From theory to practice - page 169

 
Alexander_K2:

I didn't say no, but I'm confused by R. Feynman... He observed particles exactly at uniform intervals. He's kind of an authority for me :)))

Need specific quotes in 1 sec. Example:

12.00.00 - 1.22222

12.00.01 - 1.22224

12.00.02 - 1.22224

etc.

At the same time it is desirable (but not obligatory) to calculate the tick volumes for this second.

I need at least a draft - how to do it.

And I'm confused by the fact that you exclude quotes from consideration inside the 1 second interval. That is, most of the information. Well, you are a theorist - you know best))

What is the format of the archive, or send a piece of it - what to process.

 
Dmitriy Skub:

And what confuses me is that you are dropping quotes from consideration within the 1sec interval. That is, most of the information. Well, you are a theorist - you know best))

What is the format of the archive?

File .csv

1 column - time

2 column - quote.

The most difficult moment - when there is no new quote, you still need to overwrite the previous one.

If you just have some code snippets - how to do it - leave them here, I'd be very grateful.

And we'll get to milliseconds - but we have to read evenly there too.

 
Alexander_K2:

.csv file

1 column - time

2 column - quote.

The hardest part is when there was no new quote, you still need to write the previous one.

If you just have some code snippets - how to do it - leave them here, I'd be very grateful.

And we'll get to milliseconds - but we have to read evenly there too.

It's difficult with theoreticians)). Attach a piece of archive.
 
Dmitriy Skub:
It's hard with theorists)) Pin a piece of the archive.
Any piece. The one you are specifically interested in.
 
Alexander_K2:
Any one. Whichever one you are interested in.

***

 
Dmitriy Skub:

I'm not interested in forex archives. One last try.

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AzerbaijaniAlbanianEnglishArabicArmenianAfricanBasqueBelarusianBengaliBurmeseBulgarianBosnianVietnameseGreekGruzianGujaratiDanishZuluIslangyanEnglishIndonesianIslangyanItalianYorubaKazakhKannadaKatalanChinese (Mende)Chinese (Trud)KoreanKorean (Гаити)КхмерскийЛаосскийЛатинскийЛатышскийЛитовскийМакедонскийМалагасийскийМалайскийМалайяламМальтийскийМаориМаратхиМонгольскийНемецкийНепалиНидерландскийНорвежскийПанджабиПерсидскийПольскийПортугальскийРумынскийРусскийСебуанскийСербскийСесотоСингальскийСловацкийСловенскийСомалиСуахилиСуданскийТагальскийТаджикскийТайскийТамильскийТелугуТурецкийУзбекскийУкраинскийУрдуФинскийФранцузскийХаусаХиндиХмонгХорватскийЧеваЧешскийШведскийЭсперантоЭстонскийЯванскийЯпонский
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Dmitry, have mercy on the old man (over me)... Any absolutely archive from forex, from forts (I think you prefer USDRUB - well, let's see it). The method must work everywhere, otherwise, to hell with it!
 
Alexander_K2:

I didn't say no, but I'm confused by R. Feynman... He observed particles exactly at uniform intervals. He's kind of an authority for me :)))

Need specific quotes in 1 sec. Example:

12.00.00 - 1.22222

12.00.01 - 1.22224

12.00.02 - 1.22224

etc.

At the same time it is desirable (but not obligatory) to calculate the tick volumes for this second.

I need at least a draft - how to do it.

read about OnTimer()
 
Alexander_K2:
Dimitri, have mercy on the old man (me)... Any absolutely archive from forex, from forts (I think you prefer USDRUB - well, let's look at it). The method must work everywhere, otherwise - to hell with it!

***

 
Dmitriy Skub:

Some kind of strange 'donkey' stubbornness. Or your religion does not allow you to attach a piece of archive. You understand, that not to change ten times, it is better to make initially for the concrete format. Apparently, it is inaccessible for a theorist)).

Ok, I'll take my format for ruble/dollar, but it will be a complete application. And a little later - need to work, play with the players, so to speak)))

Well, it's a pity the main message wasn't heard.

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AzerbaijaniAlbanianEnglishArabicArmenianAfricanBasqueBelarusianBengaliBurmeseBulgarianBosnianVietnameseGreekGruzianGujaratiDanishZuluIslangyanEnglishIndonesianIslangyanItalianYorubaKazakhKannadaKatalanChinese (Mende)Chinese (Trud)KoreanKorean (Гаити)КхмерскийЛаосскийЛатинскийЛатышскийЛитовскийМакедонскийМалагасийскийМалайскийМалайяламМальтийскийМаориМаратхиМонгольскийНемецкийНепалиНидерландскийНорвежскийПанджабиПерсидскийПольскийПортугальскийРумынскийРусскийСебуанскийСербскийСесотоСингальскийСловацкийСловенскийСомалиСуахилиСуданскийТагальскийТаджикскийТайскийТамильскийТелугуТурецкийУзбекскийУкраинскийУрдуФинскийФранцузскийХаусаХиндиХмонгХорватскийЧеваЧешскийШведскийЭсперантоЭстонскийЯванскийЯпонский
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Wait a minute, Dimitri - maybe you don't need to convert anything.

I am a theorist - don't forget! My flight of fancy interferes with my work, so to speak. Wait a minute - wait for my next post. It'll be brilliant, as always.

 

So, gentlemen traders, we continue to move towards the logical finale.

Once again I strongly recommend reading Shelepin (see attached file) - especially pages 9-10. In fact, the whole solution of the problem is presented there - all we need to do is to program it correctly.

Now to the practice.

Of course I was confused by the USDJPY trend last week.

This is how I calculated variance earlier:

For pseudo-Markov processes:

Dispersion S^2=c*t*l, where:

l - mean value of jumps

t - observation time

s - jump frequencies in time t (number of ticks)

By jumps we mean tick increments of price.

We have:

S^2 = (N/t)*t*mean(|Ask(t)-Ask(t-1)|) = N*mean(|Ask(t)-Ask(t-1)|)

Then the standard deviation of the process: S = sqrt(N*mean(|Ask(t)-Ask(t-1)|)), where N is the number of ticks in observation time t.

The text highlighted in red is a text that I obviously misunderstood from Shelepin.
Files:
PF-05-3-5.zip  1039 kb