The Lawrence Chan Blog

A nice Ted Talk on what drives us to work.

This video has interesting information about the relationship among motivation, quality of our work and the direct reward factor. The talk focuses on people working in teams and companies in the beginning. Then it moves onto more personal level experience. It shows us important considerations on the type of work we do and how it is structured can lead to better productivity and happier workers.

As a trader, we are our own boss. That means if we do not structure our trading business properly, it will suffer and directly affect our bottom line. This talk makes me think and I plan to modify my daily routine to see if it helps me getting better results.

No comment yet

When I talk about NYSE Tick Index, there is a confusion where my data comes from. The confusion happens because some people find that the Tick Index they loaded onto their charts look completely different from mine. There is a good reason why that is the case and there is no need to panic that your data feed is not providing the same data to you. I will give you a detail account why this discrepancy exists.

The Original NYSE Tick Index

As far as I can recall, the original NYSE Tick Index was introduced by NYSE for the floor traders but it was since discontinued after a short period of time. Thus, there is really no real official NYSE Tick Index since. So what is this NYSE Tick Index I am talking about all along?

The S&P Comstock NYSE Tick Index

Well, it is a long story.

Since NYSE no longer computes its own Tick Index, the data vendor S&P Comstock took the challenge and recreated the index themselves. It made the index available to professional traders who subscribe to their real-time data service. At that time, real-time data was delivered through satellite broadcast, land line direct hook up, and FM transmission.

This effort made by S&P Comstock extended the life of the Tick Index. Since then, many traders developed trading techniques around the Tick Index. Eventually, Tick Index became famous in the professional trading community.

The DBC Tick Index

The major exchanges did not have the facility to allow many direct connections to their data centers in the old days (1980s). S&P Comstock is one of the few data services that secured the right to such direct connection. Hence, the retail data vendors, like Data Broadcasting Corporation (DBC), has to redistribute data from S&P Comstock. This enforced the same NYSE Tick Index distributed to the public at the time.

In short, there was only one NYSE Tick Index in the old days.

The eSignal Tick Index

Fast forward to current time, S&P Comstock, Data Broadcasting Corp., and a few other data vendor companies have merged into one big company. DBC’s data service called Signal in the old days has been rebranded as eSignal since the internet era. The NYSE Tick Index that these companies send out in real-time is still the same NYSE Tick Index.

The Unexpected Effect From More Direct Exchange Connections

A significant change has happened since when the exchanges opened up their data to more direct connections to data vendors. Many data vendors no longer need to redistribute data from S&P Comstock. They can all connect directly to the exchanges and bypass the middle-man. The advantage of that is faster (and timely) data delivery which is very important. But these data vendors and the direct access brokerages who stream their own data to their customers no longer have the NYSE Tick Index available to their clients.

Their solution, instead of licensing the one offered by S&P Comstock, is to create their own versions of the NYSE Tick Index. And that is where the trouble begins. The tick indices created by these firms do not resemble the original NYSE Tick Index. If they do, however, I suspect that it may become a very sensitive issue because it can be borderline infringement of the copyright to the index construction process.

These various favours of the NYSE Tick Index has caused confusions and frustrations among traders.

The TradeStation Tick Index

TradeStation used to redistribute data from one of the major data vendors thus its NYSE Tick Index was the same as the one offered by eSignal. But I have not looked into what TradeStation offers now, so I am not sure if they are still doing the same.

The DTN IQ and DTN IQFeed Tick Index

DTN’s NYSE Tick Index is definitely not the same as the eSignal one. They look similar but there are subtle differences between the two. Hence you cannot directly apply statistical studies done on the eSignal NYSE Tick Index to the DTN one and expect to get the same results. It will take a separate article to explain the difference and how to adapt your work from one to another.

Summary

My version of the history may not be completely correct since I am reporting what I know from a client’s point of view. There could be details that I missed. If you know something about this and would like to expand on the story please send me email or comment on the article.

As a subscriber to all these data services over the years, I can say that the worst time during the transition was the time when the direct access brokerages and smaller data vendors started to jump ship from being data redistributors to direct exchange connections. Various cash indices, including the NYSE Tick Index, were stitched together with data they got from the past, yet the real-time one they broadcast are generated by themselves.

Just think about the horror created when moving a trading model from using eSignal data into one using a direct access brokerage’s data, where the trading model no longer fire off signals as expected.

At this point, as the data vendors have all generated their own Tick Index for a long time, it is no longer a big deal switching data services or brokerages. As long as you are aware that the tick indices may not be the same among data sources, you can adjust your trading strategy to deal with the change.

No comment yet

Spike and ledge first target reached.

As long as the baseline of the spike and ledge acts as resistance, the next target below is in play.

One comment

The talk of the town just gets more controversial this week.

Melt up to $200.

Then zoomed to $260 before crashing down hard to $110.

Bounced back to $200 before another wave of selling so powerful that the main Bitcoin market has to halt its trading.

Traded as low as $70s before recovering quickly back to $140.

We are not talking about 10% swings here. We are talking about 50% drops and 100% rally in hours over the past few days for Bitcoin.

As mentioned in my previous article on Bitcoin, it is not for normal people yet. The volatility we just witnessed confirms this point. As a currency, normal people probably cannot stomach such swing without suffering emotional turmoil. Bitcoin just delayed its chance to become a currency replacement after this incident.

It is, however, definitely a great toy for speculators and gamblers.

Reportedly, someone has organized a structured fund on Bitcoin. When it is ready, Bitcoin will be shortable too. It will be very interesting to see how that works out in coming months.

2 comments

Visit the main real-time charting site for Bitcoin just now and I got this.

It was unreachable earlier when Bitcoin was down 20%.

It is reportedly down 40% at this point.

It is always a bad thing for markets not being able to keep themselves open when people starts to panic.

It induces more panic selling.

No comment yet