[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Tick volume



PureBytes Links

Trading Reference Links

I've been looking at e-Signal's version of tick volume lately.
Unless I've completely misunderstood what I'm dealing with,
they condense their data stream by sending only tick changes,
rather than all the ticks.  That is, a bond contract with the
following sales:

99-19, 99-20, 99-20, 99-20 (and so on for the next 10,000
ticks), 99-21

comes across as:

99-19, 99-20, 99-21.

Has anyone else found a way to extract value from this?
I like volume data on position trading and had hoped that
tick volume would be a workable substitute for intraday work,
as some folks have suggested.  But this looks useless to me,
and I'm not inclined to waste much time on it.

Thanks.

Owen Davies