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Search: Posts Made By: module0000

Forum: Off-Topic

September 19th, 2017, 04:04 PM

Replies: 9

Order Flow is Rubbish?

Views: 5,221

Posted By module0000

I have a method I've been experimenting with, but...

I have a method I've been experimenting with, but it's unproven over time. That said... I'm looking at the intra-day open interest on the reconstructed orders. You should not see any increase on OI...

Forum: Off-Topic

September 19th, 2017, 02:56 PM

Replies: 9

Order Flow is Rubbish?

Views: 5,221

Posted By module0000

There is a slightly more accurate way to look at...

There is a slightly more accurate way to look at that - not just watching jigsaw's reconstructed tape. In your code example you are examining delta tick-by-tick(I like that your variable names are...

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