Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.
SNYP40A1
-
Content Count
34 -
Joined
-
Last visited
Everything posted by SNYP40A1
-
It's basically an exponential moving average...that's what would allow for smoothing and downsampling in the same pass. The idea is that as data-points start coming in, they are entered into a distribution such that each datapoint's weight in the distribution decreases with time. Then the average or preferably median of the distribution can be sampled at any time to get the value most closely representing the real-time sample average. One way to get the sample is to re-evaluate all data in the distribution to find whatever info is of interest. But I think there is a more efficient way, that's what I am looking for. Key is smoothing function where the input data does not have a fixed period. Used for plotting tick data on time vs. price chart where each pixel may correspond to seconds or minutes rather than microseconds. How do most software packages handle this issue? I think they just group everything into time periods and then average the time period, as you suggested. That would provide some smoothing...it just seems like it would be more accurate to smooth and down-sample at the same time rather than smoothing on already-downsampled data. I'll think about this some more...the accuracy difference might be insignificant.
-
I am looking for an open-source smoother to down-sample data. I know there are many such as Hull Moving average, but I have data logged at the ms scale at non-fixed time intervals and I want to sample it on the second / minute / hour etc. range at fixed time intervals. Does anyone know of a good smoother to do this? The key is that the input data is not logged at a constant frequency.
-
Introduce Yourself Here - Don't Be Shy!!
SNYP40A1 replied to trading4life's topic in Beginners Forum
I am not the best person on here to give advice since I only traded a couple times in 2009. I am still learning to be a trader, but I want to help you out. I would recommend: 1. Programming classes. I don't know anyone who trades today without a computer and programming will allow you to test your own ideas without having to rely on others or the limitations of the popular software on the market. Probably two or three programming courses should get you up to speed. 2. Probability and Statistics courses, even better, datamining course such as this one: Statistical Learning and Data Mining III 3. AI and Machine Learning 4. More math classes Too late to become a Math or CS major??? -
One Thing I Have Come to Appreciate More Over the Past __ Months Is:
SNYP40A1 replied to Frank's topic in General Trading
I have realized trading is not easy. I have been searching for a consistently-profitable (high reward : risk ratio) trading strategy for the past year now and I have not placed a single trade over that time period. It takes a lot of work, but I do feel that I am making progress. I also realized that most trading books can probably be condensed down to about 5 pages of actual material. There's a lot of fluff. -
Paolfili,
Hey, I saw your thread over at ZenFire about using the C++ API to capture market data:
ZenFire • View topic - Data from market_data_detailed
Were you able to find a way to pull real-time market data using the Zenfire or any other API? I would like to gather some data to analyze as well. I also started playing around with the detailed_market_data.cpp file, but I was not even able to log in with my zenfire / Ninjatrader Demo account. Sucks that it's so hard to get market data.
-
http://www.oracle.com/database/docs/Berkeley-DB-v-Relational.pdf
-
Historical Futures Full Book Data for Retail Traders?
SNYP40A1 replied to SNYP40A1's topic in Automated Trading
Thanks Shrike, that looks good, but not quite available: Best solution for me is probably to start logging the data from a live feed. I can see why this data is so hard to find, the amount of data generated will be huge, probably over 100 MB / day. Fortunately, hard drives have gotten bigger and cheaper. Kinda surprised Google does not have a historical financial data service with tick resolution, they would be the perfect company to organize such a service. -
Is there a data provider which supplies historical full book data (time, sales, volume, bid and offers -- not just the best bid and offer price, but all current bids, offers, and quantity on the market, basically all market activity) for retail traders? My suspicion is no, but OpenTick used to have this data surprisingly cheap.
-
The hardest part is figuring out how to relate information from the background -- the longer term time frame to the present, shorter-term time frame. In other words, you can usually merge together the MP distributions many different ways. More and more, I am agreeing with UB that order flow and buying / selling pressure provide the strongest clues about where the market is going. I currently only use MP for identifying support / resistance levels, but maybe I will gain new insights and applications overtime.
-
I keep reading that the CME has an FTP site someplace where one can download tick data for all of it's globex products. I have been looking, but have been unable to find it. Closest I came was this: http://www.cmegroup.com/CmeWeb/ftp.wrap/ Anyone know where I can get the previous 5 days of ES ticks from CME?