICK- will change by -2.

Is it possible for the TICK_NTSE reading to change by +1 or -1?
[2018-01-22 19:11:20]
Sierra Chart Engineering - Posts: 79010
No. This is a mathematical impossibility. When you simply do the math, you will see that this is the only result. Anything else would be totally and completely wrong and be nonsensical.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-01-22 19:20:14]
User48838 - Posts: 35
That is what i was thinking, then why does the TICK_NYSE indicator report both odd and even numbers, shouldn't the values be either all odd or even (probably even)?
[2018-01-30 15:52:32]
User48838 - Posts: 35
I am wondering if you have given this issue any more thought? It has been a week and I thought I would follow up, Thanks.

shouldn't the TICK values be either all odd or even
[2018-01-30 18:27:55]
Sierra Chart Engineering - Posts: 79010
The number of stocks trading at any given moment, is changing. It does gradually increase throughout the day and the rate of change does decrease but it is changing.
Sierra Chart Support - Engineering Level

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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-01-31 13:10:49]
User48838 - Posts: 35
Perhaps I don't understand, but what effect would the number of stocks trading at any given moment affect the odd/even TICK-NYSE value? If the TICK value can only change by +/- 2, how does the number of stocks trading make a difference whether TICK is an odd or even value? And how can the TICK be an odd number?
[2018-01-31 17:34:46]
Sierra Chart Engineering - Posts: 79010
This is no longer within the scope of our support. Our time is very valuable and not here to discuss these things.

We will leave this discussion to users.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2018-02-01 00:22:10]
Merlin - Posts: 71
48838, if you think this through, this is really pretty simple.
For a given stock, the last tick is either +1 or -1, which means it always changes by + or - 2, as you said.

But there's a 3rd case, which is a stock that hasn't yet traded today at all.
There are some stocks counted in the index that trade very, very infrequently.
(Don't trade such stocks, they're not liquid enough!)

Until a stock trades for the first time in a day, it's not counted at all.
So it's not a +1 or a -1 - it's a 0.
Then the first time that stock trades today, it will move from 0 to either +1 or -1 - a move of 1.
(As I understand it, this will be a function of that stock's most recent trade, which could be yesterday or last week.)
That 1-point change will always change the entire Tick's even/odd status.

So, every time another stock trades for the very first time today (meaning the total number of stocks counted in the index increases by one), the Tick index will change from odd to even or even to odd.
Capish?

Merlin

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