Volume by tick count or trade volume?

Discussion in 'Trading' started by granville x, Jun 26, 2002.

  1. At least in TradeStation, the default setting for the volume indicator for 1-minute charts (and tick charts) is based on tick count - not trade volume. This setting can be changed.

    I mainly trade with a 1 minute chart. Since I discovered this setting, I keep two volume indicators - one for trade volume and one for tick count. In that way I can see when high volume is due to large block trades or not.

    What is your opinion on what to use and how?
  2. No comments on this topic? Either it is not interesting enough, or it's just me... :confused:

    When trading QQQ for instance, the average trade size is about 1000 shares, but the most common size is 100 shares. When looking at the number of ticks (represented as volume bars in a one-minute chart if you don't change the settings in TS), I believe each trade, whatever size, adds 1 to the volume, whether the trade size is 100 or 100,000.

    So, my question is how and if you use both the tick volume and the real volume in your charts, and what experience/conclusions you have from this.

    I would appreciate your comments.
  3. jem


    granville-- perhaps like your handle you will develop a volume indicator. All I know is that there are a million ways to look at volume and it seems to me volume means different things in different phases of the market. So perhaps the beginners are confused by volume, most people do not want to spit out a cliche, the advanced traders do not want to rehash what they have learned and some traders do not want to give away secrets. Or perhaps as you guessed no one cares.
  4. BKuerbs


    I'm using tick volume in a slightly different way: that is I'm using a Constant volume Bar Chart, though the Constant refers to the number of ticks not the number of contracts traded. It's a good measure of volatility.

    Somewhere buried in my well-organized archive (read: bloody chaos) there is a statistical study that shows w/r to stocks that tick volume is a better proxy for volatility than volume.

    The screenshot compares a 5 minute Chart (of the german bund) (left monitor) to a 45 tick constant volume chart (right monitor). The 2 sub-charts in the 5min chart show volume resp. tick volume.

    The subcharts in the CVB Chart show traded volume and the duration of each cv bar in minutes. The horizontal line denotes 5 (for 5 mins). The duration of the bars varies between 1 min and 12 min for 7/5. Note the difference in the number of bars in each chart for the end of the 7/4 (left upper corner of charts). The last cv bar for this day lasts 20min.

    So what happens in a CVB chart? When there is less trading measured by the number of ticks (the volume might be great nevertheless, usually it isn't) the CVB chart contracts, when there is a lot of trading it expands. For the 7/5 the total number of bars in the 5min chart and the CVB Chart are not very different, but differ in quiet and volatile phases.

    If you want to know how much (if at all) that improved my trading: I do not know nor care, I just like the CVB Chart.

    http://home.t-online.de/home/Bernd.Kuerbs/Boersencharts/FGBL/FGBL 45Tick CVB vs 5min.png


    Bernd Kuerbs
  5. Thanks guys for your respons! :)

    What got me curious about tick vs real volume in a volume chart was that TS has ticks as default in the volume indicator when showing intraday 1-minute charts. If showing 2-minute charts or longer intervals, it takes volume as default for the volume indicator. However, these settings can be changed by formating the underlying issue.

    I now keep track of both the number of ticks and the volume with two different volume indicators. If there is a large order filled with 500,000 shares, the volume-based one shows a great peak but the tick-based one just makes one tick. So, a very high volume bar at the same time as an average tick bar, tells me there were one or more unnormally large trades going on during this period. This without me having to watch the Time&Sales window where the trades runs by at hyper speed (at least in QQQ) and I probably would have missed these large trades.