Forex pairs spread & volume statistics

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michal.kreslik
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Postby michal.kreslik » Thu Feb 19, 2009 10:21 am

zam4ever wrote:
michal.kreslik wrote:Hi, Zam,

you're free to redistribute any information you wish provided you include a link to the original source.

Yes, I've got many new statistics, but as I'm using it for my own active interbank trading, I'm no longer making it public.

Have a great day!
Michal


Thank you for permission.

By the way, if it is okay with you, will you share with me (us), how do you collect all the data, and represent it in nice graphical view.

If I know the way how to do it, probably I'll be able to replicate the same system for couple of months with my spare computer, and share the results with community too.

Thank you.


You're welcome.

I'm collecting the data from a couple of different sources. However, I'm basing the testing on the data that I'm collecting from the interbank stream as this is the one that I'm executing the trades on.

I've written my own data collecting code that hooks up to various APIs.

Michal

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zam4ever
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Postby zam4ever » Thu Feb 19, 2009 10:44 am

michal.kreslik wrote:
You're welcome.

I'm collecting the data from a couple of different sources. However, I'm basing the testing on the data that I'm collecting from the interbank stream as this is the one that I'm executing the trades on.

I've written my own data collecting code that hooks up to various APIs.

Michal


That's awesome.

I would like to learn how do you achieve it too. Is there any public guides/resources/how-to that you would like to suggest, so I'm able to study, develop and test similar system?

Kindly, please advice.

p/s: I'm not a computer programmer. :(

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michal.kreslik
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Postby michal.kreslik » Thu Feb 19, 2009 10:55 am

I'm storing the data in SQL and processing it from there. It takes a lot of work to get to the point where you have the clean data ready for testing.

The individual solution depends on what APIs you have access to and what are your needs. Also, you would need to hire a programmer if you're not one.

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zam4ever
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Postby zam4ever » Thu Feb 19, 2009 11:01 am

michal.kreslik wrote:I'm storing the data in SQL and processing it from there. It takes a lot of work to get to the point where you have the clean data ready for testing.

The individual solution depends on what APIs you have access to and what are your needs. Also, you would need to hire a programmer if you're not one.


Thank you for explanation and guide.

I will hovering your forum and see more tips and guides. There are many interesting topics in here, and I found some of the threads are very unique. :)

cheers

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Horizon
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Postby Horizon » Sun Oct 18, 2009 4:28 pm

Thanks Michal for sharing this with us. As a newbie to trading I find the stats really interesting.

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Horizon
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Postby Horizon » Thu Oct 22, 2009 9:00 pm

Michal,
I found this really interesting.
Out of interest, what software do you use to do all this statistical analysis.
Can't be excel...lol
Horizon

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Postby Fingobob » Mon May 17, 2010 9:48 am

michal, u trd the ECN or interbank market? these are actually different tiers of the forex.

the MBT/EFX API- is it in C++

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Postby Martin » Fri Sep 24, 2010 1:26 pm

Hi Michal.

I have one wish, but i will understand if you will not be able to share it.

I would like to see graph for EUR/USD with number of pips (high-low) of every day (average of few years) and same graph for hours of day and graph for day of week.

It would really help me to plan when to trade and when to rest. It would also help to see dates /like NFP, Futures expiration and other events/ when market makes significant moves and be able to prepare for it.

Thank you for what you shared already.

Martin

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newschool
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Postby newschool » Tue Oct 30, 2012 6:10 am

I just wanted to give a big thank you to Michal for this post, because partially thanks to his brillant analysis, I found my profitable strategy.
It's too bad I couldn't meet you in Europe since u seemed quite busy and couldnt answer my emails :( .
Maybe next grand prix !

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PebbleTrader
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Postby PebbleTrader » Tue Oct 30, 2012 7:50 am

The spread and volume are not that interesting to me cause I'm not a short term scalper but here is how I would do hourly ranges, much better way to chart as you can see SO MUCH MORE of what is going on!

You see outliers, extremes, median, what happens 50% of the time either way and the frequency of occurance all on one chart...

Image
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