TICK and TRIN indicators

Calculate TICK and TRIN (Trading Index, also known as the ARMS Index) to measure market breadth. These indicators classify each time period as advancing or declining based on price movement.

Problem: Measure market breadth by price direction​

You want to calculate TICK and TRIN indicators using traditional definitions:

  • Uptick: Current price > previous price
  • Downtick: Current price < previous price
  • TICK = upticks - downticks
  • TRIN = (upticks / downticks) / (uptick_volume / downtick_volume)

Solution: Use LAG to compare consecutive prices​

Per-symbol TICK and TRIN​

Calculate separate indicators for each currency pair:

TICK and TRIN per symbolDemo this query
WITH candles AS (
  SELECT timestamp, symbol, last(price) AS close, sum(quantity) AS total_volume
  FROM fx_trades
  WHERE timestamp IN yesterday()
    AND symbol IN ('EURUSD', 'GBPUSD', 'USDJPY')
  SAMPLE BY 10m
),
prev_prices AS (
  SELECT timestamp, symbol, close, total_volume,
    LAG(close) OVER (PARTITION BY symbol ORDER BY timestamp) AS prev_close
  FROM candles
),
classified AS (
  SELECT *,
    CASE WHEN close > prev_close THEN 1 ELSE 0 END AS is_uptick,
    CASE WHEN close < prev_close THEN 1 ELSE 0 END AS is_downtick,
    CASE WHEN close > prev_close THEN total_volume ELSE 0 END AS uptick_vol,
    CASE WHEN close < prev_close THEN total_volume ELSE 0 END AS downtick_vol
  FROM prev_prices
  WHERE prev_close IS NOT NULL
),
aggregated AS (
  SELECT symbol,
    SUM(is_uptick) AS upticks,
    SUM(is_downtick) AS downticks,
    SUM(is_uptick) - SUM(is_downtick) AS tick,
    SUM(uptick_vol) AS uptick_vol,
    SUM(downtick_vol) AS downtick_vol
  FROM classified
)
SELECT symbol,
  upticks,
  downticks,
  tick,
  upticks::double / downticks AS advance_decline_ratio,
  uptick_vol::double / downtick_vol AS upside_downside_ratio,
  (upticks::double / downticks) / (uptick_vol::double / downtick_vol) AS trin
FROM aggregated;

Market-wide TICK and TRIN​

Aggregate across all symbols for a single market breadth reading:

Market-wide TICK and TRINDemo this query
WITH candles AS (
  SELECT timestamp, symbol, last(price) AS close, sum(quantity) AS total_volume
  FROM fx_trades
  WHERE timestamp IN yesterday()
    AND symbol IN ('EURUSD', 'GBPUSD', 'USDJPY')
  SAMPLE BY 10m
),
prev_prices AS (
  SELECT timestamp, symbol, close, total_volume,
    LAG(close) OVER (PARTITION BY symbol ORDER BY timestamp) AS prev_close
  FROM candles
),
classified AS (
  SELECT *,
    CASE WHEN close > prev_close THEN 1 ELSE 0 END AS is_uptick,
    CASE WHEN close < prev_close THEN 1 ELSE 0 END AS is_downtick,
    CASE WHEN close > prev_close THEN total_volume ELSE 0 END AS uptick_vol,
    CASE WHEN close < prev_close THEN total_volume ELSE 0 END AS downtick_vol
  FROM prev_prices
  WHERE prev_close IS NOT NULL
),
aggregated AS (
  SELECT
    SUM(is_uptick) AS upticks,
    SUM(is_downtick) AS downticks,
    SUM(is_uptick) - SUM(is_downtick) AS tick,
    SUM(uptick_vol) AS uptick_vol,
    SUM(downtick_vol) AS downtick_vol
  FROM classified
)
SELECT
  upticks,
  downticks,
  tick,
  upticks::double / downticks AS advance_decline_ratio,
  uptick_vol::double / downtick_vol AS upside_downside_ratio,
  (upticks::double / downticks) / (uptick_vol::double / downtick_vol) AS trin
FROM aggregated;

Interpreting the indicators​

TICK:

  • Positive: More upticks than downticks (bullish)
  • Negative: More downticks than upticks (bearish)
  • Near zero: Balanced market

TRIN (ARMS Index):

  • < 1.0: Volume favoring advances (bullish)
  • > 1.0: Volume favoring declines (bearish)
  • = 1.0: Neutral
TRIN limitations

TRIN can produce counterintuitive results. For example, if advances outnumber declines 2:1 and advancing volume also leads 2:1, TRIN equals 1.0 (neutral) despite bullish conditions. The query includes separate advance_decline_ratio and upside_downside_ratio columns to help identify such cases.

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