The concept should be extendable to trend analysis over the active trading session. For the daily version I modified the variance calculation...
Have you managed to extend it to trend analysis using intra-day interval data? This will be different from a daily trend analysis due to the...
This is quite a good paper. The modifed varience ratio works very well. Makes a change to to get something simple and practically useful from...
In twelve months time there will just be a room full of ex-pit traders sat in front of screens shouting mine! and yours! and getting confused...
NYMEX will lose it's WTI market if it doesn't get it's act together PDQ.
http://www.grainmarketresearch.com/one_quick_delivery_special.cfm Don't know what the quality is like though. www.tickdata.com Much more...
I have used the Modulus chart control but was not very impressed. It needed a lot of additional code just to get it to do basic charting and the...
What sort of data, stock, futures, FX and what sort of granularity e.g bars or tick?
Where did you pull the 0.4% figure from? Is this on your website anywhere?
MBT-Steve, I have a question about the way MB calculate interest on forex positions. For instance, if I have $100K in my margin account and...
I think CME will fail. It has an electronic trading platform but does not have all the facilities in place for physical delivery like NYMEX and...
Is anyone from IB reading this thread? Perhaps you could comment on the availability of these contracts on your platform?
Perhaps, But a lot of people will like a fully electronic light sweet crude contract.
But not the new WTI contract ICE are about to launch.
You are absolutely right that it is a complete nightmare. I have been working on this problem for two years and expect to spend more time on it...
No mention of interest rates on the MB site so I presume this is where you get screwed.
www.tickplusdata.com
Best price only as this is what is currently executable. The method I described is particularly good for forex where you have access to quotes...
I try to use quotes from different sources to create a real-time updating median price. You can weight the quotes so that more recent quotes have...
It's similar concept to time weighted average spread which tries to get a idea of the mean spread without the influence of short-lived quotes.
Separate names with a comma.