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Attachments: Tick Size, Tick Rate, Tick Spread, and Tick Logger indicators
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Tick Size, Tick Rate, Tick Spread, and Tick Logger indicators

  • #21
  • May 29, 2012 4:13am May 29, 2012 4:13am
Quoting rooicol
Hi all,

Here are four indicators i made up to display more information about the flow of incoming ticks.

Attachment

The red histogram values are the values for each tick, and the green lines are the moving averages of the last 100 ticks. The moving average period can be set in the indicator's inputs. The indicators can also be toggled to run on all ticks, or only on ticks where the bid price changes. This compresses the data a little so you get a greater time period in one screen.

The tick spread histogram shows the spread of...
Rooicol,
Very kind of you to generously share your indicators. Thank you.
jb
  • #22
  • May 29, 2012 4:21am May 29, 2012 4:21am
Its really useful comparing brokers.
Good clean stuff rooicol

BTW
Whats have been your analysis/results of the comparison of brokers you used?
100 Fold Challenge->Interested? ->https://www.forexfactory.com/thread/32152
  • #23
  • Jun 13, 2012 10:54am Jun 13, 2012 10:54am
Quoting zznbrm

The attached indicator simply counts the live volume per bar. It "should" match the MT4 volume for each bar. But it seldom does. (...)

I did a little testing of this on a M1 chart for two brokers: IBFX and MBTrading. On IBFX, the missing ticks were usually < 20%. On MBTrading, it was noticably more.
My result was ~0.3% in 8.5 hours, about 100 ticks (different broker than the 2 mentioned above). Considering it was more than 500 minutes, this comes to 1 tick missed every 5 minutes. I can live with that

Thanks Rooicol, great work!
Even if you fall on your face, you're still moving forward.
  • #24
  • Jun 13, 2012 2:49pm Jun 13, 2012 2:49pm
If you are interested in which was the max and min spread over time you could check this 2 links:

spread-and-bid-ask-monitor - free - but in only shows the spread for last few hundreds of ticks

spread-logger this one is not free - but gives details over time

I used the free one to check the spread on my broker during news
  • #25
  • Jul 21, 2012 6:56pm Jul 21, 2012 6:56pm
Quoting rooicol
Hi all,

Here are four indicators i made up to display more information about the flow of incoming ticks.

Attachment

The red histogram values are the values for each tick, and the green lines are the moving averages of the last 100 ticks. The moving average period can be set in the indicator's inputs. The indicators can also be toggled to run on all ticks, or only on ticks where the bid price changes. This compresses the data a little so you get a greater time period in one screen.

The tick spread histogram shows the spread...
Could we have a slippage indicator to show stat about slippage events during live trading. How many times, frequency, which side more, against or with, ...

If these questions answered by this indicator.. This would be awesome tool to compare between brokers
Skype: tlcodelearncircle
  • #26
  • Nov 18, 2012 7:55am Nov 18, 2012 7:55am
We install, but the market is closed apparently does not give me spread values​​, the values ​​will be exported to an Excel spreadsheet for maximum and minimum range of a month or year, thanks for the reply.





Quoting rooicol
Hi all,

Here are four indicators i made up to display more information about the flow of incoming ticks.

Attachment

The red histogram values are the values for each tick, and the green lines are the moving averages of the last 100 ticks. The moving average period can be set in the indicator's inputs. The indicators can also be toggled to run on all ticks, or only on ticks where the bid price changes. This compresses the data a little so you get a greater time period in one screen.

The tick spread histogram shows the spread...
  • #27
  • Dec 2, 2013 4:24am Dec 2, 2013 4:24am
Quoting rooicol
Hi all, Here are four indicators i made up to display more information about the flow of incoming ticks. {image} The red histogram values are the values for each tick, and the green lines are the moving averages of the last 100 ticks. The moving average period can be set in the indicator's inputs. The indicators can also be toggled to run on all ticks, or only on ticks where the bid price changes. This compresses the data a little so you get a greater time period in one screen. The tick spread histogram shows the spread of each tick. The tick size...
Individually, this data is interesting. Can it be applied over over charts to compare Most active ticker? Its too bad mt4 doesn't allow access to ticks from closed charts.
  • #28
  • Jan 14, 2014 6:49am Jan 14, 2014 6:49am
Hi rooicol, thank you for your great indicator it is so useful. But there is a fetaure for thick size indi. that bar can be green when uptick and can be red when downtick
  • #29
  • Jul 27, 2016 12:12pm Jul 27, 2016 12:12pm
Thanks.... may you explain how to trade using thus indy..
  • #30
  • Mar 22, 2017 5:32am Mar 22, 2017 5:32am
try this
Attached File(s)
File Type: mq4 Account_Details_2_2.mq4   13 KB | 766 downloads
what we want:1+1+1+1+1+1+1+1=8 what market delivers:1+2+8+7-4+0-5+8-4-5=8
  • #31
  • Apr 17, 2018 9:01am Apr 17, 2018 9:01am
Hey. Lets resurrect this thread.

I didn't know that MT4 is losing tick data when handling tick related indis.

I'm having to questions:

1) Is any other indis or multiple charts affecting the ratio of processed/unprocessed ticks?
2) By knowing this issue, is it possible to extract tick data from MT4 packets somehow, or to export the data (maybe this 2nd option would face the same error) to indicate tick data on an external program?
  • #32
  • Apr 17, 2018 10:49am Apr 17, 2018 10:49am
Quoting chartoholic
Hey. Lets resurrect this thread. I didn't know that MT4 is losing tick data when handling tick related indis. I'm having to questions: 1) Is any other indis or multiple charts affecting the ratio of processed/unprocessed ticks? 2) By knowing this issue, is it possible to extract tick data from MT4 packets somehow, or to export the data (maybe this 2nd option would face the same error) to indicate tick data on an external program?
MT4, no. The real tick data is stored in the ticks.raw file and I haven't seen anyone crack it yet. I think the best you can do is compare your collected tick volume to the actual tick volume and interpolate the missing ticks. In MT5 you can use the GetTicks function.
  • #33
  • Apr 18, 2018 10:22am Apr 18, 2018 10:22am
And what about other trading platforms? MT5 or ninja? or sthing else? MT5 script iteration also misses ticks?
  • #34
  • Apr 18, 2018 11:31am Apr 18, 2018 11:31am
Quoting chartoholic
And what about other trading platforms? MT5 or ninja? or sthing else? MT5 script iteration also misses ticks?
All retail platforms are going to miss ticks simply because network and hardware latency. If you look at LMAX, for example, they send up to 1000 messages per second so it all depends on how many of those your broker decides to pass along to you. As far as the missing ticks you can check your tick collection against M1 H/L and if a new H or L is registered but didn't show up as a tick then you can insert it into your collection, otherwise you can interpolate fake ticks by comparing your collection volume against the reported volume.
  • #35
  • Apr 30, 2018 8:51am Apr 30, 2018 8:51am
Quoting rooicol
Hi all, Here are four indicators i made up to display more information about the flow of incoming ticks.
Roicol if you still active here may i ask for the sources to do some research?
  • #36
  • Jan 24, 2019 5:21pm Jan 24, 2019 5:21pm
How to calculate tick size ?
  • #37
  • Last Post: Nov 5, 2019 8:55am Nov 5, 2019 8:55am
Quoting zznbrm
{quote} Nicely done! On a somewhat related note that I'm sure you have noticed... It always surprises me how many ticks are missed by EAs and live indicators, especially during heavy activity. The attached indicator simply counts the live volume per bar. It "should" match the MT4 volume for each bar. But it seldom does. Why? Because (as I'm sure you know), EAs/Indicator take time (sometimes just a few milliseconds, somethings more) to process each tick. Any ticks arriving during an iteration of the start() function will be discarded. Even a very...
One usually finds that the brokers who are missing ticks are more actively involved with their own Dealers Desk obviously to their advantage.
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