PureLogikTrading | Trading Reviews and Vendors


futures.io - futures trading strategies, market news, trading charts and platforms


Trading Reviews and Vendors


Discuss and review vendors of commercial trading products, trading rooms and services, trading indicators or third-party paid add-ons




 

PureLogikTrading

  #12 (permalink)

Elite Member
NY
 
Futures Experience: Advanced
Platform: NinjaTrader, TS, MetaTrader
 
Posts: 5 since Nov 2009
Thanks: 1 given, 16 received

Hi Aslan,

I appreciate your concise response.

In truth I never had an issue with the opening bar ticks fill, so I never thought in that level of detail. I will investigate this, thank you.

You are correct, the consistent reference is only an issue when the time stamp doesn't come from the data provider, but is created based on the computers clock. MBTrading (to name one) with NT uses the computers clock for time stamps, which explains why I have seen this issue.

I have tested the dynamic brick size algorithm for consistency during backtesting and it is consistent. As long as the first day of backtesting has 1 day of historical tick data loaded, the underlying data stream is the same and so is the calculation.

I appreciate the level of scrutiny and detail you have given to my white paper. Thank you again for taking the time to review it.

Reply With Quote
The following 3 users say Thank You to mrlogik for this post:
 
Page generated 2018-11-17 in 0.06 seconds with 11 queries on phoenix