The time between ticks as a signal
Posted: Sat Oct 31, 2026 6:39 pm
Most analysis uses prices and ignores the time stamps. The gaps between ticks carry information. A shrinking interval signals rising activity, while lengthening intervals signal fading interest or a pending pause in liquidity.
A simple feature is the median interval over the last 20 ticks compared with the median over the last 200. A ratio well below one means acceleration.
Short intervals combined with a widening spread suggest stress. Short intervals with a stable spread often accompany healthy directional movement. Long intervals with a stable spread point to a lull, where small orders can move price disproportionately.
The measure adapts across sessions automatically, since it is relative to recent history rather than fixed values.
Test by checking whether acceleration predicts the absolute size of the next move, and whether it predicts direction. In many datasets, it predicts size better than direction, which makes it useful for filtering and sizing rather than entries.
As with any tick-level signal, include costs before trusting any result.
Does the tick interval add information beyond price and spread in the testing?
A simple feature is the median interval over the last 20 ticks compared with the median over the last 200. A ratio well below one means acceleration.
Short intervals combined with a widening spread suggest stress. Short intervals with a stable spread often accompany healthy directional movement. Long intervals with a stable spread point to a lull, where small orders can move price disproportionately.
The measure adapts across sessions automatically, since it is relative to recent history rather than fixed values.
Test by checking whether acceleration predicts the absolute size of the next move, and whether it predicts direction. In many datasets, it predicts size better than direction, which makes it useful for filtering and sizing rather than entries.
As with any tick-level signal, include costs before trusting any result.
Does the tick interval add information beyond price and spread in the testing?