I'm going to do another analysis sometime and shown all the margnial prices from 0.1% to 2.5% in 0.1% increments, so it'll show a full range of slopes throught the whole day. Working on someother stuff right now thuogh...
Quote from fulliautomatix:
2.5% makes quite a differance imho about fakes - most fakes, at least from what i noticed as a daytrader, were around 25 cents from the current prints- as they would usually be from daytraders themselves who aren't out to fake out longer term players- just other daytraders.
don't know about large size off the open though - other than fake shorts (which are prevalent off the open) I am not sure.
I've written some custom stuff to hook up with my broker.. it archives every message in realtime with a timestamp accurate to the milisecond and is capable of replaying it just as if it was live.
Wrote some more stuff to do realtime orderbook reconstruction and functions to calculate marginal prices based on volume, amount of cash, maximum price desired, marginal price desired, etc.
Quote from fulliautomatix:
curious- where do you get historical data of the open book?
