Tick Size Compression

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Tick Size Compression

With Tick Size Compression we can now reduce the tick size increment of an instrument, increasing D&S readability.

 

Tick compression is the product of tick multiplier and tick size increment of an instrument. For example an instrument has a tick size increment of 0.25 and its prices are like 3081.00, 3081.25, 3081.50, 3081.75, 3082.00, and if we select tick multiplier as 4 then its prices would be 3081.00, 3082.00, 3083.00, 3084.00 and so on.

 

Here's a video where you can learn about the Tick Size Compression:

 

Tick Size Compression

 

There are three types of Tick Compression Up, Down and Both. We can also refer these three types as Tick Compression Direction.

When selecting a symbol, the default value of tick multiplier is 1 and the default value for tick compression direction is Both. We can select the tick compression by going Up, Down or Both sides.

 

tic1

 

Recon Tape shows the compressed prices when using Tick Size Compression. When tick compression is selected to Up, It will round off the price upwards.  For example, we select tick multiplier as 4 and tick compression is selected as Up and the price is at 11657.75, then the price will round up to 11658.00. When tick compression is selected to Down, It will round off the price downwards.  For example, we select tick multiplier as 4 and tick compression is selected as Down and the price is at 11657.50, then the price will round up to 11657.00. When tick compression is selected to Both, It will round off the price downwards for Buy side and upwards for Sell side.  For example, we select tick multiplier as 4 and tick compression is selected as Both and the price is at 11657.75, then the price will round up to 11658.00 for sell side and round up to 11675.00 for buy side.  

  

 

tickrecon

 

 

To learn more about Tick Size Compression click here.