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It is not easier. It's easy to come to the point very quickly that you will need terabytes of free space, tens of gigabytes of RAM and two or more processor configurations to install the platform. And all for that proverbial 0.01%.
Can you tell me which platforms that store ticks have such wild requirements?
C-4, 2013.03.27 09:14
First strong argument. Indeed the transaction tape allows you to see the initiator of the transaction, whether it was initiated by the seller or the buyer. But let's come at it from the other side. It is not a problem to accumulate ticks in EA during the day, it is possible to calculate the volume per tick too. Up tick is nothing else but buying on the market with the counterparty that has become a limit to sell, so the up tick was initialized by the buyer. Down tick is a sale on the market with a limit bid counterparty, so the dn tick was initialized by the seller. As we can see, by analyzing ticks we can fully restore the table of all deals. Further, remember that the table of all deals is stored for exactly 1 day. Therefore, the question of how to accumulate and analyze information with the table of trades is not solved. You need the same methods of processing and storing information on history as without the table of deals.At such moments, there are very large volumes, the price is clamped down, and let's run the volume, sometimes 2-3 times per session, futures EDU(FORTS)
Sometimes there are situations when an asc is equal to a bid, it happens when the stock is very liquid, it is rare that this happens, probably at those moments both selling and buying are at the same price. But such a situation lasts for only several minutes. Again, what do we get out of it? Well, only that you can make a deal from the market, you will not lose anything, and it is unlikely, because it all happens very quickly and does not last long.
Who exactly is clamping down on prices? Let's have some schematic diagrams of how the cup works, which would clearly show the possibility of ticks initiated by the parties opposite to their direction. How many such situations and what % of the total number of ticks they occupy.
The price is pressed by those who need it
In general, it's a rare situation, and even if it does happen - I don't see why it's noteworthy, what you can get out of discovering it.
Sometimes there are situations when an asc is equal to a bid, it happens when the stock is very liquid, it is rare that this happens, probably at those moments both selling and buying are at the same price. But such a situation lasts for only several minutes. Again, what do we get out of it? Well, only that you can make a deal from the market, you will not lose anything, and it is unlikely, because it all happens very quickly and does not last long.
The only reason why the ask cannot be equal to the bid is because the trade will take place.
the difference between a bid and an ask is at least 1 point otherwise the deal is done.
an asc cannot be equal to a bid for the simple reason that a trade will take place.
the difference between a bid and an ask is at least 1 point otherwise a trade is executed
Why would the spread not converge? In liquid moments the spread may well be zero and all three prices will be at the same level.
the spread cannot be zero or there will be a trade
ZS: you and I agree on the price of potatoes, I buy you sell, as soon as we have the same price we shake hands and make a deal and part ways.
an asc cannot be equal to a bid for the simple reason that a trade will take place.
the difference between a bid and an ask is at least 1 point otherwise a trade is executed
the spread cannot be zero or a deal is made