I searched first, but did not see this answered. How, exactly, is the NYSE $TICK index constructed at its source? In principle, it could be updated upon each trade of an NYSE stock? Is it? Once constructed, how often is it disseminated on the raw NYSE data feeds? In principle, it could be disseminated n times per second while updated upon each trade or m times per second. Finally, do all third party feed vendors alter the raw feed dissemination by taking a snapshot, say at 1 sec intervals or less, or are there third party vendors who pass it through exactly as it is disseminated from the source?
Ours is not to reason why, Ours is but to do and die! Do not concern yourself with things that do not matter. Use it, and if it helps you make better trades, keep using it. If I am daytrading stocks, or futures, I use it the whole time. I am with IB, and do not find any problems with $TICK updating in real time with TWS data feed. You can not follow it blindly of course, but it is a good confirmation indicator, even if a few seconds behind, but as mentioned, I have seen no issues with it when I use it. J_S
I can't answer specifically what you're asking, but I can tell you this: - Brett Steenbarger has written a ton about this indicator on his blog. - In my experience this indicator is highly overrated.
Curiouser and curiouser! An email to NYSE Connectivity support asking similar questions produced the response that the index in question is "not disseminated by NYSE and its subsidiaries". In other words, it may be that the answer to my question is "the NYSE $TICK is not produced by the NYSE, but is in fact, a creation of third party feed vendors, each doing whatever they choose". Again, if anybody actually knows, I'm all ears.
Again, it doesn't really matter, for it is not the magical indicator, for there are none! You can short ES with tick at +1400 and ES can still run up more. What you should be concentrating on is the rhythm of the movement, more so than the level, but also noting that at certain times, with certain rhythm, then the odds of a quick reversal are high, and reading charts can also help! J_S
Have a look here, this thread at SC is really helpful. If you click on the link in this thread and read their research you will see that each datafeed provider calculates their own TICK data from the underlying stock price movements as per data from the exchange (eg NYSE). Even SC calculate their own TICK data. https://www.sierrachart.com/SupportBoard.php?ThreadID=18177
Thanks. Yes, one of the links there does add support for the idea that the NYSE $TICK is entirely a vendor-dependent construct. If anyone is receiving a direct NYSE feed, if they could confirm that the feed does *not* contain a TICK symbol (or some equivalent), that would be helpful.
If I am trading it, or using it to inform trades, it absolutely does matter that I understand what I'm looking at. That said, I am puzzled about the $TICK index compared to price changes on the /ESZ6 (or any other market index). I have never heard anyone speak of the timeframe over which this statistic is calculated. Here are my thoughts and concerns. Some have said that this indicator is instantaneous. I don't believe this can be true. If it were, you would see changes in /ESZ6 highly correlated with the $TICK value. However, /ESZ6 doesn't change much when the $TICK doesn't change regardless of it's specific value. When the $TICK stops moving, even when it is hugely positive or negative, the /ESZ6 barely moves. Values for /ESZ6 appear to be better correlated with changes in $TICK, i.e., we see /ESZ6 values move upward as the $TICK moves upward, and vice versa. Even if the $TICK is highly negative or positive, if it's not moving up or down, /ESZ6 doesn't move very much. This strongly suggests that $TICK is determined over some rolling timeframe. So, what is that timeframe? It might be a rolling 1 second, or 2 seconds or 5 seconds or something else. If $TICK was instantaneous, /ESZ6 values wouldn't generally change in direction until $TICK crossed over the zero value. Yet, we do not observe this in practice. We see the /ESZ6 move in the direction of the $TICK movement, regardless of the absolute $TICK value. We further observe is that, when $TICK reaches a local top or bottom, /ESZ6 doesn't move much further up or further down. It is when the $TICK changes, do we see any marked movement in /ESZ6. I'm hoping someone can lend some insight.