Tick, Defined, Clarification of Definition

[balltrader]

I've been searching the help guide & forums, but I cannot find a definition of what is meant by the word "Tick".

When using an instrument like E-mini Futures /ES, the tick value is $12.50

1. When using a chart where a new bar is created for each tick (BarsPeriod.BarsPeriodType = BarsPeriodType.Tick), does that mean price needs to move $12.50 before a new bar is drawn? That seems more like a range bar?


2. Is a tick referred to as a new event of "price data received from your data provider"? So each transaction in the market is referred to as a tick? Programatically, is this triggered on the event OnMarketUpdate or OnBarUpdate? I have also read something labeled Calculate.OnEachTick I'm confused here. NT8


3. In a chart with BarsPeriod set to 100 Ticks, is a new bar created after NT receives 100 "packets" of trade transactions from the data provider?


4. Can there be a tick without a change in price? i.e. last price $1.00, a trade of 10 contracts (volume) at the price of $1.00 (no price change), is that still referred to as a Tick?


Thanks

[NinjaTrader_ChelseaB]

Hello balltrader,

The term tick means the smallest price fluxation.

As an example the ES has a Tick Size of .25. This means there are 4 ticks to every point. If the price moves, it moves .25 at a time.

The value of a point on the ES is 50. This means for each minimum price fluctuation, this is worth $12.50.

Below is a link to Investopedia on Tick.

http://www.investopedia.com/terms/t/tick.asp

And a link to a page describing ticks, points, and pips.

http://www.investopedia.com/ask/answers/032615/what-difference-between-pips-points-and-ticks.asp

We also use this term when there has been an order filled on the exchange and the price has changed. (Buy orders fill on the bid, sell orders fill on the ask)

http://www.investopedia.com/terms/b/bidtick.asp

These are also market data events.

However, changes in level 2 data would count as market depth events and would not count as ticks as no orders were filled.

[balltrader]

still confused

Thanks Chelsea, but I am still confused about most of the numbered questions of my original post.

We also use this term "tick" when there has been an order filled on the exchange and the price has changed.

I've read this.

http://ninjatrader.com/support/helpGuides/nt8/en-us/calculate.htm?zoom_highlightsub=calculate

I understand the help page to mean "a tick is every piece of data received from the market data provider" (i.e. CQG), since in that help page it describes receiving a tick data where the underlying instrument price does not change.

Calculate.OnEachTick means on every single tick.

.OnPriceChange means once for each price change.

If there were two ticks in a row with the same price, the second tick would not trigger OnBarUpdate().

So this confuses me, because your comment which I quoted above appears to me that there must be a price change to be considered a "tick".

[NinjaTrader_ChelseaB]

Hello balltrader,

Think of it this way, on the exchange there are orders being placed at the bid and ask. When two of these are at the same price they exchange and a fill is executed. This fill execution sends out a price change (that may be the same price as the last execution).

NinjaTrader defines the price change differently in that with .OnPriceChange it requires the last tick to be a different price than the previous tick.

One way to put that together is to say if the ES ticks up, an execution just occurred exactly .25 above the previous last price.


There is also 3 types of historical data. Day, Minute, and Tick. Tick data is all of the individual executions. Minute data is the open, high, low, and close prices received while that minute was open. Day data being the OHLC received during that session.

[koganam]

I've been searching the help guide & forums, but I cannot find a definition of what is meant by the word "Tick".

When using an instrument like E-mini Futures /ES, the tick value is $12.50

1. When using a chart where a new bar is created for each tick (BarsPeriod.BarsPeriodType = BarsPeriodType.Tick), does that mean price needs to move $12.50 before a new bar is drawn? That seems more like a range bar?


2. Is a tick referred to as a new event of "price data received from your data provider"? So each transaction in the market is referred to as a tick? Programatically, is this triggered on the event OnMarketUpdate or OnBarUpdate? I have also read something labeled Calculate.OnEachTick I'm confused here. NT8


3. In a chart with BarsPeriod set to 100 Ticks, is a new bar created after NT receives 100 "packets" of trade transactions from the data provider?


4. Can there be a tick without a change in price? i.e. last price $1.00, a trade of 10 contracts (volume) at the price of $1.00 (no price change), is that still referred to as a Tick?


Thanks

That is because like many words, "tick" has multiple meanings, that must be read in context. You have identified the 2 meanings that traders use.

1. A quantity that represents the smallest measure of price movement.
2. An event that indicates a data event to which a trader can respond.