Yes, exactly, what's kind of interesting to me (not implying that it's very significant) is the regularity of the aforementioned pulses. 10AM...
Ah, right. Makes sense. There are tiny peaks on each hour, too. By the way, the dark line is what volume would be if each minute had an even...
I made the following chart by taking the average % of volume in each minute for the S&P500 from Jan -> 10/3 2008. One thing that surprised me was...
The betas are Covariance(Stock, SPY) / Var(SPY) which use closing prices (% returns) from 3/3 to 10/3 (a block of data I had, not in this sheet)....
To be more clear - The number in the green cell is the amount to sell (go short) for a hedge. If it is a negative number, then you'd go long...
The attached sheet is submitted for feedback purposes and carries no warranty :D I calculated a cross-hedge beta with the SPY using closing...
Yeah.. But that's like saying the characteristic of a successful golfer is getting the ball near the hole. So, I think it makes sense to look...
Don't worry, we have made some adjustments... [img]
When the student is ready, the teacher will appear. -Buddha Sounds like a crap answer but I think there's truth in it. These days we rain...
I didn't try Multicharts - probably depends on if I could automate the ascii dumps of the entire SP500. I was using the Excel interface to IB...
Also - Sorry to Pi Trading and anyone who wasted time with my sheet. I'm glad to know the data is in good shape and I'm impressed by the...
This is good to know. :D There seems to be a gap in JDSU 1/7/2008 into February and some other spots. I guess any meaningful analysis would...
Here is some data on the quality of the 1-min data from pitrading.com. Overall I am pleased because I think it will be sufficient for system...
If you are curious about market microstructure and how your orders will effect prices, check into articles like this:...
You're talking about psychology like it turns you into a sensitive sissy but I think it's the opposite. If I read you closely, methinks thy doth...
It is "bene vixit, bene qui latuit" Ovid, Tristia, III, iv, 25 Translates roughly as "One who lives well, lives well hidden." Was also in...
There is an ancient saying that to live happy, live in secret. Keeping secrets has many psychological benefits and it came to mind when I read...
The way I look at it is there is no secret solution to many things where some do better than others. It doesn't have to be a secret if it's hard.
Great thread. I think it's an opportunity for honest self-assessment inasmuch as that is possible. I think I need to work on the tightwad...
This looks very promising - thanks! I've spent a lot of hours trying to scrub data from a few providers. Does anyone have any feedback on the...
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