Support Board
Date/Time: Sat, 23 Nov 2024 21:39:18 +0000
Fractional Tick Size and the Number Bars Study
View Count: 145
| [2024-07-29 22:22:30] |
| TraderBiku - Posts: 36 |
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Hello, I recently discovered it's possible to enter fractional tick values on chart settings > symbol settings > tick size. For example, I currently have my chart set to 0.6, meaning 2.4 ticks per point. When I look at the number bars study, it appears to represent the bid-ask volume in a way that looks well organized, but I'm very curious how these values are being split up into discrete levels, given that the underlying market is trading only on the ticks themselves, and obviously not between them... Is there any documentation that explains how these fractional tick bid-ask values are populated in the number bars study? Thank you! |
| [2024-07-30 14:05:29] |
| John - SC Support - Posts: 36238 |
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We are not fully understanding what you are doing. But if you are setting a Tick Size that is some fractional value of the actual tick size, such as 0.05 for the ES, which has a standard Tick Size of .25, then what you will see in the Numbers Bars is data at the actual price points and blank spaces at the prices where there is no trading. If you are setting the Tick Size to a larger multiple of the tick size, then the Numbers Bars will combine to show the values at the new price points. It is better to use the "Volume at Price Multiplier" for this though. Refer to the following: Chart Settings: Volume at Price Multiplier for Historical/Intraday Chart (Chart >> Chart Settings >> Chart Data >> Volume at Price menu) If you are setting the Tick Size to larger value that is not an even multiple of the actual Tick Size, then the Numbers Bars will combine and will display at the closest value to the actual price. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-30 15:35:27] |
| TraderBiku - Posts: 36 |
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Thanks John - apologies for the confusion, indeed I am experimenting with a Tick Size that is larger and not an even multiple of the standard tick size (I am using 0.6 while the baseline tick size for the instrument is 0.25). On my number bars chart, I see that volume and delta are being very neatly distributed on these "imaginary" tick levels (20000.0, 20000.6, 20001.2, 20001.8, 20002.4, etc) - so I was simply curious how these "imaginary" tick levels are being populated, given that the underlying instrument is trading only on the exact ticks (20000.0, 20000.25, 20000.50, 20000.75, etc). For example, if my chart is showing the intervals 20000.2 and 20000.8, side by side (ie 0.6 tick size), how is the underlying volume and delta from the actual ticks being distributed/assigned/combined to these "imaginary" ticks - for example, does 100% of the volume from the "real" 20000.25 level get assigned to the imaginary 20000.2 (its nearest approximation) and 100% of the volume from the "real" 20000.75 level get assigned to 20000.8 (again, nearest value) and then the volume from the "real" 20000.5 level gets split evenly between 20000.2 and 20000.8 because it falls exactly between the two? Said succinctly, is the volume data being split and "assigned" to the "imaginary" ticks in some proportional manner based on their relative proximity to the nearest underlying "real" tick? Or by some other method? Thank you! |
| [2024-07-30 15:53:17] |
| John - SC Support - Posts: 36238 |
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It's a bit complex and we will not go into the full math that we use to consolidate the values together, but basically it is a rounding problem, so the values are assigned to the nearest price value based on rounding rules.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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