Intervals a.k.a Time Frames in TickZOOM

TickZOOM has built-in interval or time frame freedom. This means that in your models you can simultaneously access many different intervals of bars. And your models can also take action at any interval of time you wish.

Always Active Intervals

In fact, there are certain intervals which are always active for models in TickZOOM, this is because they are used for gathering and reporting performance statistics or handling certain optimizations.

The list of ever present time frames are:

. 1 Minute Data . 1 Hour Data . 1 Day Data . 1 Session Data . 1 Week Data . 1 Month Data . 1 Year Data

Definition of Intervals

In TickZOOM an interval always incorporates 2 time frames. The meaning of those 2 time frames varies for the type of interval.

Time Based Intervals

Time intervals include hour, minute, daily, etc. as opposed to other types of intervals like tick, range, or volume. These intervals have 2 time frames associated with each.

The first or primary time frame is how often the interval ends. So a 1 hour time frame, for example, will complete every hour, on the hour.

The secondary time frame indicates the duration of time covered by the interval. By default all the time based intervals have the same duration as their primary time frame. For example, a 1 hour interval will include tick data for the preceding hour of time.

However, it is possible for you to use time frames that differ. For example, you could define a 1 hour interval which has a secondary time frame of 90 minutes. In this case, the interval will include data for the previous 90 minutes when it completes--that means each interval period overlaps the previous period.

The secondary time frame is most useful for rolling intervals.

Rolling Intervals

For time based intervals, if you set a secondary time frame, that indicates the interval is a rolling interval. In that case, each time the interval starts a new period, it will include time as far back as the secondary interval.

For example, a 5 minutes interval with a secondary time frame also of 5 minutes will start each period with a full open, high, low, close, start and end time of the preceding 5 minutes. As the 5 minutes progresses, the bar will update by removing older ticks and adding newer ones so that the bar always covers a full 5 minute period.

This can be most interesting and useful for intrabar real time trading. The author of TickZOOM used it especially as a much better way of doing PRV or pro rated volume by using actual volume of a rolling interval.

Reset Time Frames

For other time frames like Range, Volume, Change and Tick bars, the secondary time frame as an entirely different meaning. For these bar types the secondary time is a reset interval. For example, you may have a 20 point range bar but you wish for it to reset every day. So you set the secondary time frame for 1 Day.

This becomes important to get predictable, consistent results when comparing test results since without a reset these types of bars will carry over from the previous day. That means you get very different trading results depending on which day you start the test.

With the reset ability, you can decide how often to reset. The default is 1 Day.