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Once I was looking at VPIN also. Already some time ago. So I do not remember probably.
However, this Ernest Chan, or what is name is, he also wrote somewhere, that from his experience and others he talked to it is not clear that VPIN has real advantage when accounting for trading cost. He means, VPIN has some predictive advantage in the very short-term but one could not take the advantage of that very short periode as spread and other trading cost are to big compared to that.
Thats why I ask, why things make more complicated than neccessary?
In one of the most read threads here on the forum, a guy only trading Crude even was only looking for exceptional volume and such stuff on the 1minute chart.
But if you tell me that it really gave you significant better results, and you base your decision on thoroughly analysis and not only on some assumptions, I would research it again.
Thanks.
Can you help answer these questions from other members on NexusFi?
The issue is not really whether I can react faster than 200ms or not. Can I see something and translate that to an action in under 50ms? No, no one can. I'm not trying to catch the low tick -- markets run, and I'm happy to join a market that's already run. When I watch the ladder, I become in tune with the flow and momentum of the market. Seeing how the orders are executed is very important to me personally. Sierra has a setting for refresh rate. Setting it to 50ms (a max refresh of 20 updates per second) is quite different from 10ms (100 updates per second). So the issue is not order entry, but rather having a more accurate view of the actual order flow.
yes..spy constituents...aapl is a big part...so i look at etfs....spy....qqq n aapl for sure
sells take 2-3 weeks from selling.....buys r immediate...last ....they had sold mrkt 7/11....futures fell 8/1???...get the correlation n u may be ahead
