Counting upticks and downticks
Posted: Fri Oct 30, 2026 10:52 am
Counting upticks and downticks
Tick volume does not say who was buying or selling. But the direction of consecutive tick changes gives a rough proxy for pressure.
Count the number of ticks where the price rose versus the number where it fell over a rolling window. A strong imbalance, say 70 percent upticks in the last fifty ticks, suggests buying pressure.
The method has limits. Ticks that rise do so for many reasons, including quote updates unrelated to trades. Different brokers' feeds produce different counts. But within one feed, the ratio is consistent and can be computed in a few lines of code.
Scalpers have used the imbalance as a short-term filter: take long setups only when the uptick ratio exceeds a threshold, short setups when it is below.
Results vary by pair and session. On thin pairs, the signal is noisy. On liquid pairs during active hours, it carries some information.
A quick test on recorded tick data shows whether the ratio had any predictive value for the next minute's direction.
Does the uptick-to-downtick ratio predict anything on the data collected, and over what horizon?
Tick volume does not say who was buying or selling. But the direction of consecutive tick changes gives a rough proxy for pressure.
Count the number of ticks where the price rose versus the number where it fell over a rolling window. A strong imbalance, say 70 percent upticks in the last fifty ticks, suggests buying pressure.
The method has limits. Ticks that rise do so for many reasons, including quote updates unrelated to trades. Different brokers' feeds produce different counts. But within one feed, the ratio is consistent and can be computed in a few lines of code.
Scalpers have used the imbalance as a short-term filter: take long setups only when the uptick ratio exceeds a threshold, short setups when it is below.
Results vary by pair and session. On thin pairs, the signal is noisy. On liquid pairs during active hours, it carries some information.
A quick test on recorded tick data shows whether the ratio had any predictive value for the next minute's direction.
Does the uptick-to-downtick ratio predict anything on the data collected, and over what horizon?