Tick Data Imbalance Bar Construction Calculator

Construct tick imbalance bars (TIBs) from raw tick data. Each bar closes when cumulative buy-sell imbalance (tick rule signed) exceeds a threshold. TIBs have better statistical properties than time bars.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
Advertisement

How It Works

Construct tick imbalance bars (TIBs) from raw tick data. Each bar closes when cumulative buy-sell imbalance (tick rule signed) exceeds a threshold. TIBs have better statistical properties than time bars

Each component has a specific meaning:

  • Raw tick data — The raw tick data recorded for the scenario being assessed.

Note: Interpret the tick imbalance bar result against the thresholds and context described above.

How to Use

Enter the raw tick data for the scenario you are assessing. Construct tick imbalance bars (TIBs) from raw tick data. Each bar closes when cumulative buy-sell imbalance (tick rule signed) exceeds a threshold. TIBs have better statistical properties than time bars. Use the tick imbalance bar result to inform your calculation.

Related Calculators

VWAP Execution Deviation

Finance Ultra-depth

Market Impact Square Root

Finance Ultra-depth

Stat Arb Threshold

Finance Ultra-depth

Frequently Asked Questions