Situation
You want to know what up and down ticks are in MultiCharts .NET, and are wondering how the instrument its ‘Build Volume On’ option impacts these values.

Price bars in MultiCharts .NET

Price and volume data are visually represented by price bars in MultiCharts .NET, whether visible in a price chart or implicit with the real-time market scanner and portfolio backtester (MultiCharts, 2013).

The volume of each price bar is divided into up and down volume, which return different values depending on the ‘Build Volume On’ instrument setting. Before discussing that option, let’s examine up and down ticks.

What are up ticks and down ticks in MultiCharts .NET?

A tick (an individual trade) can be classified as an up or down tick depending on its relation to the previous tick (see MultiCharts Wiki, October 2012, May 2013):

  • An up tick is a tick with a price higher than the previous tick;
  • A down tick is a tick with a price lower than the previous tick;
  • A tick with the same price as the previous tick is recorded as an up tick if the previous tick was an up tick. Was the previous tick a down tick, then a new tick with the same price will be registered as a down tick;
  • The first tick of the data series is considered to be an up tick.

The allocation into up and down ticks is subsequently used by MultiCharts .NET to determine the tick or volume count for a price bar.

Tick Count versus Trade Volume: the ‘Build Volume On’ setting

Depending on the ‘Build Volume On’ setting, up and down ticks are measured as follows (MultiCharts Wiki, February 2012a, February 2012b):

  • With ‘Build Volume On’ set to Trade Volume, up ticks display the volume occurring on up ticks, while down ticks will return the bar’s volume that happened on down ticks;
  • With ‘Build Volume On’ set to Tick Count, up ticks display the number of up ticks (i.e., the number of trades occurring on an up tick) for a bar, while down ticks return the sum of down tick trades for that bar.

The ‘Build Volume On’ setting can be found in the ‘Format Instrument’ window: right-click the price bars of the instrument, select ‘Format’ and move to ‘Settings’ tab:

Example of the 'Build volume on' setting in MultiCharts .NET

The ‘Build Volume On’ setting changes the values displayed on the chart and those that are returned programmatically. For example, Bars.UpTicks[0] returns the up tick volume with the ‘Trade Volume’ setting, but returns the number of up ticks with the ‘Tick Count’ option. For more on this, see using volume data from the primary data series.

Another thing that influences the up and down tick values is the data from the data feed.

Up and down volume: historical data and real-time data

Historical data is processed and stored in the database in the following manner (MultiCharts Wiki, October 2012, December 2013):

  • When the data feed does not provide up and down volume for a tick-based chart (ticks, contracts, point, range, second, and Point & Figure chart resolutions), historical total volume is divided by 2 and allocated to up and down volume;
  • When the data feed does not provide historical up and down volume for minute- and day-based resolutions (minute, hour, day, week, month, quarter, and year chart resolutions), all historical total volume is assigned to up volume with the down volume value left empty;
  • If the data feed provides up and down data, these volumes are displayed as provided by the data feed.

Ticks that are received in real-time are classified as either up or down ticks in the manner discussed previously, and both up and down volume (or tick count, depending on the ‘Build Volume On’ setting) are available (see MultiCharts Wiki, October 2012).

Key points:

  • Ticks are classified as either up or down ticks depending on their relation to the previous tick;
  • With the ‘Build Volume On’ setting set to ‘Trade Volume’, the up and down ticks volume is plotted. With the ‘Tick Count’ setting, the number of up and down ticks are displayed;
  • The availability of up and down ticks for historical data is dependent on the chart resolution and the data feed.
References

MultiCharts (2013). MultiCharts .NET Programming Guide (version 1.0). Retrieved from http://www.multicharts.com/downloads/MultiCharts.NET-ProgrammingGuide-v1.0.pdf

MultiCharts Wiki (February 2012a). Ticks. Retrieved on May 17, 2014, from http://www.multicharts.com/trading-software/index.php/Ticks

MultiCharts Wiki (February 2012b). Volume. Retrieved on May 20, 2014, from http://www.multicharts.com/trading-software/index.php/Volume

MultiCharts Wiki (October 2012). Up, Down and Total Volume. Retrieved on May 20, 2014, from http://www.multicharts.com/trading-software/index.php/Up,_Down_and_Total_Volume

MultiCharts Wiki (May 2013). Cumulative Delta. Retrieved on May 21, 2014, from http://www.multicharts.com/trading-software/index.php/Cumulative_Delta

MultiCharts Wiki (December 2013). Tick, Minute and Daily Data. Retrieved on May 23, 2014, from http://www.multicharts.com/trading-software/index.php/Tick,_Minute_and_Daily_Data