Tick Statistics

2022년 9월 26일

Tick Statistics:

I have seen many questions/queries related to tick data in TV telegram channels. This script will help pine scripts to understand how ticks work, how to capture and process tick data.

This is an educational indicator script for pine scripters.

The indicator shall work only on real time candles. Tick data capture is initiated as soon as indicator is loaded on the chart. You might not get correct statistics on 1st candle in case indicator is loaded when real time candle is in progress, in such case you can monitor the statistics generated for subsequent candles.
Generated statistics is shown on the chart by placing 2 diamond shapes above and below the candle.

Diamond shape below the candle will have candles ‘tick data’ listed in a table. This can be view by placing mouse pointer on the diamond shape. Refer to point 1 below for more details.

Diamond shape above the candle will have statistics as mentioned in point no 2 onwards. To view the statistics place the mouse point on the diamond shape. The shape will appear in green color when both tick price and tick volume are both moving in the same direction. The diamond shape in red color means tick price and tick volume are moving in opposite direction.
The script captures tick by tick data and generate statistics below:
1. List of tick data with details below: (this is stored in the diamond shape placed below the candle)
a. Tick no
b. Tick type – Up tick (Up), Down tick (Dn), No change (--)
c. Tick price
d. Volume
e. Price difference (as compared to previous tick price)
f. Volume difference (as compared to previous tick volume)

2. Tick statistics
a. Total ticks
b. Number of up ticks
c. Number of down ticks
d. Number of No change ticks

3. Volume Statistics
a. Total volume
b. Up tick volume
c. Down tick volume
d. Volume associated with ticks where there is no change
e. Candle volume (just for reconciliation purpose)

4. Max-min statistics
a. Max volume = <<volume>> at price = <<price>> at tick no = <<tick no>>
b. Min volume = <<volume>> at price = <<price>> at tick no = <<tick no>>
c. Max price = <<price>> at volume = <<volume>> at tick no = <<tick no>>
d. Min price = <<price>> at volume = <<volume>> at tick no = <<tick no>>

5. Candle summary
a. Price << Up >> (if price is up as compared to 1st tick <<Down>> otherwise
b. Volume <<Up>> (if up tick volume is more than down tick volume <<Down>> otherwise

2022년 9월 27일

릴리즈 노트

Added Biggest tick and Smallest tick under Tick statistics