Tick bars and time bars see different markets
Posted: Sat Oct 31, 2026 8:22 am
A one-minute bar covers 60 seconds whether 15 ticks or 400 ticks arrived. A tick bar closes after a fixed number of ticks, so it compresses quiet stretches and stretches busy ones. Indicators on tick bars react faster when the market is busy and slower when it is dead, which tends to make volatility per bar more uniform. That is the appeal.
The costs are real though. Clock-based logic breaks, because a bar is no longer tied to a time. Session filters, news windows and the rollover cut-off all need extra handling.
The bigger problem is feed dependence. Tick counts depend on how a provider records quotes, so a 200-tick bar on one feed might be 130 ticks on another. Settings tuned on one source will not transfer cleanly, even for the same pair on the same day.
If tick or second-based bars are used, calibrate the bar size by median duration rather than a fixed count, check that median per feed, and make sure the live platform builds bars the exact same way as the test. Many surprising live-versus-test differences come from bar construction alone.
Is anyone running tick or second-based bars live, and how did you handle different tick counts between feeds?
The costs are real though. Clock-based logic breaks, because a bar is no longer tied to a time. Session filters, news windows and the rollover cut-off all need extra handling.
The bigger problem is feed dependence. Tick counts depend on how a provider records quotes, so a 200-tick bar on one feed might be 130 ticks on another. Settings tuned on one source will not transfer cleanly, even for the same pair on the same day.
If tick or second-based bars are used, calibrate the bar size by median duration rather than a fixed count, check that median per feed, and make sure the live platform builds bars the exact same way as the test. Many surprising live-versus-test differences come from bar construction alone.
Is anyone running tick or second-based bars live, and how did you handle different tick counts between feeds?