Ok gonna post three 34-tick charts from three sources all taken at the same time this morning. It highlights just how bad tick transaction volume filtering is in the industry
First is my broker on cTrader. It has the worst filtering of the three.
On finally tick data from Lmax via ProTrader 3 platform. Here tick volume can be 3 to 5 time greater. Its pretty to watch, noise to most but then so is the music I like lol.
OK now I have heard about this filtering problem and I know you still like to trade tick charts. Is that because you think the value in even a heavily filtered tick data stream still outweighs that of a time-based price chart?
Many proponents of tick charts like it because it helps them react (or perhaps not overreact) to changes in volatility more profitably. Isn’t that benefit severely harmed by filtering?
Also, is there a difference between aggregation and filtering in the methods used by dealers to stream tick data, or is that really all the same? If it is all the same does that mean filtering shouldn’t matter and the differences between tick streams from dealer to dealer are just a result of the different flows of orders they each process in a decentralized market or group of markets?
Got to trade what you see, to your strengths bro. Give me time to think about a trade and I’ll do excately that, think! Time has proven that thinking isn’t my greatest asset. This filtering doesn’t effect me too much. Just have to be aware of it and then adjust my ticks accordingly. I do prefer Lmax feed over my brokers.
But the bigger picture has to apply to those who trade VSA. How can you base decisions based on tick transaction volume when you know how its filtered. I don’t know many traders but a know a couple use other charting software and you get what you pay for. Quality data can be obtained. Just a cost of doing business.
Maybe it’s because brokers have different LPs? I really don’t understand how you can compare when different LPs are different markets per se. For example with Tickmill I find ECN’s are generally better with tick data volume, but it only means that their LP’s are stronger and they probably have additional source of liquidity. It’s not a broker fault, so test test test them…
