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Many thanks! I'll read up on it tomorrow!

I’m studying how price evolves after a specific event occurring at T1 (when last traded price is P1) to compare it with how price evolves at another time T2 (P2) when the event doesn’t occur. During a given time period (let’s say 1 hour) after T1 (or T2) I record the maximum amount by...

'fair deuce'

Thanks! No, as I wrote above I'm not pretending any expertise in the area at all! Was just curious to see what pearls of wisdom ETers might share relating to optimal database design for handling ticks and prices for trading ... KISS seems to be the maxim.

I have seen trading events sequenced and timed with nanosecond precision. Order matching simulators need to handle this precision correctly to simulate order queues and order matching. The data behind such a simulator needs to reside in a database.

Reading from MSDN (http://msdn.microsoft.com/en-us/library/system.datetime.aspx), in .NET Framework 4 “… Time values are measured in 100-nanosecond units called ticks”. Same for 4.5 and Silverlight … Therefore, unless I’ve misunderstood the foregoing, sub-100 nanosecond timing...

I trade systematically and have tested one intraday edge in simulation for the two alternative cases of a) stopping at a daily target, and b) continuing to trade until the closing bell. The results suggested that if you can pick an appropriate daily target correctly, you can do slightly better...

Automation allows time for research. Not having to watch the charts leaves 16 hrs/day (mixed in of course with time spent with the wife and kids, and eating and exercising, etc... what more could a geek want?) for research, development and stepwise refinement... over N weeks/months/years, that's...

Thanks!

Thanks. I’m in no way pretending to be any sort of expert (as my post doubtless reveals very clearly!). I’m a self taught C# (monodevelop) and SQL Express R2 enthusiast … But, if I had very many events occurring in a single second (zillions, say … like say all the order submits...

Time, including any subsecond portion, all in one column? Reason I ask is I've seen nanosecond subsecond data given its own column. I suppose it helps with quicker reading/access of tick data and analysis of events at subsecond level? And I assume helps avoid accidental rounding??? Schucks...

While I understand that KOSPI 200 Future is liquid, comparing ES and KOSPI 200 Fut I can’t see why trading KOSPI 200 Fut is of special interest (unless it’s just time zone). COMPARE AVAILABLE LEVERAGE Better leverage available with ES. ****** Contract Value ES, 1245 x $50 = approx...

Great list! Thanks! You mention NH Futures is geared up to work with TradeStation. Are you aware of any others offering connection with TS, or NinjaTrader, or Trading Technologies, or AmiBroker, etc?

How do you store price and time data in your database to avoid rounding errors and preserve accuracy: For prices, I use centicents (so $123.4501 becomes 1234501). For time, I currently don’t keep greater accuracy than second, so I just store 11/10/2011 10:01:31 as a string...

No Doji, what causes this IYO?

Why does this happen? Possibly because you weren’t the only trader to spot the opportunity; and as more and more traders started to take advantage of it, the edge eroded. After several months it was gone. Then the traders following it stopped following. After some time, there were again few...

+1

Just reporting back on where I’ve got to: I had a third-party compress the SPY tick data (any continuous sequence of ticks at the same price was converted to a single tick with same total volume as all the combined ticks), so that approx 5GB of data (1 year of SPY tick data) was reduced to...

As of last Sunday (Nov 6), the difference (between US open and European Close) is back to 2 hours for exchanges on Central European Time (i.e. Frankfurt, Paris, Milan, Madrid, etc), and 3 hours for UK on GMT.

Thanks!