CosmoGeek, Click on my name and look at my post from 08-25-08. Read the whole thing. Then you'll know why I stopped using OQ and perhaps...
With Ninja you can trade off of the chart but Level II data is not available on the same chart - just bid/ask
Tums, Wow! That post was 9 months old, but thx for the reply. Anyway, I moved on to NinjaTrader. It's okay. Not good for backtesting w/large...
dtrader98, Thank you for the feedback. VHF is like all of the other TA indicators. A very primitive filter, but it can get the job done....
dtrader98, You're welcome. VHF is vertical horizontal filter, I think. You should be able to find it on any of the technical analysis sites....
dtrader98, Actually, I think you're correct for the most part regarding the limitations of using the Hurst exponent. For small N, I've found...
dtrader98, I understand your point now. If you're using tick rate as a proxy for liquidity you may have a misspecification error since DOM...
dtrader98, I skimmed through this paper quickly. Isn't the conclusion apparent to any layman using a DOM screen? Of what practical use was it...
tomasso, I just sent you a PM on your bid/ask data question. -Lou
Tomasso, This might be part of an answer to your question - but from a futures perspective. Depending on the data provider CME data will count...
tomasso, I understand now that you're looking at the number of ticks per unit of time, "tick rate", for liquidity purposes. Transaction rate is...
Tomasso, I think Engle's papers on autoregressive condition duration (ACD) discuss tick rate vs. volume relative to price changes. I recall that...
Tomasso, It wasn't rigorous but I tried doing something like this where there would be a regime switch to a different tick rate depending on the...
Corey, Here's another way to think about what's been discussed here: Consider that you've defined the problem correctly and that your proposed...
Corey, I think what you're talking about is possible. Perhaps in the direction of what goldenarm is talking about. I'm talking my own book here...
Trend is not a slang term. Trendiness can be anti-persistent, random or persistent. Trendiness is found in the presence of a power-law decay of...
Is anyone using NinjaTrader to auto-trade positions held overnight? If so, which broker are you using and how are you handling server resets?...
To me, trend = trendiness + direction. Trend is emphermal and most off the shelf statistical techinques are only useful ex post. Places to...
I'd like to get some opinions on what you might consider to be a rough approximation for attaining ergodicity given the model and testing I'm...
I'm satisfied with NinjaTrader (NT). I'm using it with TTFIX (via Velocity) and IQFeed data for fully-automated futures trading. Customer...
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