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CosmoGeek, Click on my name and look at my post from 08-25-08. Read the whole thing. Then you'll know why I stopped using OQ and perhaps inhibited some potential new users from switching to OQ. I'm assuming that that might have hurt OQ's business somewhat. Also, for proof of my claims...

With Ninja you can trade off of the chart but Level II data is not available on the same chart - just bid/ask

Tums, Wow! That post was 9 months old, but thx for the reply. Anyway, I moved on to NinjaTrader. It's okay. Not good for backtesting w/large amts of tick data but it's a stable platform. The next step for me is going to a broker's API. All of my code is custom so these platforms are more...

dtrader98, Thank you for the feedback. VHF is like all of the other TA indicators. A very primitive filter, but it can get the job done. If you're using an off-the-shelf stats/econometrics package such as Matlab would you mind sharing your simulation workfiles for the Hurst work? I...

dtrader98, You're welcome. VHF is vertical horizontal filter, I think. You should be able to find it on any of the technical analysis sites. -Lou

dtrader98, Actually, I think you're correct for the most part regarding the limitations of using the Hurst exponent. For small N, I've found that if you smooth a VHF indicator it's monotonic w/Hurst. Except Hurst is easier to interpret, i.e., random vs. non-random. Technically, I'm not...

dtrader98, I understand your point now. If you're using tick rate as a proxy for liquidity you may have a misspecification error since DOM dynamics are more closely related to liquidity. Personally, I look at tick data and rate from an information theoretic perspective. Thanks for your...

dtrader98, I skimmed through this paper quickly. Isn't the conclusion apparent to any layman using a DOM screen? Of what practical use was it to you? Are you designing execution algs? It seems that this paper was more about the appropriateness of the statistical models used to measure...

tomasso, I just sent you a PM on your bid/ask data question. -Lou

Tomasso, This might be part of an answer to your question - but from a futures perspective. Depending on the data provider CME data will count bid/ask quotes as ticks. I spoke to the data group at CME to try to figure out what was going on. Though the answer still wasn't clear to me after...

tomasso, I understand now that you're looking at the number of ticks per unit of time, "tick rate", for liquidity purposes. Transaction rate is the arrival time b/t ticks. ACD is meant as a tool to analyze whether changes in transaction rate contain information. The evidence suggests that...

Tomasso, I think Engle's papers on autoregressive condition duration (ACD) discuss tick rate vs. volume relative to price changes. I recall that he concluded that transaction intensity (tick volume) is much more closely related to the duration b/t price changes than volume is. If you're...

Tomasso, It wasn't rigorous but I tried doing something like this where there would be a regime switch to a different tick rate depending on the information content and irregularity in the data series. I was looking at FX futures at intraday and higher frequencies. Here's what I concluded...

Corey, Here's another way to think about what's been discussed here: Consider that you've defined the problem correctly and that your proposed solution, defining a market condition isn't that far off. Then what's left but the proper analytical tools? It's unlikely that any of the...

Corey, I think what you're talking about is possible. Perhaps in the direction of what goldenarm is talking about. I'm talking my own book here since I'm trying to do the same thing that you are. I've only been at it a few months. guauld's point is a fair one. If your indicators aren't...

Trend is not a slang term. Trendiness can be anti-persistent, random or persistent. Trendiness is found in the presence of a power-law decay of the autocorrelation function of a time series. Anyone pursuing a trend-following strategy that does not differentiate b/t these regimes and does...

Is anyone using NinjaTrader to auto-trade positions held overnight? If so, which broker are you using and how are you handling server resets? I need the following from the broker: 1) Ability to trade and cross-margin both futures and equities, and possibly spot FX. 2) Ability to use...

To me, trend = trendiness + direction. Trend is emphermal and most off the shelf statistical techinques are only useful ex post. Places to start looking to test and measure trendiness are time series methods such as ARMA and Hurst exponent. Even better are certain types of stats that...

I'd like to get some opinions on what you might consider to be a rough approximation for attaining ergodicity given the model and testing I'm about to describe. FWIW, my impression is that traders use the phrase robustness to mean something like ergodicity. Basic info on the model: I...

I'm satisfied with NinjaTrader (NT). I'm using it with TTFIX (via Velocity) and IQFeed data for fully-automated futures trading. Customer service is good. Flexibility to add 3rd-party DLLs is good enough - but no support for this at all. Strategy execution appears to be truly...