Breadth · Intraday
The TICK Index Explained
A live census of which way the last trade went, across every listed issue at once. Its extremes are real and its published thresholds belong to a market with half as many issues and a fraction of today's automation.
What it counts
Every listed issue is, at any instant, in one of two states: its most recent trade was above the trade before it, or below. TICK is the count of the first minus the count of the second, computed continuously.
TICK = issues on an uptick − issues on a downtick
That makes it the live equivalent of an advance/decline count, with one important difference: the advance/decline count compares each issue against its previous close, so it changes slowly and settles once a day. TICK compares each issue against its own previous trade, so it flips constantly and describes the current instant rather than the session.
Why a bare level cannot be quoted safely
The calculation is linear in the number of issues. If the same proportion of a list trades up, a longer list produces a larger number, and nothing about the market has changed.
The marked reading in the figure is −1400 on a list of 2,800 issues. The identical net proportion on a list of 1,700, closer to the scale of the exchange when the familiar thresholds entered circulation, would print −850. Same market, different number, and the ratio is simply the ratio of the two list sizes.
That is the identical argument the McClellan comparability page makes about daily breadth, and it applies with more force here because a second change has run alongside it.
The structural change underneath the measure
TICK counts prints, and what produces prints today is not what produced them when the thresholds were written down.
Trade sizes are much smaller. A given amount of money now arrives as many more executions, so an issue’s last trade flips direction far more often than it once did.
Automated market making is continuous. Two-sided quoting produces alternating upticks and downticks in the ordinary course of business, which pushes the distribution of readings towards the middle in quiet conditions and can widen it sharply when liquidity withdraws.
Order flow is fragmented. Executions occur across many venues, and which of them the count includes is a definitional choice made by whoever publishes the series.
None of these is a criticism of the measure. They are reasons why its distribution has moved, and why the only defensible way to use a level is as a percentile of a distribution you computed yourself, on the venue and the period you care about.
What it can support, and what it cannot
| Reading | What it describes | What it will not carry |
|---|---|---|
| A very negative excursion | Nearly every issue just traded down, a moment of broad pressure, and the clearest thing this measure does. | A duration. The reading is bounded, so it must revert; that says nothing about the price. |
| Repeated excursions one way | Sustained one-sided participation through the session, which is a real description of the day. | Size. A great many small prints produce the same reading as broad institutional activity. |
| Readings near zero | Mixed or automated two-sided trading. Usually the least informative state, and the most common. | Anything. Most of a session sits here, which is worth knowing before building a rule on it. |
| An extreme in the closing period | Concentrated end-of-session activity, frequently mechanical rather than directional. | A comparison with a midday reading. The session has a shape, and the two are not the same measurement. |
The last row is the practical warning that matters most, and it is the same one the intraday page makes about volume: trading is concentrated at the ends of the session, so any intraday measure has to be compared against the same time of day rather than against a flat average. TICK inherits that in full.
Pairing it with a volume-weighted measure
TICK is a census, so it cannot see size. The standard remedy is to watch it beside a measure that can, TRIN being the usual choice, since it divides the issue-count ratio by the up/down volume ratio and is therefore precisely a comparison between the two kinds of breadth.
The configuration worth recognising is a decisive TICK reading with an ordinary volume split: a great many issues moved the same way without much stock changing hands, which is a thinner event than the census suggests. That is the intraday version of the disagreement the up/down volume page is about, and it is the only situation in which watching two breadth numbers instead of one earns its keep.
Frequently asked questions
What does the TICK index measure?
The number of listed issues whose most recent trade was an uptick, minus the number whose most recent trade was a downtick. It is computed continuously through the session, so it is a live census of which way the last print went across the whole list, the only widely published breadth measure that updates intraday rather than at the close.
What is an uptick?
A trade executed at a price above the previous trade in that issue. A downtick is the reverse, and an issue whose last trade matched the previous price keeps whichever classification it had. That definition is doing real work: TICK counts trades rather than sessions, so an issue can flip between the two sides many times in a minute, and the reading is a snapshot rather than an accumulation.
What counts as an extreme reading?
It depends entirely on how many issues are being counted, which is why quoting a bare number is unsafe. The figures that circulate — beyond plus or minus a thousand as significant, beyond fourteen hundred as extreme — came from a particular exchange list at a particular time. The same net proportion of issues on a list half the size produces roughly half the number, and the arithmetic on this page shows the size of that effect.
How is it usually read?
As a short-term exhaustion measure rather than a trend measure: a very negative reading says almost every issue just traded down, which is a description of a moment of pressure, and such moments tend not to persist for long because they cannot; there is a floor at minus the number of issues. Practitioners generally watch it against its own recent range through the session, and treat the extremes as places to look rather than as instructions.
Why does market structure matter so much here?
Because the measure counts prints, and what generates prints has changed completely. Automated market making, order fragmentation across venues and much smaller average trade sizes all affect how often an issue’s last trade flips direction. So the distribution of TICK readings today is not the distribution the published thresholds were drawn from, and the change has nothing to do with sentiment.
Does it work on other exchanges?
The same calculation can be run on any list, and versions exist for the Nasdaq and for composite universes. They are not comparable with one another: each has its own issue count and its own composition, so an extreme on one is a different number from an extreme on another. Anyone quoting a TICK level should say which list it is computed on, and almost nobody does.
What does it not tell you?
Size, and therefore money. TICK is a census of prints, a hundred-share trade in a small issue counts exactly as much as a large block in an index heavyweight, so a decisive reading can be produced by a great many small trades. That makes it the intraday analogue of the advance/decline count rather than of up and down volume, and pairing it with a volume-weighted measure is the standard remedy.
Where should someone start with it?
By computing the distribution of readings on the venue and period they actually care about, then expressing every level as a percentile of that distribution rather than as a number. That is the same instruction every breadth page on this site ends with, and it matters more here than anywhere else because the underlying market structure has changed faster than the published thresholds have.