commanderco, Don Jones at Cisco Futures, who has done more reserach than anybody on the planet in terms of MP, suggests that over time term value as defined by price and value as defined by volume converge. Now that I have a tool that can produce longer term composite profiles (price and volume) I am discovering he's probably right. Having said that, I continue to use volume profiles over the longer term (several months typically) because it works and I have no reason to change. Good luck in your quest. bolter
vigal, I think it is widely acknowleged that IB data is not real tick data. It might be ok for approximations of T&S (at best) but certainly not a serious tick applications such as MD/MP in I/RT. Ultimately in this life you get what you pay for I'm afraid. bolter
The new thread I promised will have to wait a few more days I'm afraid. Too much on my plate right at the moment. bolter
Yes, convergence of price & vol would be my unresearched guess, since in the end everything must revert to price. After all that is the tradeable. Not vol, not TA not fundamentals ...solely price. So, if price and vol MPs diverge then they must correct and it appears from the last 10 days that sooner is more popular than later. ( 10 days does not make a sample) My guess is that the positions on the wrong side will hit their limits and close out or roll. On the other hand they might get lucky and act as a price magnet, but one way or another we will see some action.
Hi, everyone. I'd like to backtest some of my MD ideas. Does anyone know of a vendor that has free tick-by-tick futures data available for download? GLOBEX posts T&S, but it only contains last prices and no bid ask (they do have occasianal bid/ask indicators). Thanks a lot in advance.