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The concept should be extendable to trend analysis over the active trading session. For the daily version I modified the variance calculation (ln(C/C[n]))^2 which is correct for log normally distributed returns. The calculation in the paper is a close approximation.

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 over-night intervals and the intra-day volatility structure.

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 the academics.

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 because nothing happens. :D

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 likely to be accurate.

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 active-x interface is very slow and CPU hungry. Have not used the Steema component but it is probably better a better solution. Still think there...

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 buy $1M GBP, what will be interest rate debits/credits from holding this position overnight? Some worked examples of interest rate calculations...

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 ICE. Without this the big commercial traders will not use it and it will not attract enough volume to be viable. I think ICE is well placed to...

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 in the future. You can cope with jumps by monitoring the statistics of what is being rejected by the filter. If the statistics suddenly change then...

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 from a number of different banks. I am sure you could use depth information for othe markets.

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 more weight in the median. Quotes falling a certain distance from the median are then rejected.

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.