Support Board
Date/Time: Wed, 15 Jan 2025 09:47:45 +0000
Tick Calculations and Inverse ETF's
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| [2017-06-03 20:15:29] |
| Merlin - Posts: 83 |
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This is kind of a philosophical question, which occurred to me after reading your new message on Sierra's Tick calculation (which I agree is excellent). As I understand it, the NYSE and Nasdaq tick calculations include not only stocks but also Exchange Traded Funds (ETF's). Correct? Assuming yes, there are quite a number of ETF's that are designed to do the opposite of what their market sector does. These funds usually have "Short", "Inverse", or "Bear" in their names. They're designed as a vehicle for investors to short the market or some sector. For example, SH, the "Short S&P500 ETF, should tick UP when the S&P500 ticks down, and tick DOWN when the S&P500 ticks up. This web page lists such ETF's: http://etfdb.com/type/equity/all/inverse/ I'm surprised how many there are! It seems to me that the ideal TICK calculation would invert how it counts such funds. Downticks for an inverse fund would be counted as upticks for the tick calculation, and vice versa. Otherwise they would tend to artificially reduce extreme tick values - because the stronger the market upmove, the more certain it would be that all of these ETF's would be ticking down. This would create a small but real inaccuracy in the calculation. Another alternative would be to exclude them entirely from the calculation. How does Sierra handle these inverse funds? Have you thought about this issue? Warm regards, Merlin |
| [2017-06-03 22:00:29] |
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As I understand it, the NYSE and Nasdaq tick calculations include not only stocks but also Exchange Traded Funds (ETF's). Yes.Correct? You make a good point, and we wonder if anyone else does invert the upticks/downticks for these. Probably not too hard to implement. But if we search the name for the word "Short" and "Bear", we are going to get some false indications. But not enough to be a concern. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-06-03 22:01:20
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| [2017-06-16 20:15:28] |
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As we have looked into this, we have determined that the inverse ETF's are not affecting the TICK-NYSE calculation because these are on the NYSE Market exchange which is a separate exchange. So this is a nonissue. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2017-06-16 23:00:50] |
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We have added a new TICK symbol for NYSE Market. It is: TICK-NYSEMKT It is this symbol which contains these inverse ETF's. But they are only about 120 out of 2300 issues. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-06-16 23:01:15
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