Saturday, April 18, 2009

A different look at the Tick index

The $Tick index (the Number of stocks trading on an uptick - number of stocks trading on a downtick on the NYSE) never told me a lot. I had it on the screen to watch for extreme values, but other than that a chart always looked too erratic to me to be of any use.

But playing around a bit I now found a display which actually tells me something:

Globetrader_92    Globetrader_91

Instead of displaying the $Tick-NYSE in any kind of chart, I plot it as price histogram. This shows you quite nicely where we trade in relation to the 0-line, where the POC is, which gives you a kind of short term trend (being below 0 it tells you the trend is down, being above we go up).

The first chart shows you, what you would expect from the $Tick. A nice bellshaped curve, with the POC above 0 as we had a day with an upward bias yesterday. The second chart gives you a shortterm look into the $Tick displaying the selling into the close yesterday.

Here is the Ensign software template I use to create this chart for those of you interested in replicating the chart.

(If you have your manager not set to add symbols automatically, check the template for the symbols used, so the calculations at the bottom of the chart work as well)

4 comments:

Gold said...

Hi,

A long time ago, Dr Steenbarger say $TICK distribution is more important than $TICK himself.

newtonlinchen said...

Hello, Cris

I traded a lot (daytrading) with the TICK last year - it was really good to tells us if this tiny little 5 min bar in ES would shift itself in a volatile bar - through extreme readings in TICK.

But, aside for sustained (constant) extreme readings - the every day TICK gives mostly noise and headache.

As I'm focusing now in close-to-open patterns, I'm not watching the TICK in a constant basis anymore.

Chris said...

I just came across your excellent blog, which has duly been bookmarked.

My question doesn't relate to the $TICK, but to a post of yours from 2006 about order book bid/ask volumes.

I've been wondering if there is any useful and tradeable information within the order book, particularly for use in automated systems - timing trade entries when the order book Bid volume is greater than the Ask volume etc.

Did you take your investigations into this any further?

Thanks

newtonlinchen said...

Cris,

I check your blog EVERY DAY. ALWAYS. EVERY DAY I look at it and think "Is Cris writting today?"

Man, you should update your blog more frequently! :)