RE: Tick data

["chris donnan" <chrisdonnan@xxxxxxxxxxx>]

Well Joel- I will take you up on that :) This IS doable. 

For everyone's general information :








http://www.tickquest.com/NeoTicker/chart/mixtickmin.gif
http://www.tickquest.com/NeoTicker/chart/highpower.html








It is not rocket science- NeoTicker does it :)








-Chris








-----Original Message-----
From: Joel Reymont [mailto:joelr@xxxxxxxx] 
Sent: Monday, January 19, 2004 5:28 AM
To: omega-list@xxxxxxxxxx
Subject: RE: Tick data








We have no qualms about implementing this in QuantStudio.
The issue is coming up with some solid logic. If someone can explain to us
what a robust implementation will be then we will go ahead and do it.








In fact we make it a point to listen to what our customers want 
and rolling those features out quickly.








	Thanks, Joel /SmartQuant/








> -----Original Message-----
> From: Kevin Sven Berg [mailto:ksberg@xxxxxxxxx] 
> 
> Max,
> 
> It doesn't sound intuitive until you think about how bars are 
> created. All bars, even tick bars, are bound by time. For 
> instance, a 100-tick bar will have a start and an end time, 
> based on when the bar is created and finished.
> 
> When you combine time-based charts (minute, hour, day, week, 
> etc), the program is able to align times so that multiple 
> data series can be placed on a single chart. With tick bars, 
> no such alignment is possible because there is no guarantee 
> that ticks will line up with anything. In fact, it would be 
> unusual if they did.
> 
> What you're asking for is extremely non-trivial to implement, 
> which is why commercial packages don't support it. Even 
> trading programming packages, such as SmartQuant, don't support it.
> 
> I've tried my hand at a custom implementation, and managed to 
> achieve support at the data level. It requires that one data 
> series become the "master", and defines the time slicing. In 
> my case, I was looking at at 100-ticks of the E-mini, and 
> creating a slice of the $TICK, which may have been 34 ticks 
> (or some other arbitrary number). Now both series will be 
> aligned so that charting is possible. You'd have to do 
> something similar to support aggregation of buyers and 
> sellers for every tick bar. It requires the equivalent of 
> re-writing the global-server so that it can serve and mix 
> time-and-sales information on the fly for any chart ... 
> meaning that no data caching is possible.
> 
> I didn't carry the implementation through to charting. I just 
> don't believe it's worth the special effort (and it is a LOT 
> of effort).
> 
> Kevin
> 
> At 03:34 PM 1/17/2004 -0800, you wrote:
> >I have a tick chart, based on last data for Intel. I want to look at 
> >the Buyers vs. Sellers Activity Bar which requires ask and 
> bid data as
> >Data2 and Data3. When I try to add those I get an error 
> message "Tick 
> >charts may not be mixed with other charts or activity bars". The 
> >Activity bar seems to call for the other data but I can't 
> put it in a 
> >chart. What is up with that??
> >
> >Max
>