When is a tick analysis ready? - briefly
A tick analysis is ready when data collection is complete, validation checks have passed, and the statistical model has reached convergence with stable results. At that stage the findings can be released for operational use.
When is a tick analysis ready? - in detail
A tick analysis reaches a state of readiness when the assembled data satisfy a predefined set of quantitative and procedural criteria. The analyst must verify that each element of the workflow has been completed and validated before drawing conclusions.
First, the raw tick stream must be captured without gaps. This requires:
- Continuous feed from the exchange or data provider.
- Timestamp integrity checks to confirm chronological order.
- Filtering of corrupted or duplicate records.
Second, the sample size must be sufficient to support statistical inference. The required number of ticks depends on the volatility of the instrument and the confidence level chosen. Typical practice involves:
- Calculating the standard error of the metric of interest.
- Ensuring the error margin falls below a pre‑established threshold (e.g., 0.5 % of the mean price movement).
- Confirming that the effective sample exceeds the minimum count derived from the power analysis.
Third, the analytical model must be fully calibrated. Calibration steps include:
- Parameter estimation using a training subset of the data.
- Cross‑validation against out‑of‑sample ticks.
- Stability checks to ensure parameters do not drift beyond acceptable bounds when new data are added.
Fourth, quality‑control procedures must be completed. These consist of:
- Residual analysis to detect systematic biases.
- Autocorrelation testing to verify independence assumptions.
- Stress tests that simulate extreme market conditions and confirm that the model’s outputs remain within logical limits.
Finally, documentation and reproducibility must be ensured. The analyst should archive:
- The exact data version with checksum verification.
- All code versions, configuration files, and random seeds.
- A concise report summarizing the validation results and any deviations from expected behavior.
When all the above conditions are met, the tick analysis can be declared ready for publication, integration into trading systems, or further research.