Bursts of ticks before a move: signal or coincidence?
Posted: Sat Oct 31, 2026 7:45 pm
A familiar pattern: the feed goes quiet, then ticks start arriving in clusters, and a second later price runs. It feels like a warning, and sometimes it is.
Liquidity providers adjust quotes when they see incoming flow. A burst of updates can mean a large order is being worked or that a data point has hit. By the time candles reflect it, the first part of the move has passed.
The problem is false alarms. Bursts also occur without any follow-through, particularly at the top of the hour or during algorithmic quote refresh cycles. A strategy that jumps on every burst will pile up small losses.
Combining the burst with a second condition tends to help. For example, a burst while spread is tightening, or a burst that breaks a short-term level.
Without testing, it stays a feeling. With a few weeks of logged tick data, it becomes something that can be measured, including how often bursts lead to moves of at least twice the spread.
Do you have a burst-based rule, and what filters keep it honest?
Liquidity providers adjust quotes when they see incoming flow. A burst of updates can mean a large order is being worked or that a data point has hit. By the time candles reflect it, the first part of the move has passed.
The problem is false alarms. Bursts also occur without any follow-through, particularly at the top of the hour or during algorithmic quote refresh cycles. A strategy that jumps on every burst will pile up small losses.
Combining the burst with a second condition tends to help. For example, a burst while spread is tightening, or a burst that breaks a short-term level.
Without testing, it stays a feeling. With a few weeks of logged tick data, it becomes something that can be measured, including how often bursts lead to moves of at least twice the spread.
Do you have a burst-based rule, and what filters keep it honest?