Tick direction in TimeandSales

Hilarius
Hilarius Explorer
in TRTH

In the timeandsales data from datascope select, there are tick directions for each line.

Different rules seem to apply to different markets.

For Nasdaq and NYSE, tick direction is provided even when there's no price change.

However, for Tokyo stock exchange, it is given only when the price is changing.

Is my observation correct?

Please provide me with a reference to the exact rule for each market.

P.S. Is the forum TRTH right for datascope select?

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Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Time and Sales data within Datascope is currently captured from Elektron realtime. It was, in the past, captured from IDN.

    Elektron is a vehicle for content, as it's collected from multiple exchanges. Exchanges differ in what and how they publish. Therefore, in data from different exchanges we find differences, and my guess is if the rules for generating up and down ticks are verbalized by NASDAQ and NYSE, that information would reside with those specific exchanges, rather then Elektron or Datascope.

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    Datascope is the common backend, powering both TRTH V2 and Datascope Select products, however, the API interfaces and capabilities are different. Therefore, to get the correct answers on the API access to the product your organization uses, it's advisable to use the forum area assigned to this product and API.

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