What happened to the NYSE $TICK?

Has anyone noticed the lack of volatility in the $TICK over the last month? Here is a chart of the 5min $TICK ATR for each day of the last 2 years. Notice how it is below 400 for the last 20 or so trading days. Last week we had a couple of days under 200. Hasn't been down that low since 2001! Any ideas why? Are program traders on strike?

 

How do you get the ATR of the $TICK?

 

I used TradeStation and added a custom indicator to a 5min $TICK chart that contained the following lines:

Code:

if Date <> Date[1] then
begin
	atrLong = AvgTrueRange(78)[1];

So on the first bar of each day, it calculates the ATR for the previous day (78 5min bars 9:30 - 4pm). I then printed it out and copied it into excel.

Hope that answers you question.

 

I tried to duplicate your parameters in eSignal and do not get the same results (78 periods, 5 min chart). The recent low was above 450 and that was the week after Christmas. The last few days it has been averaging about 670.

 

Looks like an issue with my Tradestation data. Compared it to IB and it is definitely wrong. I will look into this further. Thanks for verifying.

 

Do you ever use the ATR for intraday scapling?

 

Nope. I usually use it to determine the volatility of an instrument or an indicator.

 

I too have noticed that the $TICK on TS has not hit +/- 1000 in quite a long time. No longer an Esignal subscriber so I have nothing left to compare it against..

But the lack of $TICK volatility on TS is on my screens too.

 

Glad to see I'm not the only person on ET using $TICK on TS!

Try using $TICKC. I suspect that TS may have switched the data on $TICK from the composite tick to the "local" tick (no regional exchanges) around the 12th of December. I need to do a little more investigation after the market closes.

 

Done. That looks more like it. Thought it was just me that $TICK didn't seem to do much anymore.