Has anybody ever studied 1-tick tick charts with volume?

Discussion in 'Technical Analysis' started by kmgilroy89, Jan 25, 2013.

  1. You can't see the ECN or middles, but I wonder how people think this compares to the time and sales and if there are any patterns?
  2. Spend a half of a year three years ago. Could not find any pattern. If you do it, bear in mind that big orders could be split in several smaller ticks. Plus, I'm not sure, but I had feeling that during periods of high volume Exchanges or data feed provider combines several ticks into one in order to be able to pass through channel all data without delay.
  3. piezoe


    It IS time and sales!
  4. Makis


    For implementing some strategies it is a suicide not to study tick data, quotes and trades. If your strategy for example is stat arb or scalping or market making based, with time frames of a few seconds to several minutes, tick data analysis is very critical for success. And this is not about looking at pretty 1-tick charts, but getting down to serious research with a package such as R.

    The most beneficial tick type to study is quotes, specially for options data, which you cannot do it on charts in the first place.

    Personally, I have found that studying tick data is very helpful to extract patterns, behaviors and qualities of instruments that you can use to build smarter strategies.