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Direct MessagesDate/Time: Mon, 06 May 2024 09:13:09 +0000
[Locked] - NYSE-TICK calculation question
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| [2020-05-06 01:04:24] |
| User530916 - Posts: 6 |
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From here: sierrachart.com/SupportBoard.php?ThreadID=42211 Effective April 25, 2019 we made a change with market statistics calculations where when the best bid/ask prices, both go beyond the last trade price, then that is counted as a trade with no volume which then contributes towards the calculations like the TICK. Only when there is a further change in either of those prices and they are beyond the last trade price, will then that also be counted as a trade.
If so, I truly think you should rethink that. The TICK is a momentum gauge. Momentum is driven by trades at bid and trades at ask. Momentum is not driven by the adjustment of bid/ask. That is a result of momentum or a result of a lack thereof. To gauge momentum, your calculation is taking into account the changing of bid/ask without any trading having taken place. That's not going to be generate an accurate picture that your traders are wanting to see. Can another TICK be released that does not count the change of bid/ask as a trade? What are your thoughts? Date Time Of Last Edit: 2020-05-06 01:04:50
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| [2020-05-06 01:15:10] |
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Sorry this change is final and we are not open to any further discussion on this. Take it or leave it. This thread is now locked and we do not want to hear further about this for overwhelmingly good reasons with how much time users have taken from us on this subject in the past which only has resulted in us being overwhelmingly convinced as to the accuracy of Sierra Chart market statistics. Once again take it or leave it.
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: 2020-05-09 10:43:53
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| [2020-05-09 10:41:13] |
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Here is more detailed information about this change and provides an updated technical explanation of how this works: Sierra Chart Market Statistics: Market Statistics Calculation Change April 2019 The original technical explanation is out of date as not long after the change, there was some refinement of the algorithm. 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: 2020-05-09 10:41:56
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