Server to log ticks

[CalTrader]

Quote from joethemoustache:



Cal: Thanks for taking the time to enlighten me, as you'd guess I'm more accustomed to spreadsheets than 'proper' database handling. Yes, I really want to be able to run queries and display the results. But with daily log-files of transactions, can it be easily combined into a database or do difficulties with integration tend to be great? Anyhow I will have a talk with a programmer I know, and see what he recommends.

Since you already got the database set up , this is what I am thinking to do with it, once I get it organized:

- Scan for changes in order flow, e.g. Large versus small lots. Research shows that there are discernable changes occuring for example before takeovers; larger amounts of medium sized orders than at other times (the rationale beeing to move large quantities unnoticed).

- Plot ratios retail/institutional byuing/selling. Like a commitments of traders index but on tick data, to see if the gap in trading behaviour between small speculators and commercials is wide or narrow.

- Look for (historical) price-levels where high-volume players are more active, in order to anticipate spots of large liquidity.

Any info of this kind you are extracting from your database? Finding it useful or a waste of time?


joe

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Thanks Cash for good link. Seems a good programme.

The things you want to do can be accomplished in a couple of ways, depending upon your data feed. FYI there are commercial providers that provide this functionality to some degree for a price. If you need something other than what they provide then things quickly get much, much more expensive.

I look at the type of data you mention above but for my order sizes I dont yet look at this type of data in near real-time - although I am working on a system that will allow this....... For now my system looks at this data a couple of times per day and yes I do look at changes in order flow.