BuyZone +SOBI automated trading. Any C#/CPP coders?
Posted: Thu Jun 14, 2007 4:21 am
i renamed the topic...
IT IS NOT THE MODIFICATION OF BZ! it is the BZ with Level II behaviour checking...
the idea is - automated trading the BZ combined with SOBI (Static Order Book Imbalance)
pls check : homepages.cwi.nl/~robu/cima2005.pdf
(Section 3.1.1)
when trading BZ, Avery tells to look at Level II order book behaviour. so SOBI is quite the same i suppose.
the strategy and realisation is simple i suppose but can anyone help me to realise it in C#/CPP code using MBtrading API?
or can anyone help to make C#/CPP code which will collect raw data from MBT for charting including the following:
- TICK DATA
- VOLUME WEIGHTED AVERAGE BID
- VOLUME WEIGHTED AVERAGE ASK
if any questions how i see the entries and exits - pls PM...
BRGDS, Dan
IT IS NOT THE MODIFICATION OF BZ! it is the BZ with Level II behaviour checking...
the idea is - automated trading the BZ combined with SOBI (Static Order Book Imbalance)
pls check : homepages.cwi.nl/~robu/cima2005.pdf
(Section 3.1.1)
when trading BZ, Avery tells to look at Level II order book behaviour. so SOBI is quite the same i suppose.
the strategy and realisation is simple i suppose but can anyone help me to realise it in C#/CPP code using MBtrading API?
or can anyone help to make C#/CPP code which will collect raw data from MBT for charting including the following:
- TICK DATA
- VOLUME WEIGHTED AVERAGE BID
- VOLUME WEIGHTED AVERAGE ASK
if any questions how i see the entries and exits - pls PM...
BRGDS, Dan