Zero-change ticks: updates where nothing happened
Posted: Sat Oct 31, 2026 9:59 pm
A tick is any update to the quote. Sometimes the bid changes, sometimes the ask, sometimes both. And sometimes neither moves, but the feed sends a new record anyway because the size or the timestamp changed.
These zero-change ticks inflate the tick count. A tick volume bar can look busy when the price hasn't moved. A tick chart that draws a new bar every 100 ticks gets bars with no range.
They also affect indicators. Anything calculated per tick, like a moving average over the last 50 ticks, ends up averaging many identical values and responds sluggishly.
Cleaning the data means removing ticks where both bid and ask equal the previous values. The reduction can be 30 to 60 percent in busy hours.
Different brokers handle it differently. Some send only real changes. Others send everything. A strategy tuned on one feed's tick count may behave differently on another's.
The practical effect on strategy design is that anything counting ticks needs a clear definition of what a tick is. A tick-based stop rule that triggers after 30 ticks in the wrong direction behaves differently when 40 percent of the ticks are duplicates. Counting only ticks that changed the bid or the ask produces a more stable measure across brokers and sessions.
A quick sanity test is to compute the ratio of unchanged ticks to total ticks per hour. If the ratio jumps at certain times, that points to a feed behavior worth understanding before building rules on top of the count.
Is the tick data used here filtered for unchanged quotes, and what did the clean-up do to the results?
These zero-change ticks inflate the tick count. A tick volume bar can look busy when the price hasn't moved. A tick chart that draws a new bar every 100 ticks gets bars with no range.
They also affect indicators. Anything calculated per tick, like a moving average over the last 50 ticks, ends up averaging many identical values and responds sluggishly.
Cleaning the data means removing ticks where both bid and ask equal the previous values. The reduction can be 30 to 60 percent in busy hours.
Different brokers handle it differently. Some send only real changes. Others send everything. A strategy tuned on one feed's tick count may behave differently on another's.
The practical effect on strategy design is that anything counting ticks needs a clear definition of what a tick is. A tick-based stop rule that triggers after 30 ticks in the wrong direction behaves differently when 40 percent of the ticks are duplicates. Counting only ticks that changed the bid or the ask produces a more stable measure across brokers and sessions.
A quick sanity test is to compute the ratio of unchanged ticks to total ticks per hour. If the ratio jumps at certain times, that points to a feed behavior worth understanding before building rules on top of the count.
Is the tick data used here filtered for unchanged quotes, and what did the clean-up do to the results?