Average spread stats: EFX vs. Interactive Brokers

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michal.kreslik
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Postby michal.kreslik » Fri Oct 19, 2007 6:45 pm

daniil wrote:Hi Michal!
I suppose you collect the ticks with MS SQL? i've read your topic about that so would you be please so kind as to share the final SQL table format for quotes?
Do you collect Level II data? if so please be aware that demo and real Level II data at least for MBT/EFX does not match.

BRGDS, Dan


Unless I get a permission from EFX, I'm not wild to post their tick data publicly here. I've asked EFX if they're ok with me posting their data here, so we'll see.

However, you can PM me.

Michal

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Postby dbw451 » Fri Oct 19, 2007 7:25 pm

Thanks Michal, interesting information.

Regards,

David
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Postby alichambers » Fri Oct 19, 2007 8:58 pm

Actually Michal - you've hit on an interesting point: PC setup for trading.

- What antivirus/firewall is used (ie. will it slow the trade execution down)?

My routing for orders has been IDEALPRO for Forex with I.Brokers, however this has been with their demo account while I'm practicing my trading. Maybe this takes longer?

AC

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michal.kreslik
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Postby michal.kreslik » Sun Oct 28, 2007 6:28 pm

alichambers wrote:Actually Michal - you've hit on an interesting point: PC setup for trading.

- What antivirus/firewall is used (ie. will it slow the trade execution down)?

My routing for orders has been IDEALPRO for Forex with I.Brokers, however this has been with their demo account while I'm practicing my trading. Maybe this takes longer?

AC


Ideally, there should be no antivirus installed at all on a production machine for trading. Heck, there should be nothing else installed than just the operating system and the trading platform.

Michal

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Postby CyberiaCafe » Wed Nov 07, 2007 12:04 am

Out of interest, Michal, exactly what distribution(s) do the spreads follow?

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michal.kreslik
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Postby michal.kreslik » Thu Nov 08, 2007 12:28 pm

CyberiaCafe wrote:Out of interest, Michal, exactly what distribution(s) do the spreads follow?


Actually, a more interesting question is about the distribution of the relative spread ((ask - bid) / bid) divided by the average relative spread for that FX pair.

Among other things, I'm now working on this statistics. It will be used to eliminate bad ticks. Once it's done I can post it here.

Michal

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Postby CyberiaCafe » Thu Nov 08, 2007 12:55 pm

Still would like to see the absolute spread distributions, even if just for kicks.

(EDIT) Are you forming relative spreads to try to compare different currency pairs to one another after controlling for the differing numerical levels?

(edit again) How do you actually clean bad ticks other than charting and eyeballing them?

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michal.kreslik
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Postby michal.kreslik » Thu Nov 08, 2007 1:05 pm

CyberiaCafe wrote:Still would like to see the absolute spread distributions, even if just for kicks.

(EDIT) Are you forming relative spreads to try to compare different currency pairs to one another after controlling for the differing numerical levels?


I'm using the relative spreads as opposed to the absolute spreads because the relative spread is not dependent on the absolute price at which the pair is trading.

The same pair can change its absolute spread characteristic just based on the change of the absolute price level at which it is trading. The relative spread characteristic does not change in such a case.

Michal

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Postby CyberiaCafe » Thu Nov 08, 2007 1:21 pm

Sorry, brain fart.

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michal.kreslik
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Postby michal.kreslik » Thu Nov 08, 2007 1:30 pm

CyberiaCafe wrote:How do you actually clean bad ticks other than charting and eyeballing them?


It's a rather complicated process that requires taking into account:
  • time difference between consecutive ticks
  • price difference between consecutive ticks
  • spread changes

Charting and eyeballing the "stinkers" is not an option if you have half a billion ticks in the database as I have 8)

Moreover, there always has to be a repeatable, mathematically pure process that can be applied over and over to all ticks. Computers don't make errors, people do when they're :shock: eyeballing :D

Michal

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