Ideas for New Tick Auto Trading and Back Testing Platform

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Re: Ideas for New Tick Auto Trading and Back Testing Platfor

Postby greaterreturn » Sat Jul 12, 2008 9:15 pm

Hi, what exchange or market are you talking about? I'm working only with Forex now.

My experience with markets years ago like futures exchanges is that OI wasn't available from the exchanges on a tick per tick basis. It was only updated on daily.

Have you confirmed that the exchange where you want to trade now offers real time Open Interest in the ticks? Let me know. I'm curious.

None of the system I ever tried had true support for tick data. By that, I mean the ability to process 5 years of tick data and even do optimizations quickly.

I think all those were originally built using "bars" and they treat ticks like bars. That's a bad idea performance-wise. Ticks are an entirely different animal than bars in many ways.

So this one was built from the ground up only using ticks. Bars are generated on the fly in whatever time frames each strategies in the portfolio needs.

This strategy runs on 11Million ticks with 17 different bar time frames with 7 different strategies simultaneously in 20 seconds or less.

It took a lot of pain to get to that level of performance.

It would be simple to add OI and Volume to the ticks but I haven't needed it for Forex, of course.

Is there any way I can help you?


Tresor wrote:
Hi greaterreturn,

There is one feature that I am missing in all platforms that were designed primarily for US market that I looked at. Namely, I would like a platform that would (i) intake Open Interest data in ticks, (ii) plot Open Interest in ticks, (iii) allow to apply studies of OI in ticks.


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Postby Tresor » Sat Jul 12, 2008 10:17 pm


A few European exchanges offer real time OI in ticks, including my local exchange. I trade divergences (different type of divergences). My best trades have been these of divergence price - OI type.

Coming back to OI issue; there are a few thoughts I have on OI. For me a bar of 1,000 contracts when OI is 50,000 should be regarded differently than a bar of 1,000 contracts when OI is 100,000. OI in ticks easily shows you what arbitrage guys are doing (better than volume analysis), etc.

If this sounds interesting, PM me and we could exchange a few e-mails on this issue.


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