Question on the need for tick data analysis

Discussion in 'Programming' started by binkerbear, Apr 30, 2012.

  1. Question: Do futures traders already have or, better yet, happen to need a service that analyzes tick data ? For instance, are there people who would love to know (for example) how gold (or anything else) has traded historically in any certain time frame (for example: past year, 3:00 AM to10:00 AM) broken down among days of the week and showing average percentage moves and win / loss percentages ?

    Example: CL made an average gain of .15 % on (? day of week) from 1:20 - 1:30 EDT PM this past year totaling 4.06 % with 66 % winners.

    I'm still looking at the one CL contract to find any extreme percentages in either gain or win/loss.

    Again, any need for this type of data crunching or do the 'big guys' (probably on this forum) already do this ... or are these type statistics random and insignificant ?

    (I became interested in this reading that gold was being manipulated during the London trading hours.)
  2. 2rosy


    yes, time of day analysis is done
  3. thomas79


    hi binkerbear, i too am interested in Au and Ag tick data analysis. i have been looking for free data sets to do this, any leads?
  4. Occam


    Of course, tick data are analyzed ad nauseum by hedge funds and the like. The data are widely available (at a price).

    Computers have probably arbed out all the easy stuff, so I can't imagine your odds are very good, given where you're at now. But everyone needs to start somewhere.

    I hope you're familiar with the idea of "overfitting" -- you can find a "pattern" by luck that turns out to be just historical luck (and possibly very bad luck for you if you try to trade it).

    Whatever you do, keep in mind that it's going to be a lot more difficult to find something mechanical than it was 5 years ago.