Building an ATS - Logbook

tiagor · Dec 16, 2012

@377Ohms: Thank you for your words of encouragement. I can review myself in everything you said.

I'd also like to take the time to thank everyone that has been contributing with their experience and expertise to the thread. I'm definitely learning a lot from you all and Iâm sure it will allow many others to benefit from it too.

2rosy · Dec 16, 2012

Quote from vincegata:

So you have an array of bars, the length of each bar defined by barsecs, then the array size is (86400 seconds) / (barsecs seconds) bars. When new tick arrives you calculate to which bar the tick belongs to and you update that bar with new tick's data.

So you download real time data but you use bars for analysis, right?

I used this with tick data, not a realtime feed. This was for time bars but you could make transactions bars, etc. For realtime stuff i use a library that does almost everything for me

vincegata · Dec 16, 2012

Quote from 2rosy:

I used this with tick data, not a realtime feed. This was for time bars but you could make transactions bars, etc. For realtime stuff i use a library that does almost everything for me

I am bit confused with the terminology here. From investopedia:

tick - "The minimum upward or downward movement in the price of a security. The term "tick" also refers to the change in the price of a security from trade to trade."

quote -
"1. The last price at which a security or commodity traded, meaning the most recent price on which a buyer and seller agreed and at which some amount of the asset was transacted.
2. The bid or ask quotes are the most current prices and quantities at which the shares can be bought or sold. The bid quote shows the price and quantity at which a current buyer is willing to purchase the shares, while the ask shows what a current participant is willing to sell the shares for."

So, "tick" is the last execution price, while "quote" can mean either last execution price or last bid&ask. I've usually seen "quote" as meaning last bid&ask.

But tick is a real time data. I do not understand your "I used this with tick data, not a realtime feed."

2rosy · Dec 17, 2012

Quote from vincegata:

I am bit confused with the terminology here. From investopedia:

tick - "The minimum upward or downward movement in the price of a security. The term "tick" also refers to the change in the price of a security from trade to trade."

quote -
"1. The last price at which a security or commodity traded, meaning the most recent price on which a buyer and seller agreed and at which some amount of the asset was transacted.
2. The bid or ask quotes are the most current prices and quantities at which the shares can be bought or sold. The bid quote shows the price and quantity at which a current buyer is willing to purchase the shares, while the ask shows what a current participant is willing to sell the shares for."

So, "tick" is the last execution price, while "quote" can mean either last execution price or last bid&ask. I've usually seen "quote" as meaning last bid&ask.

But tick is a real time data. I do not understand your "I used this with tick data, not a realtime feed."

I refer to tick data as static ticks in a database of some sort. I refer to realtime data as data streaming off a feed. Programming for static vs realtime is different

Rationalize · Dec 17, 2012

Quote from 2rosy:

I refer to tick data as static ticks in a database of some sort. I refer to realtime data as data streaming off a feed. Programming for static vs realtime is different

But you can always point your realtime code at a stream of static.

I test a lot that way, anyhow.

vincegata · Dec 17, 2012

Quote from 2rosy:

I refer to tick data as static ticks in a database of some sort. I refer to realtime data as data streaming off a feed. Programming for static vs realtime is different

Oh, by tick you mean historical data, I see. As Retionalize said you can feed you algo either from a database or from a real time feed, in this case data should come in the same format, it's either bid/ask quotes or OHLCV bars. That's the way I run it too, it's easy to switch forward test or back test or live mode (I do not do live mode yet.)

vincegata · Dec 17, 2012

Since we get good responses here, hence I have another question

, especially to those who trade in FOREX (that includes OP).

To run your strategies, do you use last bid/ask quote or do you use last execution price?

2rosy · Dec 17, 2012

Quote from Rationalize:

But you can always point your realtime code at a stream of static.

I test a lot that way, anyhow.

I pipe static messages through the prod(realtime) code base as well but only after things look promising. for research, it's easier/faster for me to hack around with ticks in a striped down environment where I only need to deal with one thing.

Rationalize · Dec 17, 2012

Quote from 2rosy:

I pipe static messages through the prod(realtime) code base as well but only after things look promising. for research, it's easier/faster for me to hack around with ticks in a striped down environment where I only need to deal with one thing.

Yeah, agreed. Easier to build a new model against the dataset, then implement the "good bits" in the realtime code later.

Rationalize · Dec 17, 2012

Quote from vincegata:

Since we get good responses here, hence I have another question , especially to those who trade in FOREX (that includes OP).

To run your strategies, do you use last bid/ask quote or do you use last execution price?

Last trade for information. Bid/ask for pricing. +/-.