Machine learning in trading: theory, models, practice and algo-trading - page 290
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First comes the volume change, then comes the price change, then comes the indicator change.
By the way, the delta is also an indicator. The clusters of volume and delta + glass + price change are almost useless.
Also too naive. price can change with minimal volume.
By the way, delta is also an indicator. The clusters of volumes and delta + glass + price change are more interesting.
Well, then I'll support you, if it's such a big deal. Open interest + delta profile + market expectations. By the way, before the change of volume, after which the price changes, there is such a notion as market expectation expressed as a smile of volatility.
But the problem is in the data collection :-( It's not so easy to collect all of them in a pile.
You need more time to download, like not three days but a few weeks, and then look on the spot, also a huge role played by the setting of keywords themselves, if you score what is fairly common there will be all tweets in general solid advertising ... you're a slag.
The problem is that I still do not understand how to download a few weeks of tweets there
I understood from this http://prntscr.com/edlioc that the api is limited to downloading data, the maximum week, but there is a feed in the tweeter itself, which is available the entire depth of the story, to get the big story should somehow unload it, parse, classify by date, etc.
You can download eurodolar directly from finam from R-ka, and you can monitor online without delays.
#install.packages("rusquant", repos="http://R-Forge.R-project.org")
library(rusquant)
# загружаем котироваки евродолара
getSymbols("EURUSD",src = "Finam",period="hour",from = Sys.Date()-13)
# перевожу в тот же временной пояс что и твиты
indexTZ(EURUSD) <- "UTC"
chart_Series(EURUSD)
It's much more convenient than downloading quotes from an external file. I don't know how to synchronize it with tweets, the time there is not in "character" but in "xts" "POSIXct".
If you do it through this package, then you can do everything in one code, without external files, immediately load tweets, load charts and do analysis, and by all instruments online! :)
Could you tell me how to connect your code above with this one? :)Well, then I'll support you, if it's such a big deal. Open interest + delta profile + market expectations. By the way, before the change of volume, after which the price changes, there is such a notion as market expectation expressed as a smile of volatility.
The problem is in data collection.
The exchange rate may be at some small period of time and has some relation to the notion of "supply-demand".
If we talk about some trends, then the exchange rate has NOTHING to do with supply and demand at all.
The exchange rate, like some other economic indicators (such as the interest rate), is fully regulated by the government. It is one of the few macroeconomic levers with which the state can regulate the market economy. For example, by lowering the ruble rate, our government has greatly restricted imports and encouraged exports.
Everything else is just foam. Especially Twitter: a lot of Pinocchios are whistling something there...
In terms of some trends, the exchange rate has NOTHING to do with supply and demand at all.
The exchange rate, like some other economic indicators (such as the interest rate), is completely regulated by the state. It is one of the few macroeconomic levers with which the state can regulate the market economy. For example, by lowering the ruble exchange rate, our government has greatly restricted imports and encouraged exports.
....
The Central Bank lowers the ruble exchange rate by buying dollars for rubles on the exchange and raises the ruble exchange rate by buying rubles for dollars - creating supply of the ruble or creating demand for rubles.
Connoisseur.......
In 2014, one dollar was worth 35 rubles.
Dollars were scarce and the Central Bank began to give more rubles for one dollar, as a result of the limited number of dollars the price rose to 80 rubles.
The dollars bought by the Central Bank went into the Central Bank's cistern called"foreign exchange reserves", which were supposed to increase as a result of buying up dollars. In return for the currency, the ruble mass came into the accounts of commercial banks, which is called the "aggregate M2", which was also supposed to increase. And it was disproportionately greater in relation to the amount of purchased dollars in the foreign exchange reserves of the Central Bank, because the rate increased more than 2 times.
If we look at the statistics, that's not what happened: instead of growing, foreign exchange reserves DROWNED by about a third, and the M2 aggregate increased by about 10%.
PS.
The law of supply and demand only works in microeconomics textbooks. This is the first semester of first year economics majors. Then for 4 years students are taught a variety of deviations from this so clear law. In Forex we see it very well: it is enough for some important person to say something, or even from nothing, as we see candles of immeasurable length, or even gaps ...