The trading term ‘tick’ has
different meanings depending on its context. As a noun a tick’s
most common context is the minimum increment a stock or security can
move. As a verb, a tick (which is used interchangeably with the word ‘tic’)
is a quick sudden movement. The context I think you’re referring to
is a tick chart. Here a ‘tick’ means a trade. The trade
can be of any volume.
Trades occur at a specific point in
time. Tick charts group the trades into bars of a defined number of
trades (e.g. 100 tick bars). The tick chart bars do not have a fixed time
increment. Asking how many seconds per tick is similar to asking how much
volume per bar. Each bar is different. Of course you could average
the number of trades across a pre-determined number of tick chart bars to get
the average number of seconds per bar. This average number of seconds per
tick chart bar would be different dependant on the security, the time of day,
and many other factors.
Since you are using IB data, this adds an
additional layer of complexity. IB tick chart data does not include all
trades. IB takes snapshots of trades every 0.2 to 0.3 seconds. Each
snapshot is of the last trade in the snapshot time period. The snapshot
may or may not include all the trades that occurred during that short time
period.
Sorry the answer to your simple question
is not so simple.
Regards,
David
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of yasuscus Sent: 03/18/2007 10:12 PM To: amibroker@xxxxxxxxxxxxxxx Subject: [amibroker] Tick interval
Hi
Iwant to know per how many seconds Tick is?
I am taking data from IB.
Thanks in advance.
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