Search results

Do you use best-price data only, or dig further into the book? In my case I use a hypothetical-marker order of some fixed size, walk the book and calculate the average price paid and then use that as some sort of "realized quote", so if some stale quote is sitting between the best price, and the...

1-minute is much too long for me.. and I monitor quotes and really don't do much with trade info. Quote data is much more informative and high frequency.. and trade data isn't even reported by all exchanges.

Interesting. Do you monitor the interval between updates at the quote source level, or the price-point level? It seems that in a multicast scenario, it is possible that you (or your brokers feed from the exchange) could miss a quote which deletes a price level, then the market moves away, but...

I meant the quotes only start streaming at open.. the imbalance data comes before. I don't have any screenshots as this is only available via my broker's API and all my stuff is algorithm based.. no gui.

TotalView doesn't begin distributing quotes until the actual market open.. at least that's what I see from my broker. It does show the opening/closing imbalance.. not sure how indicitave that is, but could be useful.

Exactly. Are there any existing algorithms or papers published? I'd hate to reinvent the wheel.

So I'm analyzing data.. on one of my days it appears my ARCA feed has a stuck quote for AAPL because the best price never changes after about 8:45 for that day. However, my INET, TOTAL-VIEW and BRUT feeds are updating just fine. Anyone have any approachs to automatically detecting stuck...

I receive full book depth for both TotalView and BRUT. I was under the impression that TotalView included BRUT already as part of it, but emperical testing shows that BRUT has better quotes a vast major of the time. Am I missing something here?

Could have to do with the fact that there is no longer sub-pennies on QQQQ. Has anyone quantified the impact of this yet?

When would you need jacobians? And yes.. freely availably implementation was implied.. Sigma-point particle filters are really interesting as well.

Well, you are right.. it took me about 2-3 weeks to re-write the square-root version of the unscented kalman filter in java.. but the bulk of that was teaching myself how the algorithm works.. the *only* working implementation comes in the form of matlab code from the authors. I read all the...

I've used R and gnuplot.. and octave extensively before switching to matlab for serious analysis.. I'll definately check python out again. I've heard of some python->java bytecode compilers which might integrate well with my existing code. I'll put it on my todo list. And I didn't write any...

Excellent observations, I've experienced just the same thing.. I've definitely had much more headaches debugging my packages than I would have if I had used something else. However, in this case, there really are no high performance math packages available for java.. well, I think there is 1 or...

Which libraries specifically? I've learned a lot writing my own matrix package.. I think it is robust enough to release publically but don't want to go thru the trouble right now.. specifically most matrix libs/languages are fairly ineffecient for instance, a matrix transpose actually...

Well rufus has been doing this for quite a bit longer than I.. don't know if java/OO was all that popular then. :D I've had a look at python and it just feels dirty.. I hate loosly typed languages, makes my brain do weird things. I'm open to the possibility but I just can't bring myself to...

I'm not, this is for very liquid stocks. I'm just a perfectionist and don't want to introduce any bias into my system.

Of course, autocorrelation is all about lags.. but calculus is very useful in the calculation and prediction of volatility, which is very useful for risk analysis, and also helps predict the SIZE of that SIGN change.

The entire point of this thread was opensource.. wealth lab is not open.

Search for this.. 'autocorrelation', it is useful, and there is none to be found at the daily level.

Wow, C, you truly are a madman. :D I'm a reformed unix-addict.. more like a java madman and my 'real job' has made me somewhat of a design freak.. I'm glad for it though.. I've saved so much time pulling off the shelf java components and plugging them togeher and only working on the truly useful...