Support Board
Date/Time: Sat, 23 Nov 2024 21:45:36 +0000
Post From: Fractional Tick Size and the Number Bars Study
| [2024-07-30 15:35:27] |
| TraderBiku - Posts: 36 |
|
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! |