View Full Version : tick charts
08-02-2006, 06:44 AM
I am looking at an 800tick chart of the russell in NT which has 28 bars.
The same chart in eSignal has 60 bars for the same time frame.
Clearly NT does not count each trade as 1 tick. How can I get an NT chart that does.
In other words, at least in eSignal, each trade is one tick. For my trading decision process, I need to count and chart all ticks/trades.
Thanks in advance.
08-02-2006, 07:37 AM
What data feed do you have NT connected to?
08-02-2006, 07:54 AM
08-02-2006, 08:09 AM
1. Patsystems does not provide historical data and therefore charts are built from the time you initially request the chart. This data is storedon your local PC for futureuse.
2. Different data providers regulate their market data differently. Patsystems throttles data so you don't get as many ticksas you would with eSignal. This will contribute to ticks charts being constructed differently. This limitation of the Patsystems feed may contribute to a 10% loss of tick data.
I suspect your issue has to deal with item #1.
08-02-2006, 09:06 AM
Thanks for the reply Ray.
I suspect the loss is more like 65%.
Iset up the PATS chartfor the timeframe 09:00 to 16:15. The PATS chart has 35 bars (800t) for that time frame and eSignal (800t) has 100 bars. Therefore the loss is 65% of the ticks. (28,000 ticks/trades instead of 80,000)
If I select 200 ticks for the PATS chart I get 143 bars.....400 tick has 80 bars.....300 tick has 98 bars.... the PATS 300t chart seems to match the eSignal 800t (except that I am getting 98 x 300 ticks/trades = 29,400 instead of 80,000)
In eSignal I execute trades on a tick by tick basis. I intend to drop eSignal and switch over to NT/PATS when NT ATI is available.It would appearI will be executing on every third tick instead of tick by tick due to the apparent loss of data....correct?
When they "throttle data", are theydropping ticks that are not at a different price?...or just dropping 2 out of every 3 trades?....the highs and lows per bar seem to be okay, so possibly the former? I suppose I could live with receiving every "different tick" if that is what they are doing.
08-02-2006, 07:30 PM
I get just over 70 - 800 tick bars on eSignal for ER2. I then checked our own historical data server and we get just over 70 as well. There is no way for me to check Patsystems data since we do not collect data from their feed. I would not expect their be that large of a loss but I don't really know for sure. I don't know what the algorithm is that they use for data throttling.