Dry tick, what does it mean? - briefly
A dry tick is a silent marker inserted into audio or video to denote a brief pause or transition without any sound. It serves as a timing reference for editors when adjusting the length of silent sections.
Dry tick, what does it mean? - in detail
A dry tick occurs when a market data feed registers a price‑time update without any change in the quoted price or trade size. The timestamp advances, but the bid, ask, and last‑sale values remain identical to the previous entry.
Key characteristics:
- Zero price movement – the numerical price fields are unchanged.
- Timestamp progression – the system records a new millisecond‑level time stamp, indicating that the market has processed an event.
- No volume increment – trade‑size fields stay constant, confirming that no execution took place.
In equity and futures markets, dry ticks serve several analytical purposes:
- Liquidity assessment – a high frequency of dry ticks may signal a thinly traded instrument, where price updates arise mainly from order‑book activity rather than executed trades.
- Algorithmic timing – trading bots that depend on tick‑by‑tick data must distinguish between actionable price changes and inert updates to avoid unnecessary order submissions.
- Historical reconstruction – when building a time‑series of market depth, retaining dry ticks preserves the exact sequence of order‑book modifications, which can affect the calculation of metrics such as order‑flow imbalance.
Interpretation guidelines:
- Treat a dry tick as a neutral event; it does not alter position valuations.
- Combine dry‑tick frequency with volume‑weighted average price (VWAP) and spread data to gauge market pressure.
- In high‑frequency environments, filter out consecutive dry ticks if the analysis focuses solely on price‑changing events, but retain them when studying order‑book dynamics.
Potential pitfalls:
- Assuming that every tick reflects a trade can inflate perceived activity.
- Ignoring dry ticks in latency measurements may underestimate the true reaction time of market participants.
Overall, a dry tick is a timestamped, price‑stable market update that provides insight into order‑book activity, liquidity conditions, and the temporal structure of trading data.