Support Board
Date/Time: Tue, 26 Nov 2024 11:37:48 +0000
Post From: Ticks per second
| [2023-05-18 07:31:27] |
| Radu Sirbu - Posts: 40 |
|
What I mean in this case for "tick" is the minimum price movement of that instrument. For example, we have ES mini futures and, at the start of the bar, the price is at $4200. As we know, 1 tick for ES is $0.25 in price. Let's assume that during that bar the price moves to 4200.25 (1 tick), then to 4200.50 (another tick), then drops to 4200 (another 2 ticks), and finishes the bar at that level. Even though it finishes where it started, it moved 4 ticks during that bar. Dividing the number of ticks (4 in this example) during a bar to the number of seconds of that bar (time-based or not) I want to asses somehow the speed of price. Something similar (but not quite) is the Volume/Second measure in the "Numbers Bars Calculated Values" study, but that value can be misleading for what I want to see because you can have big volumes compressed in a few ticks. Speaking of price speed, it would help also to add in the "Time and sales" window a "speedometer" that somehow measures the current data update in this window, taking into account the settings/filters applied for Time & Sales. |