Friday, January 08, 2010

Reading Intraday Sentiment With NYSE TICK

Here is NYSE TICK on the day thus far. Note that the average TICK value has been positive through most of the morning (blue line above), suggesting little selling pressure following the unemployment numbers. Once it appeared that selling pressure was modest and that we'd hold above the overnight lows in early trade, a move back to VWAP and the 1137 area volume bulge in ES noted in the prior post became a good hypothesis.

I also like to look at the volatility of the NYSE TICK numbers, as it takes institutional, program trading to get TICK above +800 or below -800. When we see a narrow range to TICK, as we have so far this morning, it suggests a relative absence of institutional participation. That, in turn, suggests that it may be difficult to sustain breakout/trending moves, and the daily range may be restrained.



Paulo said...

Hi Mr.Steenbarger
I noticed the image you posted it show the TICK value before the market open.How can I get it?

Brett Steenbarger, Ph.D. said...

Hi Paulo,

Sorry, there is no pre-open TICK. You are probably seeing values from the prior trading session--


JF Trader said...

Yes, so far it's shaping up to be an inside day. Let's see if the bulls try for another push to form a new high near the close.

Buck said...

Dr. Brett,
Can you provide some insight on the volume levels. I thought volume would pick up substantially after the holidays, but the ES and TF have been well below their 50 day averages. The NQ was also low until the last couple of days. When would you expect volume to return to 'normal' levels?

Andrew said...

I rely heavily upon the TICK for intraday trading, but I also use it as a historical reference to help place my trades in a context. I print out charts of my trades on multiple timeframes and include charts of the TICK and TRIN on the same page. This can be helpful, for example, days or weeks later when trying to pinpoint why a particular trade failed when one with a nearly identical pattern succeeded; context is key.

I watch the TICK on 2' charts, which takes a good amount of space to display. A complete day of data spans nearly my entire monitor. So lately I've been experimenting with alternative ways of visualizing TICK data in a more compact, radial format rather than the traditional linear format. I call these "TICK bursts". Images and more information about these visualizations can be found here:

JF Trader said...

Nailed that one! A good day!