Trading With Tick Index: A Short Summary of Various Versions Of NYSE Tick Index

By Lawrence

stockxpertcom_id21194211_jpg_8f5562cb819a56d7cb19fddf50566ec5While preparing for the next article on converting trading rules between eSignal and DTN IQFeed versions of NYSE Tick Index, I have been doing data comparison on and off among multiple sources whenever I have time to sit in front of my computer.

So far it is clear that the eSignal NYSE Tick Index is the same as FutureSource, S&P Comstock, and effectively any company that is part of the Interactive Data group. I did the actual checking across these 3 data feeds to make sure they are the same. So I am sure about that. And I am speculating that it would be true for the other brands of data delivering NYSE Tick Index under the same group of companies.

I have access to CQG data and the NYSE Tick Index they offer is extremely similar to that coming from eSignal. Since I do not know if CQG gets its NYSE Tick Index from S&P Comstock or if it generates its own, I cannot claim that they are the same as the data does not match 100%. Let me put it this way. The data looks like coming off the same statistics gathering algorithm but the time where the sampling were done was set at slightly different time schedule.

I no longer have directly access to TradeStation data myself since the beginning of the year. So I do not have updated data from them to cross check if their data is the same as eSignal or not. When I get to the point writing about conversion of analysis between eSignal and Tradestation data, I may need help to obtain the latest tick data on NYSE Tick Index from Tradestation to do so.

I will probably summarize the brokerage versions of NYSE Tick Index in a separate article as the comparison of these data can get very long and boring. I will definitely include MB Trading and Open E Cry. I will also try to include Interactive Brokers if possible. The idea is to turn these comparisons into reference articles. Should you choose to switch from one data source to another, you can quickly tell the difference without the panic attack I experienced.

Back to writing. Later!

Comments
  • MidKnight April 21, 2013 at 9:30 pm

    Thanks Lawrence. Very helpful to share your findings.

    With kind regards,
    MK

  • raker April 22, 2013 at 3:20 am

    Keep the great articles on the tick index coming , just out of curiosity do you still use the Tick90sp you mentioned in an article a couple of years ago ?

    • Lawrence Chan April 22, 2013 at 9:59 am

      For timing I use my custom tick indices extensively. I still use Tick90 and Tick1K. Many of my mechanical setups are built around them.

      The reason why the series is written on the regular NYSE Tick Index is that not everyone has access to custom breadth data.

  • raker April 23, 2013 at 8:31 am

    Thanks Lawrence , I dont know where I would be without neobreadth and being able to develop any kind of stats (especially tick stats) on a basket of stocks…

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