Support Board
Date/Time: Sat, 28 Dec 2024 08:51:32 +0000
Post From: Article about Sierra Chart Market Statistics and their Accuracy
| [2016-02-27 15:39:40] |
| User13668 - Posts: 294 |
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I spent some time reading this page Sierra Chart Market Statistics: Calculations and Algorithms to make sure I fully understood how SC were calculating Market Symbols - especially those associated with creating TICK. I just wanted firstly to support a comment SC made in another thread where you said SC provided the most detail in a public environment around the calculation of Market Statistics - from what I have seen this is very true. There were a couple of areas I wanted to clarify to make sure I was understanding your computation of TICK: 1/ With DTIS and UTIS I take it that stocks are excluded until they have their first trade of the day. 2/ What if the first trade today for a stock is the same price as the prior close (yesterday's last trade)? Is that stock still excluded until it does trade up or down, or is it included based on if it was last (yesterday) on an Uptick or Downtick? 3/ If during today a stock trades again (not the first time today), but at the same price as the previous trade today? Is it excluded from the TICK calculation, or is it included based on it's direction from when it last traded up or down today? 4/ What if a stock has traded already today, but at the next point you sample the data to measure TICK that stock has not traded. Is it excluded from the TICK calculation, or is it included by maintaining it's direction from the last time it ticked up or down? I assume it is the later. 5/ Finally you say ISS helps to illustrate the # of stocks making up the TICK calculation, but how is that accurate because ISS is only stocks traded in that second, whereas TICK keeps the direction of a stock even if it has not traded in that second? Thanks |