Questions tagged [tick]

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1answer
156 views

When converting Tick to OHLC, which field do I use for Open and Close: bid or ask?

I can't find a definitive answer for this: When generating (compressed) OHLC records from tick data, which field do I use for the Open and Close? Highest Ask for timeframe High makes sense; Lowest ...
2
votes
1answer
82 views

tick size for US securities

I there a source or way from which I can find out the minimum tick size for US securities at any point in time from 1970 until today? I know that securities above \$1 have \$0.01 tick while those ...
1
vote
1answer
140 views

How do exchanges decide the tick sizes?

How do exchanges decide the tick sizes? I wonder which factors are taken into account to make the decision. I know that from time to time tick sizes are changed, e.g. https://web.archive.org/web/...
2
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3answers
109 views

Find the tick increment value of an equity

Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...
4
votes
1answer
2k views

Where can be found the tick size list for stocks traded in NASDAQ and NYSE?

Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
0
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1answer
165 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
0
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1answer
56 views

What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...
2
votes
0answers
102 views

Tick Data Poisson Process

I am trying to generate a custom tick index using two indices (Let's say australian index ASX 200 and Japenese Index NKY). Japan index ticks every 10 seconds...and australia ticks every 30/35 seconds. ...
1
vote
2answers
684 views

round price to tick size

I have an issue about rounding price to tick size. Suppose there is price tick table below. what is tick size for price 1001, 1002 ... 1004? In other words, how to handle the price in between upper ...
7
votes
3answers
2k views

Generate tick data from candlestick

Is there software (or Python / R / ... scripts) to generate (pseudo) tick data from candlestick data. I have candlestick data (CSV format) from monthly timeframe (MN) to minute timeframe (M1) but ...