bid/ask volume data

[Monty Carlo]

I would like to do some backtesting on the bid and ask volumes in the 10 year futures , and it appears that esignal can only look at tick data on price and volume traded rather than a snapshot of the bid/ask volumes at any one time .

Does anyone know of a commercial system that could accomodate this type of data for testing ?

Cheers.

 

[itmediaco]

Are you talking about aggregating volumes over a sliding window by length of ticks or time? Coral8 has a free developer version of their event stream processor. You could feed in your data using CSV files, and output a CSV list of trades to analyze in Excel, etc.

http://www.coral8.com

I have more than passing understanding of that software and would be glad to offer anyone assistance...

On a side note (this is the auto trading forum)... I don't recommend implementing Coral8 in your trading software. I couldn't run more than 50 queries without crashing the server. Use Esper instead (http://esper.codehaus.org). I'm running 500+ continuous queries in Esper with 1-2% cpu load.

 

[journeyman]

the funny thing about EPF files is that they seem to include both quote and trade data, the former appearing with a Q prefix the latter with a T.