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    C#/Python bad tick filter

    I am looking for open source tick filter algorithm examples (to detect and filter out "bad ticks"). Anyone aware of anything available in C# (e.g. tradelink? ... I had a look on the tradelink site, but couldn't locate anything ... but that could be just on account of my own ineptness at...
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    Europe stock futures or index > 300 companies with real time

    eSignal www.esignal.com
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    Historical FX ticks, versus stock/future ticks, and testing

    Thanks for the above, braincell. And thanks, jcl, too. (Sorry, my thanks has come a year late!). What was your reasoning behind randomizing bid/ask selection for open and close? I imagine it was related to the final objective of your analysis or research ... it would help me to understand...
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    Any good math/stats books suggestion for trading?

    Very nice distinction. Thanks! IMO a caveat might be that QF is perhaps also about developing an understanding of drift, volatility, and the distinction between them... ... and about portfolio theory, and numerical methods (a la Monte Carlo, etc), and other areas, too ... ... and a...
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    Declining Trend Trade Length Responsible for Recent Losses?

    See Baltas - Kosowski, too http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1968996
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    Any good math/stats books suggestion for trading?

    http://www.amazon.com/Wilmott-Introduces-Quantitative-Finance-Wiley/dp/0470319585
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    What's a good cheap desk that can hold a quad monitor stand along with the monitors?

    http://www.ikea.com/us/en/catalog/categories/departments/workspaces/18623/
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    Kelly sizing...

    +1 Best post on ET this year! (Or was it of last year??? Or even of the year before the year before that???)
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    Problem with yahoo history data

    Thanks!
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    Problem with yahoo history data

    IMO, the above assumption is the issue. Before the ex-date, the holder of the stock is entitled to receive the dividend; after the ex-date, the holder is not entitled to receive it. Therefore, on the ex-date the share theoretically becomes less valuable. To adjust for this change in...
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    Bars class

    thanks
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    Bars class

    Thanks! I am browsing the Tradelink directories using the online svn tool provided on the Tradelink website... Where can I find the source for these classes?
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    Can someone explain this to me?

    At any point in time, there will be liquidity providers waiting for their bids/offers to be hit, and liquidity takers waiting for the right moment to hit these resting bids/offers. If the market moves in one direction more than the other, the liquidity takers are hitting these resting orders...
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    Bars class

    hftvol, dom993, many thanks! Great suggestions. ET rocks!
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    Bars class

    ... and sorry I realize that perhaps it is not clear that I am referring to the type of a property of Bars (perhaps Bar) that would give access to the bars ... I hope that makes better sense.
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    Bars class

    I need a Bars class (C#), and am trying to determine what type to use. I need something that will construct as time bar, range bar, renko bar, etc ... as the case may be. To get the ball rolling (or perhaps "to get the bar going ..."), what do you think of ... Dictionary <DateTime...
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    Ticks (Last Traded Price) ... float or double?

    And my thanks to you, and to all contributors to this thread, for your input. Helpful stuff all round!
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    Ticks (Last Traded Price) ... float or double?

    many thanks!
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    Which setups are more attractive?

    IMHO, standard deviation is not a sensible way to compare these two strategies. As s.d. is calculated from variance, which is the square of returns, losses get treated equally to wins. B's s.d. is low mainly because 9 out of 10 trades have the same value ... but these 9 trades are all losers...
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    Which setups are more attractive?

    Interesting to see how these various measures stack up. Thanks! Although both strategies (A & B) have the same expectation, B requires more capital to trade (as WideTaliz pointed out earlier ... "larger drawdown"). In my view, that would make B less attractive. This is perhaps easier to...
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