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Why is true tick data so important?
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Why is true tick data so important?

  #11 (permalink)
Elite Member
Chicago, Illinois
 
Futures Experience: Advanced
Platform: Ninjatrader, TT, InvestorRT
Broker/Data: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Favorite Futures: Treasury futures
 
Posts: 283 since Nov 2010
Thanks: 175 given, 811 received


h4cked View Post
Hi

Are you saying with this comment then that solid bid/ask data is vital? See quote area

I think it is but then I seem to learn something new every day and I am far from being an expert on systems trading. Your point about questioning how important it is if you are trading for really large moves a la Soros or Richard Dennis is of course correct. Many years ago C&D's (Richard Dennis') broker came into the thinly traded pit where I was a rookie floor trader and in about 10 minutes bought 600 contracts in an instrument that normally traded about 3000 contracts a day. Obviously Dennis wasn't too worried about the bid/ask spread.

I'm intrigued by your self description as a master trader. Care to elaborate on your background/approach? Nothing proprietary, I'm just interested in who hangs around this blog. I've made my entire living by trading my own account since the mid 80's and worked in the grain industry for 6 years before that, but in the brave new world of electronic high frequency trading I find it necessary to reinvent myself.

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  #12 (permalink)
Elite Member
Chicago, Illinois
 
Futures Experience: Advanced
Platform: Ninjatrader, TT, InvestorRT
Broker/Data: Advantage Futures, Ninja/TT and InvestorRT/IQFeed.
Favorite Futures: Treasury futures
 
Posts: 283 since Nov 2010
Thanks: 175 given, 811 received


LukeGeniol View Post
I don't know how u can tell this if u are using IQFeed and Investor rt, IQFeed has the bid ask data and is one of the best for that purpose!!!

Have u read some thread in this forum about data feeds, especially this one https://futures.io/elite-circle/3873-analysis-comparison-different-data-feeds-platforms-bid-ask-studies.html?

Edit: sorry, u can't see that thread cos is in elite section, but anyway u can find a lot of info about IQFeed in this forum.

I'm still pretty new to this blog so there's a lot I have not seen. I've used IQFeed for a couple of years for charting and I use TT for trading. If IQFeed has bid/ask data, then I haven't figured out how to make use of it when backtesting via NinjaTrader. Perhaps the problem is with NinjaTrader, or perhaps the problem is with me. I'll take a look at the link above.

Whoops, not an Elite member.


Last edited by jstnbrg; December 11th, 2010 at 10:14 PM. Reason: I can't go to the link.
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  #13 (permalink)
Elite Member
Italy (IT)
 
Futures Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
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jstnbrg View Post
I'm still pretty new to this blog so there's a lot I have not seen. I've used IQFeed for a couple of years for charting and I use TT for trading. If IQFeed has bid/ask data, then I haven't figured out how to make use of it when backtesting via NinjaTrader. Perhaps the problem is with NinjaTrader, or perhaps the problem is with me. I'll take a look at the link above.

Whoops, not an Elite member.

Ok, sorry, I think I got what u are talking about, you would like the best bid and the best ask price along with last price. Isen't it? So when I said about IQFeed bid ask data I was referring to the volume information about tick data and where the trade took of, if at bid or ask, these are the info u can get from IQFeed. In few world u would the spread data.
I'm not a backtester, so i'm wondering if is not better the feed u are using to trade for this purpose, anyaway NT has the historical best bid/ask data thru Zen-Fire, don't know if is possible and how to use them in a becktesting enviorment.

Take your Pips, go out and Live.
Luke.
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  #14 (permalink)
Just starting out...
Papeete French Polynesia
 
Futures Experience: Advanced
Platform: MQL4,MQL5,TS
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Coming back to the subject..

Hi from Tahiti,

French trader,living in Papeete, new on this site ... first intervention here. thank's to excuse my so bad English and hoping you'll understand ( almost) all I'll say.. if not, perhaps wouldn't be so important..

So , Why using Tick data Frame ? Only because it is the thruth.. the reality.. in UT5 you can have 80tick as 300..
Is the difference could say you something new ?

Yes, it is the speed, the acceleration of the market, its breath..

In proba, the best powerfull information is .. the last one.. time data frame is a view of human spirit.. we decided to cut the market in (x) times.. does the market know that ?

The market not realy, but the little smart EA.., I think so now; and big algorithm hide their interventions inside these UT .. they analyse each end of public time frame.. 5m +30 seconds .. 10 mn + 30 seconds.. etc... and run themself.inside the UT and before the end

So, even you take 2600 tick frames as unit it will be better than 8 H.. but, as you have to know what the others will thought.. you need perhaps the twice.. ?

How used tick Frame ? you could add a vertical line each five minutes : you'll see , at the end of the five mn few or a lot of bars inside these too line, but this is not really "talking visualy", too late, then an indicator like a speedometer giving you the speed , an other the acceleration or deceleration of the transactions witch are ticks..

Hoping will help,

Kinds regards,

Daniel

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  #15 (permalink)
Just starting out...
Papeete French Polynesia
 
Futures Experience: Advanced
Platform: MQL4,MQL5,TS
Favorite Futures: forex, future
 
Scanner's Avatar
 
Posts: 2 since Dec 2010
Thanks: 0 given, 0 received

no answer ?

so, not persuaded..

well how could I told you that...

Imagine a man walking, or running or driving.

each hour you look at him : what happen's ? You'ld just be able to constact where he is each hour.

You thought that he would have to be kilometers 12 because he was running to the north last hours,
but you find him finnaly Km 40 to the south because these last hour he was driving and has changed his way..

Of course if your way to look at him was to watch to each step that he made , then you should be able to follow him everywhere he has passed, even if he ran in zig-zag... even when he change his speed..



Last edited by Scanner; December 16th, 2010 at 04:43 PM.
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