Intraday market depth evolution

How do you think you could implement this strategy in real time? I actually think I could do this with Sierra Charts with the automated worksheet they provide, but I am not totally sure of course, it would be some work.

Of course that is theoretic money on the highest scale when we are talking about orders filling getting in and out in seconds, but I like your thought progress.

I have not been able to find very relevant technical information from anything but volume charts and 1 hour candles with all my research, but when you are talking seconds this makes sense.

Have you tracked a single equity for longer than 1 year in length?

What have you been exactly tracking?
 
How do you think you could implement this strategy in real time?
If you have the data in real time, it is definitively possible, but i am not a trader, so I am note interested in real time data.

Have you tracked a single equity for longer than 1 year in length?
>>No, I cannot on 1 year because I have not the data, but I am trying to do that for 1 month. But for 1 day, you have kind of 19000 seconds, so do you imagine the quantity of data you have for 1 month!!

What have you been exactly tracking?
Some equity stocks on the Nasdaq and the NYSE, (june 09 for the Nasdaq, 08-2007 for the second just at the begining of the crisis).
 
nice..

although I am guessing for relevant information you must get quite a length of time under your belt to start to make assumptions, but this is a start

does this information come to you in the format you need it in, or are you have to adjust information and manually enter a lot of it yourself?

how much do you pay for this information and what provider does this come from?

If you are not a trader, you will be if you find what you are looking for in this information - forget the paper haha

What kind of class is this for?
 
although I am guessing for relevant information you must get quite a length of time under your belt to start to make assumptions, but this is a start

>>Thank you for your interest and support. It is indeed to early for me to say anything but if you are interested, we can keep in touch.


Does this information come to you in the format you need it in, or are you have to adjust information and manually enter a lot of it yourself?

For the Nasdaq, I had the files in .txt.
For the NYSE, I had to do my own programm to read it (in C++).


how much do you pay for this information and what provider does this come from?
>>It comes directly from the Nasdaq and the NYSE systems. I dont know how I have to pay because I dont pay them. But I think it is very expensive, and not available for individuals.


If you are not a trader, you will be if you find what you are looking for in this information - forget the paper haha
>>Yes lol, but for the moment, I am
only interested in traders, not trading.

What kind of class is this for?
>>It's a kind of thesis, a paperwork.
I am in a "Master class" in finance.
 
Nice..

So you are obviously good at programming somewhat if you are able to make your own program to convert this information

Does the NYSE send this information to your school for you to look over or something? I believe this is the "tape" that HFT get to derive their methods.
 
So you are obviously good at programming somewhat if you are able to make your own program to convert this information

just few lines:
void main(){
std::ifstream infile("20070808");
std::ofstream outfile("ETG.txt");
string value;

double i=0;
while(value!="0ETG"){

infile>>value;
}

while(value!="0ETG"){
infile>>value;
}
cout<<"!";
for(long j=0;j<17829;j++){
for (i=0;i<6;i++){
outfile<<value<<"\t";
infile>>value;
}outfile<<"\n";
}
outfile<<"\n";
}
 
Quote from Pierreg:

So you are obviously good at programming somewhat if you are able to make your own program to convert this information

just few lines:
void main(){
std::ifstream infile("20070808");
std::ofstream outfile("ETG.txt");
string value;

double i=0;
while(value!="0ETG"){

infile>>value;
}

while(value!="0ETG"){
infile>>value;
}
cout<<"!";
for(long j=0;j<17829;j++){
for (i=0;i<6;i++){
outfile<<value<<"\t";
infile>>value;
}outfile<<"\n";
}
outfile<<"\n";
}
More...

thats cool - for what i do I really have never got that in depth as my software is pretty user friendly IMO -

but what I am thinking is for this information to be relevant you need to collect

1) High Volume equities (like maybe top 25-50 if possible)

2) Get this information for a solid year at least

I say this just because there are so many "HFT" shops opening up and everything is always changing (as your paper says)

But really you need this to identify the heavy hitters if you can actually get down to that resolution in your findings at some point.

There is a shit ton to think about of course when analyzing all of this, times like this I wish I would have paid more attention in statistics
 
1) High Volume equities (like maybe top 25-50 if possible)

Yes, But what for the rest of the equities?
I dont think that just 25 equities drive the market
 
The highest volume equities will most likely (IMO) have the most liquidity = most HFT (IMO)

In reality I do not see all this information, but I am guessing I am correct

With this information do you see like

ISLD - 100 @ xx.xx

ARCA - 2000 @ xx.xx

Or do you just see shares and prices?
 
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