Trading With Tick Index: A Comparison of DTN IQFeed and eSignal NYSE Tick Index

By Lawrence

This article explains how to translate the interpretation of NYSE Tick Index between the eSignal version and the IQFeed version.

Frame of Reference

I use the eSignal version of NYSE Tick Index extensively for backtesting and signal generation. It is not that it is better than the other ones. It is a habit now as I have monitored the same index for 20 years. I use the eSginal version of NYSE Tick Index to write this series of articles too.

The advantage of the eSignal version is that I have access to all the historical data of the index going all the way back to the 1990s. It enables me to understand the changes happening to the index and how it evolved over time.

Currently eSignal NYSE Tick Index (symbol $TICK) is updated every second, just like the one offered by DTN IQFeed (symbol JTNT.Z). Both of them are updated during US session stock market hours from 9:30 am to 4:00 pm Eastern Time. From these second by second real-time update we can construct minute bar, etc. easily to line up with the other data for comparison.

An Example Chart With Both Versions of NYSE Tick Index

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  • skippy April 26, 2013 at 9:20 pm

    I’m humbled by your rigor, Mr. C. Seriously. But inspired, too. Thanks for this.

  • muskietrading3 October 19, 2013 at 6:51 pm

    Thanks for explaining this. I switched from eSignal to NinjaTrader with Kinetick and I wondered why I wasn’t getting the higher (and lower) spikes that I used to.

  • paulj February 7, 2015 at 2:05 pm

    I am very pleasantly surprised to find this comparison. I was trying to figure out how to do the same comparison. Apparently, IQFeed calculates their own NYSE Tick from their stock data. This might explain the difference in the two ticks. CAN ANYONE TELL ME WHERE eSignal gets their NYSE tick data? Does it come from the NYSE? Thanks!

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