TICK16 – The Next Generation of TICK Index

TICK16 is the next generation of the classic breadth indicator TICK index. It offers many advantages over the original index and is much more useful for the current hectic trading environment. I am going to cover some basic usages of this powerful tool.

What is TICK Index?

To understand what is TICK16 we must start from something more basic – the NYSE Tick Index.

The NYSE Tick Index sum up the TICK of each individually traded symbols in NYSE into one number. This number is called the TICK index.

The TICK of a symbol can have only 2 values, either +1 or -1.

When a symbol’s last traded price is higher than the previous trade, its TICK value is set to + 1.

When a symbol’s last traded price is lower than the preivous trade, its TICK value is set to – 1.

When the last traded price is equal to the previously traded price, the TICK value will assume its own previous value.

TICK index can go as high as +2000 to +3000 or as low as -2000 to -3000. But most of the time it stays within +1000 to -1000 range.

Daytraders like to watch the TICK index closely because it is a great short term breadth indicator telling the strength of the market at the moment.

The problem is, TICK index is transmitted only every 15 to 30 secs, depending on the data feed you are using, thus it is not really timely enough when we need to make trading decisions within a few seconds.

The other issue is that TICK index is based on the broad NYSE market, not the selected issues within the index or index future we are trading (like emini SP, emini NQ, SPY, QQQ, etc.), thus the information provided may not be relevant to our trading at all from time to time.

Due to these reasons, we seeked for a better TICK index and the series of indices based on TICK16 are the results.

(Lawrence – the original article on Tick16 was posted in the Tickquest forum back in 2003, I have revised the information here to make the information more useful for NeoTicker 4)

What are TICK16 Based Indices?

TICK16 of a symbol is the sum of the last 16 values of the TICK value of that symbol.

It is available as a quote field in the quote window of NeoTicker.

When we sum up the TICK16 values of the S&P 500 index component stocks, we get SP_TICK16 index. It is our own custom real-time breadth index.

It updates frequent enough that you can see exactly whats going on as oppose to wait for the next update on the TICK index. It also contains only the relevant symbols related to our S&P500 index thus will not be affected by other unncessary information.

Similarly, if you sum up the TICK16 values of the Nasdaq 100 components, you get the ND_TICK16 index. You can also use your own customized baskets to construct other TICK16 indices.

Constructing Tick16 Indices Using NeoBreadth

We have already predefined various Tick16 indices for the common market indices within NeoTicker. All you have to do is to activate the data collection. To activated the S&P 500 Tick16 index (SP_TICK16),

1. Open the NeoBreadth Manager within NeoTicker.

2. Select TICK16 from the list of predefined Breadth Definitions. Details of the TICK16 breadth definition will show up in the Breadth Definition Editor on the right hand side.

NeoBreadth Manager

3. Enable SP_TICK16 by checking the On field of the SP_TICK16 symbol.

4. Press the Save button and choose to enable the Tick16 breadth definition when you are prompted.

One very important thing to remember is that if your datafeed subscription cannot handle 500 or more symbols, you should not enable SP_TICK16 because that will make you exceed your data feed subscription symbol limit. Instead, you can enable the other TICK16 indices like DJ_TICK16, OX_TICK16 or ND_TICK16.

Once the SP_TICK16 symbol is enabled, it will sum up the TICK16 field value of the component symbols into one single number every second.

In NeoTicker, the NeoTicker defined breadth symbols like SP_TICK16 behaves exactly like any other symbols you receive from your data vendor. You can put them in chart, quotes, even time and sales windows.

SP_Tick16 vs Tick Index

Here is a 5-second chart of emini S&P, SP_TICK16, and TICK Index.

TICK16 vs Tick

At this resolution, we can clearly see the difference in the update frequency of SP_TICK16 and TICK.

The frequent update of SP_TICK16 gives you a leading edge in anticipating the next swing in the market., while TICK index does not have enough updates in real-time which can delay your real-time decisions.

TICK16 Basics

Next, we will discuss the general behaviour of TICK16.

Here is a screenshot of Emini SP, SP_TICK16, and TICK Index.

1 minute ES SPTICK16 Tick

First, notice the formation of both SP_TICK16 and TICK indices are similar but not the same.

On big picture scale like the one I have here, the main differences are the value levels.

For TICK, it ranged from + 1200 to – 800.

For SP_TICK16, it ranged from + 4000 to – 3000.

The SP_TICK16 index is centered around zero all the time, while the TICK index from time to time sit above 200 and not coming back down (in the morning).

Why TICK Index hold up at a higher level?

Thats because the less active symbols did not traded over that period of time holded onto their old values from multiple minutes to several hours ago. These stale symbols are affecting the TICK index calculation.

Thus the classic rule to watch the zero line action on the TICK index works even better with SP_TICK16.

For extreme levels, the SP_TICK16 likes 1000, 2000, 3000, and 4000 and that works consistently every day, while TICK index from time to time stuck at very high or very low range due to the stale symbol issue we mentioned.

SP_TICK16 work similarly like the TICK index in terms of divergence signals, so divergence setups that take about an hour to form are usually the major turning points of the day.

An interesting comparison of SP_TICK16 and TICK index is the 3:00 pm setup. SP_TICK16 did not even make a new high comparing to the swing high from 15 minutes ago, while the TICK index ran to the extreme.

If you cannot construct SP_TICK16 due to symbol limit, don’t worry. You can enable OX_TICK16 which has similar behaviour like SP_TICK16 in terms of divergence setups. The disadvantage is that the extreme readings are less profound.


Tick16 indices are very interesting customized breadth indices. They are great tools for confirming and identifying possible short term turning points. I will post some example usages when I get the chance.

Discuss this article.

8 Comments on “TICK16 – The Next Generation of TICK Index”

  1. Brett Steenbarger Says:

    Excellent overview of the TICK16. The point about stale quotes and the NYSE TICK ($TICK) is excellent. Note in the article’s first example that the $TICK moved higher late in the trading session, but the TICK16 barely budged. This is almost certainly a result of buy programs in the small cap stocks going off near the close. Such programs will distort the $TICK if one is using it to gauge upticking and downticking action in the S&P 500 market.

    What is key–and what I might write an article about–is viewing the TICK as a very short-term index of market psychology. If stocks are upticking, it means they are trading at their offer prices, which means that buyers are being aggressive. If stocks are downticking, it means that stocks are trading at their bid prices and sellers are aggressive. The TICK16–and the customized TICK measures that are possible in NeoTicker–provide real time snapshots of whether traders are hitting bids or lifting offers. When we see the distribution of TICK values change over time, we are seeing a shift in short-term market psychology that normally precedes a change in short-term price trend.

    IMHO, the ability to create TICK measures for individual issues and for user-defined baskets of stocks (representing sectors) provides a meaningful edge for those who know how to use this information. Thanks for the interesting article — Brett

  2. Lawrence Chan Says:

    You are welcome.

  3. Laszlo Says:

    Has anyone ever tried to use the data field “NetBidAskTradedVol”in NeoBreadth to create a composite of how much
    volume traded at the bid/offer for a basket of stocks? Is this too CPU intensive? I wish I had the time to
    “play” with all the interesting tools offered in NT!

  4. Lawrence Chan Says:

    The CPU load is minimal, similar to TICK16.

  5. David Rosenthal Says:

    I’m focusing on the Russell 2000 E-mini these days. Any ideas about how to construct a useful Tick16 for that index? My symbol limit on ESignal is 500, so I obviously can’t get them all. I’ve thought of tracking the 300 or so R2K stocks with the highest trading volume, will have to try that out to see if it’s useful. Maintaining that list is a project in itself, though.
    The NYSE Tick actually gives some good divergence signals for the Russell, perhaps better than it does for the S&P. And it updates every 6 seconds on ESignal, which is usually fast enough for the way I trade. Still, I wonder if I could do better with something customized to the Russell. I’d love to hear any ideas or suggestions about this.

  6. qwfx Says:

    Does anyone has code for trade station?

  7. Kenneth Says:

    This is NeoTicker proprietary technology no other technical analysis platform can reporduce.

  8. $tick interpretation – Big Mike’s Day Trading Forum Says:

    […] I found out this very interesting article: TICK16 is the next generation of the classic breadth indicator TICK index. It offers many advantages over the original index and is much more useful for the current hectic trading environment. I am going to cover some basic usages of this powerful tool. TICK16 – The Next Generation of TICK Index | NeoTicker Blog […]

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