Impulse - page 37

[Renat Akhtyamov]

Karputov Vladimir:
The indicator collects all the ticks. It is only in an EA that a bunch of ticks can come in at one time.

So the price has jumped that much. If that is the impulse you were looking for, then it is found. That is, in one tick. But still the time between ticks should be taken into account.

[Vladimir Karputov]

new-rena:
So that's how the price jumped so hard. If that's the kind of momentum you were looking for, it's found. That is, in one tick. But still, the time between the ticks must be taken into account.

Maybe you mean "... the average time between several ticks..."?

[Renat Akhtyamov]

Karputov Vladimir:
Perhaps you meant to say "... the average time between several ticks..."?

Yes, that's exactly right. That could give rise to synthetic tics. Ah, maybe they won't. Haven't tried it, but I get your idea now.

[Vasiliy Sokolov]

Reading the thread and laughing to myself. You guys are funny, you don't understand the main point, namely the cause and effect relationship between tick speed and price range. Big, directional moves almost always occur at times of volatility or high tick rates. If 60 ticks occur in a minute (1 tick per second), price with 68.8% probability will fall within +/- 7.7 points of its initial price, if 300 ticks occur in a minute, this potential movement will be within 17 points. That is, as the tick rate increases, visible trends occur, which you notice on the chart. Just for the sake of interest, look at the total amount of ticks at the moments of a strong movement and a so-called flat - in the first case there will be more ticks, in the second one - less. Thus, you are putting the cart before the horse and playing Captain Hindsight: the speed of the tick flow determines the volatility, but not the direction of price movement, it seems to you that there is a trend, because the speed of the tick flow has increased.

[Vladimir Karputov]

Vasiliy Sokolov:
Reading the thread and laughing to myself. You guys are funny, you don't understand the main point, namely the cause and effect relationship between tick speed and price range. Big, directional moves almost always occur at times of volatility or high tick rates. If 60 ticks occur in a minute (1 tick per second), price with 68.8% probability will fall within +/- 7.7 points of its initial price, if 300 ticks occur in a minute, this potential movement will be within 17 points. That is, as the tick rate increases, visible trends occur, which you notice on the chart. Just for the sake of interest, look at the total amount of ticks at the moments of a strong movement and a so-called flat - in the first case there will be more ticks, in the second one - less. So you put the cart before the horse and play Captain Hindsight: the speed of tick-flow determines volatility, but not the direction of the price movement; it seems to you that the trend is going on, because the speed of tick-flow has increased.

This is an interesting idea. I'll call this new parameter "tick flow density" and look at the relationship to the range of price movement (mine is "accretion").

[Vasiliy Sokolov]

Naturally, with a high tick density there will be more frequent spikes with a high tick rate (what you have in the red histogram). In other words, you are measuring that price is moving by what price is moving, which leads to a vicious circle and does not answer the main question: where will price go.

[Vladimir Karputov]

Previous Charts

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Impulse

Karputov Vladimir, 2015.08.06 20:12

There was such a nice picture today on the symbol "GBPUSD":

and here's what it looked like in the tick chart:

And here's how the tick arrival rate changed (tick chart between 06.08.2015 13:54:01 to 06.08.2015 14:04:59):

And one new one with tick density and volatility:

[Vladimir Karputov]

Vasiliy Sokolov:
Naturally, at high tick densities, there will be more frequent spikes with a high tick rate (what you have in your red histogram). In other words, you are measuring that price is moving by what price is moving, which leads to a vicious circle and does not answer the main question: where will price go.

Perhaps we should look at the number of buy and sell contracts. I will try to work with the symbol properties:

Symbol properties
SessionDeals	Gets number of deals of the current session
SessionBuyOrders	Gets the total number of buy orders at the moment
SessionSellOrders	Gets the current total number of Sell orders
SessionTurnover	Gets the total amount of turnover at the current session
SessionInterest	Gets total volume of open positions
SessionBuyOrdersVolume	Gets the total volume of buy orders at the moment
SessionSellOrdersVolume	Gets the current volume of Sell orders
SessionOpen	Gets the opening price of the current session
SessionClose	Gets the closing price of the current session
SessionAW	Gets current session weighted average price
SessionPriceSettlement	Gets the settlement price of the current session
SessionPriceLimitMin	Gets the minimal price of the current session
SessionPriceLimitMax	Gets the maximum price of the current session

[Renat Akhtyamov]

It's a pity you didn't put a point on it. It's difficult to write code, but you can do it. And the result is ahi so interesting.

[Vladimir Karputov]

new-rena:
It's a pity you didn't put a point on it. It's difficult to write code, but you can do it. And the result is ahi so interesting.

I am now looking at the density of the quote flow. How the flux density changes before or during an impulse.