Looking for a specific Tick Lane indicator.

Discussion in 'Automated Trading' started by PocketChange, Sep 18, 2008.

  1. Need to know if any standardized indicator exists to calculate what we call: "Tick Lanes"

    Basically calculating tick movements inside an interval.

    ie. How many 8 tick movements occured inside of the last 100 tick movement. etc.

    ES for example between 1216 start and 1166 finish on 9/17
    1 contract dropped 50 points -$2500 in value.

    During the same run its 8 tick lane provided
    145 - 2 point moves up
    166 - 2 point moves down
    311 - 2 Point movements = $31,100 in trading opportunities.

    ES' 4 Tick Lane provided:
    431 - 1 Point moves up
    461 - 1 Point moves down
    892 - 1 Point movements = $44,700 in trading opportunities.

    Currently we calculate and build out this data per instrument, tradeset and each position. Resource Hog... Are there any other equivalent or similiar standardized indicator.

    Attached is a screen shot of our data table.
  2. rosy2


    not sure whay this is a resource hog. its arithmetic. do you want this realtime or from static data? for realtime look into the esper java library