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Direct MessagesDate/Time: Sun, 28 Apr 2024 12:31:25 +0000
Ticks per second
View Count: 1228
| [2023-05-17 17:53:08] |
| Radu Sirbu - Posts: 40 |
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Hi guys, Is there a study that shows the number of ticks per second for each bar? I didn't find one in the "Numbers bars calculated" study (1 and 2). If there isn't one, can you add it to the "Numbers bars calculated" study? Thanks, |
| [2023-05-17 19:05:04] |
| John - SC Support - Posts: 31159 |
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You would have to calculate this out, which can be done relatively simply (depending on your chart type). For a time-based chart, what you wanting the Trades per Second, so you would use the Numbers Bars Calculated Values study to get the number of trades in the bar and then divide that by the length of time of the bar in seconds. You could use the Spreadsheet Formula to do this, and again, if it is a set time-based chart then just enter the number of seconds. For example for 1 minute bars your formula would be: =ID1.SG12 / 60 If you are not using a time-based chart, then you would have to get a bit more creative and use the "BARDATETIME" and the "BARENDDATETIME" to get the length of time per bar (as a decimal portion of a day) and then determine the number of seconds from that. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-05-17 19:17:15] |
| Radu Sirbu - Posts: 40 |
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Thanks for your quick reply. You mentioned "Trade per second", but I want to see the number of ticks per second for each rotation. I use a PnF chart type for intraday trading so it is not time-based. I am not sure I understood where these values will be shown. In the Numbers Bars Calculated Values study? thanks, |
| [2023-05-17 20:31:37] |
| John - SC Support - Posts: 31159 |
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The term "Ticks" gets used for multiple meanings. We assumed you were referring to trades in this context. We are not sure what meaning you are giving to "Ticks" for this. Please give us additional information so we can understand what exactly you are looking for. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-05-18 07:31:27] |
| Radu Sirbu - Posts: 40 |
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What I mean in this case for "tick" is the minimum price movement of that instrument. For example, we have ES mini futures and, at the start of the bar, the price is at $4200. As we know, 1 tick for ES is $0.25 in price. Let's assume that during that bar the price moves to 4200.25 (1 tick), then to 4200.50 (another tick), then drops to 4200 (another 2 ticks), and finishes the bar at that level. Even though it finishes where it started, it moved 4 ticks during that bar. Dividing the number of ticks (4 in this example) during a bar to the number of seconds of that bar (time-based or not) I want to asses somehow the speed of price. Something similar (but not quite) is the Volume/Second measure in the "Numbers Bars Calculated Values" study, but that value can be misleading for what I want to see because you can have big volumes compressed in a few ticks. Speaking of price speed, it would help also to add in the "Time and sales" window a "speedometer" that somehow measures the current data update in this window, taking into account the settings/filters applied for Time & Sales. |
| [2023-05-18 20:34:43] |
| Sierra_Chart Engineering - Posts: 14111 |
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You can create what you need using ACSIL: Advanced Custom Study Interface and Language (ACSIL) 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-05-18 21:45:58] |
| Sawtooth - Posts: 3980 |
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Is there a study that shows the number of ticks per second for each bar?
Not in a single study, but it could be done with 4 studies:- Add the Up Tick Volume study, Hide the study. - Add the Down Tick Volume study, Hide the study. - Add the Bar Time Duration study, Hide the study. - Add the Spreadsheet Formula study, with a formula like this in the Formula field: =(ID1.SG1+ID2.SG1)/(ID3.SG1*86400) where: Up Tick Volume is ID1 Down Tick Volume is ID2 Bar Time Duration is ID3 |
| [2023-05-19 14:58:51] |
| Radu Sirbu - Posts: 40 |
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@ SC Engineering "You can create what you need using ACSIL" I don't have a background in coding. I was hoping you guys will add this feature in the "Numbers Bars Calculated" study or in a brand new one. @tomgilb - thanks for your suggestion, but I need only the number of ticks, not the volume of those up/down ticks. |
| [2023-05-19 15:26:27] |
| Sawtooth - Posts: 3980 |
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I need only the number of ticks, not the volume of those up/down ticks.
What's the difference between the number of ticks and the volume of ticks?If price moves up 2 ticks, then down 2 ticks, the uptick volume is 2 ticks and the down tick volume is 2 ticks, for a total of 4 ticks. The formula I suggested will return the number of up/down ticks per the bar's duration, in seconds. |
| [2023-05-19 16:13:45] |
| Radu Sirbu - Posts: 40 |
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"If price moves up 2 ticks, then down 2 ticks, the uptick volume is 2 ticks and the down tick volume is 2 ticks, for a total of 4 ticks." Actually is not like that. If the price moves up 2 ticks, then the uptick volume is the volume (number of contracts) traded in those 2 ticks. You can check that too by adding the "Numbers Bars Calculated" study (uptick volume + downtick volume = total volume of that bar) I will add the studies you mentioned to see if the upticks volume there is the actual number of ticks, not the volume associated with them. Thanks anyway! Date Time Of Last Edit: 2023-05-19 16:15:47
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| [2023-05-19 17:05:03] |
| Sawtooth - Posts: 3980 |
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I will add the studies you mentioned to see if the upticks volume there is the actual number of ticks, not the volume associated with them.
I was mistaken, you are correct.The uptick volume is the 'volume of trades' that occurred in the up tick. UpTick Volume So apparently it is a count of the Number of Trades in an uptick, and not the Volume (number of contracts), and not a count of upticks. Date Time Of Last Edit: 2023-05-19 17:11:18
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| [2023-05-22 14:11:42] |
| Sierra_Chart Engineering - Posts: 14111 |
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Here is the documentation for this study: UpTick Volume How do you come to this conclusion?: So apparently it is a count of the Number of Trades in an uptick, and not the Volume (number of contracts), This is not what we see. It is definitely volume. You can validate that by looking at the uptick volume and down tick volume, and adding them together and it will equal the total volume. Set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this: Tick by Tick Data Configuration 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-05-22 14:14:51
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| [2023-05-22 21:58:07] |
| Sawtooth - Posts: 3980 |
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How do you come to this conclusion?:
In the documentation, the term 'volume of trades' confused me.There is volume of contracts, and there is number of trades. |
| [2023-12-24 16:01:08] |
| masedi - Posts: 37 |
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I am looking for the same study: X ticks in a certain direction per Y time period and came across this thread from a search. Were you able to get this sorted out? |
| [2023-12-24 17:33:00] |
| Radu Sirbu - Posts: 40 |
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Unfortunately, I didn't.
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| [2023-12-24 20:41:06] |
| masedi - Posts: 37 |
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this is the thread I started, maybe one of the methods posted will help you. Trigger Alert if price moves x ticks(or points) within y time (in ms) |
| [2023-12-24 20:41:30] |
| Sawtooth - Posts: 3980 |
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There is no native study that can count ticks per second, a tick being defined as the smallest increment of price movement. The Uptick Volume and Downtick Volume studies count the volume of traded contracts of each up/down tick. They do not count upticks and downticks. UpTick Volume DownTick Volume |
| [2023-12-25 01:44:36] |
| masedi - Posts: 37 |
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Check the thread in the link, it's not based on volume. There are 2 ideas. - based on bar range per time-based bar period - based on bar duration of range bars Date Time Of Last Edit: 2023-12-25 01:44:57
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| [2023-12-25 21:20:23] |
| User61168 - Posts: 350 |
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If I may...I think Radu is looking for "price changes" per second (probably to measure the strength of momentum in price movements) without giving any regard to # of trades or volume or up/down ticks. To my knowledge, there is only one way to measure price changes and that is via the "Price Changes Per Bar" chart type. Having a study based on just pure price movements to measure speed/momentum would be great.
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| [2023-12-25 21:46:32] |
| BenjFlame - Posts: 305 |
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This would be doable with acsil but would be moderately complex: - Have a chart based on 1 trade per bar. Loop over bars, and count each bar where either OHLC > OHLC of previous bar (since O=H=L=C in 1 trade bar). Store that in persistant variable (and stored in a subgaph) reset at each 1 second interval. This is your true uptick count. Same for OHLC < OHLC. This would be your true downtick count. This could be charted as 2 lines accumulating downtick / uptick and reset at each second. More useful representation: instead of resetting at each second, we could reset at more meaningful time interval, like 10 seconds, and only display delta of uptick minus downtick as single bar, like a strength meter of ticks within the latest 10 seconds. A sliding version could also be made so it would not reset at each 10 second interval but continuously calculates tick delta form latest 10 seconds. Would that be more useful than volume, trades delta? Impossible to tell. Never saw this and cannot know until seeing it, if it meaningfully represents price momentum and shifts. After all, the price bar is already the result of those tick flows. Date Time Of Last Edit: 2023-12-25 21:55:23
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| [2023-12-25 23:10:24] |
| Sawtooth - Posts: 3980 |
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To my knowledge, there is only one way to measure price changes and that is via the "Price Changes Per Bar" chart type.
OK, try this:- Add a chart to your chartbook using the Bar Period Type of Price Changes Per Bar, and a Bar Period Value of 1. - Add the Bar Time Duration study. - Add the Spreadsheet Formula study, set the Value Format to 0.00000001, with a formula like this in its Formula field: =IF(ID1.SG1<1/86400,ID1.SG1,ID1.SG1+ID2.SG1[-1]) where the Bar Time Duration study is ID1, and this Spreadsheet Formula study is ID2. - Add another Spreadsheet Formula study, with a formula like this in its Formula field: =IF(ID2.SG1<1/86400,1,ID3.SG1[-1]+1) where the first Spreadsheet Formula study is ID2, and this Spreadsheet Formula study is ID3 This Study Collection finds the price bars that are less than 1 second, and adds its bar duration to the previous bar duration, and counts these bars until there is a bar greater than 1 second. Now you can create an alert when ID3.SG1 >10 (price changes per second): =ID3.SG1 > 10 Date Time Of Last Edit: 2023-12-25 23:12:49
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 Price Changes per Second+.StdyCollct - Attached On 2023-12-25 23:12:20 UTC - Size: 48.06 KB - 147 views |
| [2023-12-26 06:29:55] |
| User61168 - Posts: 350 |
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Thanks Tom. Hopefully this solution meets what Radu was looking for. Thinking further, it would be more beneficial to add logic to measure "uptick" and "downtick" and gain micro-directional bias for some quick scalping :-
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| [2023-12-26 14:27:32] |
| Sawtooth - Posts: 3980 |
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Thinking further, it would be more beneficial to add logic to measure "uptick" and "downtick" and gain micro-directional bias for some quick scalping :-
Now that is a feature I would use!
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| [2023-12-26 20:59:08] |
| ertrader - Posts: 645 |
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Yes.. agreed!
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| [2023-12-26 22:56:33] |
| User61168 - Posts: 350 |
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Great. Want to implement this feature in your collection? This could be a good edge to gain directional bias as well.
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