Will share Bayesian Estimation Results - Need 6E Tick Historical Data

January 24th, 2015, 10:19 AM

I am working through a Bayesian model that estimates parameters based on several explanatory variables,

Orderflow
Limit Order Skew
Price
and an Index that I built

Promising results but the only data I have is the data I collect real time directly from the data sources I use (I have three all good granularity millisecond timestamps and very close the to exchanges)

I need more data and I hate paying for data. Does anyone have 6E futures data, several years worth with Tick Granularity.

I am glad to share model results.

Thanks

January 24th, 2015, 11:21 AM

Many years of tick data in elite section.

Sent from my phone

March 9th, 2017, 04:23 PM

edolphin

I am working through a Bayesian model that estimates parameters based on several explanatory variables,

Orderflow
Limit Order Skew
Price
and an Index that I built

Promising results but the only data I have is the data I collect real time directly from the data sources I use (I have three all good granularity millisecond timestamps and very close the to exchanges)

I need more data and I hate paying for data. Does anyone have 6E futures data, several years worth with Tick Granularity.

I am glad to share model results.

Thanks

Hi @edolphin,

Did you make any progress with Bayesian analysis? I am starting to look into Bayesian Neural Networks to get probability of confidence.

April 10th, 2017, 07:50 AM

Any update on this work ?

Will share Bayesian Estimation Results - Need 6E Tick Historical Data

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Will share Bayesian Estimation Results - Need 6E Tick Historical Data