januson

zdo-> I'll try working with those functions, thank you. stanlyd-> hmm, so you're suggesting to keep a record of those 0-slopes? And then make a look-up? Could you explain it a bit more detailed?

Please take a look at my screenshot, is there any built-in EasyLanguage or custom developed function packages that can tell me the slope and/ or if we are standing at point A or point B? Somehow I need to determine if it's a positive or negative slope within the blue area... could we do something with a triangle?

I myself is a big believer of clarity. Actually when I sits here thinking about it, I'm a bit unsure if it still counts as only one tick when the order is splitted between many fillers. I'll look into that and post my research here. I guess some of the more "commercial" data providers has a lack of seriousness for ticks. Commercial data providers could be I've knowledge of some providers who actually aggregates the tick in terms of consolidating their historical data storage, but I don't think the ticks is manipulated with a bad intention for the clients. Take a look at http://www.chi-x.com/ , they cover Europe, I don't know if there exists any like in USA. The exchanges seems be less controlled, well just a feeling. I use eSignal, only as a data provider, for the OMX Nordic. I could try to compare the ticks recieved from eSignal contra the ticks I recieve from my broker. Interesting issues you've brought op

Hi Eric I tick can consists of endless volume so to speak Please take a look a the attached screenshot, here you can see Date, Time, Price and Volume which are the attributes for a tick. A tick only displays the buy/ sell -order, not the fillers A tickchart does have volume bars a for instance a timebased chart has, for instance a 5min timebased chart accumulates all the volume traded within those 5 min, it's the same way a 250tick accumulates, but it accumulates the traded volume within 250 tick instead of 5 min. I think the biggest difference between tick and timebased charts is that timebased moves along the x-axis without any or minor volume/ trades, and a tickbased chart only moves when there is action going on The spike filters could be nice to have, I don't know which data providers that can handle such, but I believe that some tradingplatforms has spike filtering built-in. I'm happy to explain

EJ-> You're wrong, a tick has nothing to do with price change. I think the authors of your references have misunderstood the definition of a tick. A tick is a trade/ transaction, and a price move could be/ is called uptick or downtick.

Thank you both. I've found BabyPips, do you have other good places? Why is the volume gone in spotpair?

Have you made any space estimations? For instance, 50.000ticks in a share pr. day, a tick consists of date, time, price and volume. Date = 8 byte Time = 8byte Price = 4byte Volume = 4byte Date and Time should possible be normalized, which then goes down to 4byte with a pointer to 8 byte. Roughly speaken 1 record of TickData = 4 + 4 + 4+ 4 and the related tables boiles down to 1byte approximately 17 bytes then. 50.000 * 17bytes = 850 kbytes pr. day, if you then wants to record 100 shares for a year it would require 850 * 100 * 240 = 20400 mb I don't know if 1000 shares or 50.000 ticks is the reality? Oh btw... I've been working with a database collecting flightinformation, we collected around 2gb of data each day with no problems, but our hardware did had a costprice of $400.000 - anything is possible I guess! The biggest problem we did experience was to get it out again and also if the Internet suddenly went down. Cheers

Is there any difference between trading currency pairs or trading stocks? I'm thinking in terms of technical analysis and trading indicators? I'm very new to forex so please understand any eventually stupidness

Look at the Optiplex from Dell, they work, they are silent and the have onsite support. Forget about all the hustlers outthere trying to sell you something as simple as a computer. Forget about building one by yourself, it's for nerds who needs something extraordinary gaming machine or someone who wants to have some fun building their own machine. A trader needs a robust, consistent and tested machine! Don't try to hit the small birds with a big gun

SQL comes in many flavors, so just to say that SQL isn't for time series is overshooting the target. SQL can surely handle time data, in fact it handles time data much quicker and better than anything else on the market - but then again... It depends on your needs, if you want fast access agregated data down to 0ms then you need to code it in the businesslogic layer, this has nothing to do with the storage. If you need historical aggregated data you should look for multidimensional datastorage, but still SQL. If you need quick writing? Wonder who does, but lets discuss, then you'll need Oracle, but MSSQL could be a better choice if you can control your writings in the datalayer So... just to say that SQL is a bad choice is a bit ignorant What you've read could be very wrong!

Hello Back to basics Just sitting here wondering what actually makes a stock price move up or down. Offcause news etc., fundamental stuff could affect it somehow, but if we disregard that in this technical thread. I know there's a lot of discretionary traders out there, but what makes them enter a trade? A system? A gut feeling? Also there's alot of algoritmics going on, is that only reserved the pros? What is a price move then? Is it a 0.4% move or 1.2% move or even more? For a discretionary trader it must be more than an algo? Is the algos driven by discretionary traders or is it the other way around? This is a purely academic and hyphotetical discussion!

Wonder if the 5-tick trading could be applied to stocks also. The vendor argues that the system works at indices because of the small accountsize and a stocktrader would need $25.000.

Hello TRO I've been following your threads around on the Internet, last time at Kreslik and now here, welcome I've a very easy question... Can this be done with stocks also? PS: Btw. TRO is a word in Danish, it means faith http://www.ordbogen.com/opslag.php?word=tro&dict=auto

If only!! then I would create another variable: vars: LastOrderType("unknown"); And then write long entry og short entry into that each time a trade is initiated. Remember again to reset variable if the price is lower than, for instance 3% if Close < LastExitPrice -3% and LastOrderType = "Long" then LastOrderType = "unknown"; Otherwise you will presumeable only get one long entry

Exactly, that's my point. So when speaking in percent return of investment, one should also pay attention to account size, sharpe ratio and maximum drawdown, they will all have a negative/ positive impact at the trader psychology! :missy: IMHO: Besides that, any strategy should be tested and proved succesfully before entering any discussion about getting silly $5000 (excuse me threadstarter), which again is way to much to get started with a strategy that's expected to return 15% a month.

hmm, is 15-20% much to keep as a secret? On a good day I can make 25%, believe it or not The 25% is from leveraging a small amount of money and calculate the return percent out from that. As I see it, the real deal comes into play when you think you can make 15% a month out of a billion -which is impossible singlehanded. Forget about the percent, they are relative. Instead, imho, it's much more interesting to talk about a monthly return of n-value! Keep a consistent n-value return each month without too much interference in the market will make you a happy man.

Just create a variable, initialize it for instance with -1 and set it to 100 after long exit! var: LastExitPrice(-1); entry rule... if yada.... and LastExitPrice = -1 or Close < LastExitPrice then if conditions is met for long then.... entry... if conditions is met for short then... entry... exit rule: ... yada... if... then exit position... begin Sell("....") next bar at market; LastExitPrice = Close; End; Remember to reset LastExitPrice at the end of the day/ week or whatever

So it's a sort of the volume/ tick delta indicator? And what's the difference then? And may I then ask why it doesn't work at historic data? The reason for my questions, is that I'm currently working at something similar (maybe)

hehe.. couldn't agree more, however people are watching those moving averages as an overall for n-bars back in time. I thnink I understand now, but 8:30 - 9:30 8:30 - 10:00 <- shouldn't it be 0930-1000 8:30 - 11:00 <- and 1000-1100 I cannot understand why we should accumulate from 0830? Shouldn't each interval be compared with the same interval each day?... Ofcause it can be done your way, could be interesting to analyze. We should also use 13-14, 14-15 and compare with current daytime ?

Just curious... BidAsk, huh.. realtime... As I understand this it only takes the bidsize and asksize, not the actually trades. How can this be interesting? What about hidden orders? And what about bids coming and going just to tease or trick the ask-side, viceversa.

Interesting theory, before I code it I would like to hear something more about the idea. As I understand you assume that the volume between 0830 and 0845 from the previous day should be compared with current day. Should a moving average then be calculated backwards 20 days between 0830 and 0845 and then be applied to current day 0830-0845? Same procedure follows with other times!

Hi I use tickcharts with volume, the volume is exactly the same as with timebased intervals, atleast in MultiCharts. As you probably allready know.. A tick is a trade with some volume, so 15tick would accumulate 15 trades volume. I timebased interval could actually sometimes be splitted into 2 bars, for instance if a trade is initiated milliseconds before the interval has reached it endpoint in time, then the next bar would start with the leftovers from previous trade info.

Hey ZDO Yes it's only papertrading, actually it's a online game, thats running each year here in Denmark - but I've never shown any interest in it, besides from now. I don't know if 730 is the strikeprice, I was hoping you could tell me what I need to know from VWS8, Put, Dec-08, 730 and Cost price 2.4 So you're telling me that a strikeprice is missing. I cannot see that anywhere on the website, strange... I'm feeling a bit stupid right now.

Thank for replying. The cost price is 2.4 , sorry that I didn't remember to post that. Yes I know there a plenty of websites explaining options, but I need to ask and create scenarios to get a basic understanding. When I first have the basic understanding I accellerate like a rocket That's just the way my brain works! I am curious though on how can you know 100% that the price will not go above $500 by December? Yes good question... nothing is 100%, but this one is really a piece of cake, I know the stock -ofcause it's a guess, but a guess based upon statistics. If the put option has December, does that mean that I have the whole month to do something?

Hello This is a totally new concept for me and I'm a bit confused by a Put Option. Scenario Today I can buy a put option, called: VWS8, Put, Dec-08, 730 The stockprice today is 425 - I know for 100% that the stockprice never will exceed 500 before December. Is this a good Put buy? Please explain why/ why not together with calculations so I can grasp it :crap: