Anyone knows how IB calculate NYSE TICK? I notice that TICK in IB TWS and eSignal are always different. It seems IB's TICK reading leads a little bit than eSignal. Is there an official TICK number calculated by NYSE itself? - Clearpicks
I believe eSignal only updates TICK-NYSE every 6 seconds; IB updates several times per second. IOW, the calculations are the same, you are just seeing delayed data from eSignal. s
Yes, there is a TICK-NYSE indicator, derived by the exchange itself. According to James Altucher's Trade Like a Hedge Fund, Ch. 5 "Using the TICK", it is computed once per second: "the number of stocks that ticked upward (within the past second) minus the number of stocks that ticked downward."
As per StealthTrader. Also please note there is a Contract Search button available on the website and from the Help menu on the TWS. Customer Service would also be able to assist with this (see Help&Contacts on the website).
On a related note: Have anyone gotten the net advancing issues to work? I can't - the quotes are just stuck at some number. Symbol AD-NYSE.
I have talked to the NYSE about the TICK data they put out and they sell raw data, then you would have to have a system/program to calculate the TICK ratio for you. What they did tell me is who they recommend for the calculated TICK as seen with Esignal, IB, Realtick, etc for the best speed {critical for automated trading execution}. I use the TICK everyday and I have found several very good uses for it {es and er2 trading} so if anyone knows the best way to get TICK data {speed wise} I am all ears.
The AD-NYSE is not a normal quote, although you can request it in your TWS-sheet, it will not display values there (if you do that in ButtonTrader, you will see the AD volumes because we convert these "none visible fields" in valid ones)....In TWS, you should use the Market-Startistics-page >> there the AD figures are presented. Hope it helps