davla

yes thanls I am very much awatre of Berkley's DBN ... do you have it? u can email me at dmz163 thats my prefix at yah hoo

Interested in your database project, please keep up the great work. How far have you gotten? a few years ago.. opentick had such an offering... you might find some views on the net about them... morevoer you might find someone with the original opensource database.. however data from open tick has stopped sometime last year or 1.5 years ago.. They created a new firm called xasax Xasax Corporation and i am sure a phonecall to establish relationships might prove a great way to ocntinue their efforts on the side... maybe you as the premier opensource group to carry on their orignal opentick efforts ( which i guess failed as a comemrcial venue).. however it might be a direction to take .. if there are a group of supporters for code and for sharing expenses of data.. if you aligned with a group of traders i am sure xasax might give you an account.... you might have to go as far as forming an LLc or something since there might be (i guess ) stipulations that you do not re-distribute data.. however if a user is a member of the llc.. I think that would satisfy the re-distribution limitations, Exchanges don't like people re-distributing data!!!! They loose money. A bit on me.. I am not a developer... however i am involved in quant trading in design and integration of intelligent systems for inst'l firms. i am always looking for a group that will promote great open source tools ofor real time and historical databases. Rgds Davla

has anyone considered reviewing tick data relative to the bid/ask and their quantites at the partucular point in time ? I notie there are other threads on tape reading and some new fancy tools tlaked about, such as CQG's products. My own interstis to analyze their relationships in historical and then can easily set up a real time monitor forthese situations, so it is not so much trying to watch the tape, as it does move quite fast any thoughts?

one other thought has anyone considered reviewing tick data relative to the bid/ask and their quantites at the partucular point in time ? I notie there are other threads on tape reading and some new fancy tools tlaked about, such as CQG's products. My own interstis to analyze their relationships in historical and then can easily set up a real time monitor forthese situations, so it is not so much trying to watch the tape, as it does move quite fast any thoughts?

I have set up a sizeable array that can expand to 40Tb, right now we have it running ( hot swapable) with 8 TB. I eventually paln on setitng it up so others cna utilize it via the net, to access what they need if this is possible. My only interests are in properly back testing trading scenarios. Has anyone worked with OpenTick?owuld be right now it is shut down, however there might be some people out there that have constructed decent datbases of tick data. It would be nice to collaborate with some for the design. Is anyone interested? Could anyone possibly offer up a small amount of tick data to with? My effort revolves around creating a platform based on a rules engine where I will create an easy to use rt/historical interface. I know there are many systems out there that are great, I am not looking to compete with them or to go and sell an application. All I am tring to do is to create an internal module that will serve my needs whihc iis high frequency data anlysis. MYSQL may not be the ideal environment , however until we can afford KX this is what we will use. as mentioned in other threads there are some alternatives, but learning curve is steep. thx

could you pls provide me with a .txt file so I could code into my system? thanks

could you please get me a .txt file or something I ew, I would like to use it in my program and I cannot read .eld thanks

Has anyone put together an historical tick database? I am working in MY SQL as was wondering if anyone has any thoughts on constructing such a task? I intend on being able to read various file formats and converting to approriate format and also integrating levels of granularity ex: convert to X minutes I believe that there might be an intersting study to accomplish relative to the compositon of tick data in comparison to longer term studies. I believe that the compositon of longer term bars might place trades/fills in different light and that observations of these fills relative to when the trade occured might yield interesting information

Just some thoughts of my introduction to Mkt Profile (about 12 years ago) and later on reflections of that time after having learned some 'traditional' tenets of market return. The first time I sat on an inst'l trading desk that was trading various strategies in Treasury futures using Market Profile & CQG. So I took off reading all the published literature and particpated in various complex designs for automatic recognition of partcular patterns. Later on after completing that internship, I went on to learn about the differences in distributional properties of Returns vs the normal distribution. So I guess my thoughts to all of you is: If returns are non-normal skewed with both platy & lepto- kurtotic properties & which sometimes exhibit multi-modality: How does one trade using the Mkt Profile under these assumptions? Also has anyone done any distributional calculations on the raw tick data ( or other levles of granularity) in order to differentiate the distributional properties of the data set which they have identified as a partcular trade entry or exit point? I would be interested in heairng how the distributional properties differ from normality in situations when trade oportunites have been identifiied. succesful trades vs times when trades do not work out. Pls dont get me wrong, I think there is great information vlaue in hte Mkt Profile properties, however I wanted to try to think about how everyone views the appropriate methods and to determine relative success of the concept itself rather than anyone's particular trading success. best regards. Davla fat tailed andi just thought I do not mean to start any fires

is it possible to post me a .txt file of this, as I dont use CQG and would really like to review this method. Thanks very much. If there is anything I can do for anyone please let me know rgds Davla

I would like to discuss tape reading and automated identification with anyone who is intersted in collaborating on development of particular algorithms outside of the traditional realm of exsiitng trade analytic environments. The anticpated signals can then be imported into any environemnt you choose. Tape reading and market making techniques do work, however to create an all inclusive method, one is best served to support these requiremnts within a properly designed historical databse & incorporate real time data comparisons. Currently if you or anyone is interested in collaborating on creating such database or at least to provide sufficient tick data and workilable with the design of the backtesting, I am available to participate in such designs with which I can definitely contribute as much time as it takes. I look forward to hearing form anyone / anytime Rgds Davla

hello: thought I would say hello/ Im Interested in collaborating with individuals on automating algos backtesting and tick databases davla