S&P 500 TICK16 Index Data Generation

To create your own TICK16 breadth data you can simply enable the predefined NeoBreadth definition, or, use the following setup if you are interested in generating historical data in sub-minute (e.g. 1-second resolution) level.

Here is the definition of TICK16 in NeoBreadth.


First thing you will notice is that the real-time formula is simply the TICK16 field. If you are not NeoTicker user you would be quite surprised as there is no need of a special indicator for the calculation.

For data collection frequency, I recommend 1 second if your computer is up to the task and lower it to 2 or 3 seconds if your computer shows sign of CPU overload. i.e. 100% CPU usage spike in the Windows Task Manager.

Now, the historical data formula.


Unlike other regular NeoBreadth definitions, TICK16 requires data processing in tick data level. Thus, you need to enable the Tick Replay option in order to generate the correct historical breadth data values.

The historical data formula is just one of the built-in Tick Precise indicator that is designed for generating various kind of up down tick analysis.

When you try to generate historical TICK16 breadth data, there are several factors you need to consider.

First, it is best you download historical tick data on a regular basis. Most data vendors no longer carry long term tick data in their online servers. Having the data downloaded on your computer in Disk Cache will allow you to regenerate any kind of breadth data that depends on Tick Replay, or sub-minute level resolution.

Second, to be able to generate historical TICK16 breadth data, it is faster to download the tick data first, then going offline and start the historical data generation. Doing it while NeoTicker is connected to your real-time data source is more convenient but much slower. This factor is particularly important if you are trying to repair your customized breadth data that requires Tick Replay, which is more time consuming.

Here is a screenshot of the History Generator.


This setup is based on the fact that I have downloaded the tick data of the components already, thus allowing me to disable the Real-Time Friendly option. If you are doing the history generation while you are connected to a data feed, the Real-Time Friendly option would be enabled by default and you cannot turn it off.

Doing breadth history generation is similar to all other operations within NeoTicker. You need to do it several times yourself to understand how it works. Give it a try.

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