Tick Bars

David_Belvedere

Hi all,

I just wanted to share some code I've created. CQ comes with minute bars which are great, but some strategies require tick bars (i.e. bars created after a certain amount of ticks, instead of a certain amount of time).

It essentially logs a tick at every 'on_trade', then when the number of ticks ('self.tick_bar_size') have been reached, a tick bar is created based on all the log ticks. 'on_tick_bar' is then called.

I've posted the code, as well as a bit of a sample on how to work with it. Let me know what you think - feedback, comments, etc. welcome!

# called at the beginning of each instance  
def on_start(self, md, order, service, account):
    ##### ON_TICK VARIABLES
    self.tick_count = 0
    self.tick_bar_open = None
    self.tick_bar_close = None
    self.tick_bar_high = None
    self.tick_bar_low = None
    self.tick_bar_size = 4500
    self.tick_bars = []
    self.close = []

# called when time and sales message is received
def on_trade(self, event, md, order, service, account):
    self.tick_count = self.tick_count+1

    if self.tick_count == 1:
        self.tick_bar_open = md.L1.last
        self.tick_bar_high = md.L1.last
        self.tick_bar_low = md.L1.last


    if md.L1.last > self.tick_bar_high or self.tick_bar_high is None:
        self.tick_bar_high = md.L1.last
    if md.L1.last < self.low_in_trade or self.tick_bar_low is None:
        self.tick_bar_low = md.L1.last

    if self.tick_count == self.tick_bar_size:
        self.tick_bar_close = md.L1.last
        self.tick_bars.append([self.tick_bar_close,self.tick_bar_open,self.tick_bar_high,self.tick_bar_low])
        self.tick_count = 0
        self.tick_bar_open = None
        self.tick_bar_close = None
        self.tick_bar_high = None
        self.tick_bar_low = None
        self.on_tick_bar(event, md, order, service, account)

# called whenever a new tick bar is formed
def on_tick_bar(self, event, md, order, service, account):

        #print "In on_tick_bar"
        self.close = [self.tick_bars[x][0] for x in range(len(self.tick_bars))]
        self.close = np.asarray(self.close)

shayne

have you considered using on_minute_bar()?

https://app.cloudquant.com/application/#/glossary/83

David_Belvedere

`Hey Shane!

I had, but as I said, I was looking for`an option to have a bar created after a certain amount of ticks, instead of a certain amount of time, so this is what the tick bars are for.

shayne

We don't have that feature at this time. Will add to the backlog

sm633284

Do you have NYSE TICK data?

ptunney

We only have US Equities not indices or other tracker symbols such as NYSE Up Volume ($UVOL) and NYSE Down Volume ($DVOL) which I think you are referring to.

$TICK (the result from up and down has a chart here...
https://www.barchart.com/stocks/quotes/$TICK/interactive-chart

I have personally never seen the value.