Rolling Tick Series for Low-Latency Statistics

Summary

The document describes a low-latency container for storing a fixed number of recent market ticks. It indexes the newest observation at position zero and discards the oldest observations when new ticks push the series beyond its configured capacity.

The container is presented as a way to access tick data in a manner similar to OHLC bar values and to calculate measures such as moving averages, standard deviations, and z-scores through built-in functions. It can also store other measurements. The description explains the data structure and potential uses, but gives no implementation details, benchmark results, or guidance on choosing capacity or adapting calculations to a particular trading strategy.

Key ideas

• The container retains a configured number of the most recent ticks.
• Index zero refers to the newest tick in the series.
• Older observations are removed when the container exceeds its capacity.
• Built-in functions support calculations such as moving averages, standard deviations, and z-scores.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.