Impulse - page 30
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That's what I'm thinking, we shouldn't be limited to any time period !!! After all, one can also get in between... )) Well, you know what I mean - in a miserable situation.
The time horizon (which is very short) is needed to assess how "alive" the market is.
If there are a huge number of bids in a very short timeframe, that indicates market activity (don't mention volatility now - the discreteness there is at least a minute).
So - how we determine the market activity as not the number of requests in miles / microseconds, their average arrival rate in, say, five TICKS (not seconds) and comparing the same arrival rate in the previous longer period (in, say, 10 - 15 ticks)?
I was offering an option, but have moved on to other discussions.
The time horizon (which is very short) is needed to assess how "alive" the market is.
If there are a huge number of bids in a very short timeframe, that indicates market activity (don't mention volatility now - the discreteness there is at least a minute).
So - how we will determine the market activity as not the number of orders in miles / microseconds, their average arrival rate in, say, five TICKS (not seconds) and comparing the same arrival rate in the previous longer interval (in, say, 10 - 15 ticks) ?
I suggested an option, but have moved on to other discussions.
But you should not forget about travelled distance - i.e. not ticks per second, but farts per second. And somehow you can combine all that - farts per second and ticks per second.
You can also add volume to all this. It can be found if you wish. Otherwise, how do we know if it's really a bolide or a pelvis?
And what do you need? )) You know and you don't say anything? Who's Roman? What's he been scribbling? Are you two working in tandem?
Of course, ticks per second is good. But again, you can get into trouble). We have to distinguish clearly between the beginning of the movement itself. It does not matter what time interval it falls on. And from its start we can count up the time. To the end of the movement. Isn't that what you said?
But you should not forget about travelled distance - i.e. not ticks per second, but farts per second. And somehow you can combine all that - farts per second and ticks per second.
You can also add volume to all this. It can be found if you wish. Otherwise, how do we know if it's really a bolide, or a pelvis?
I was speaking in the context of determining the 'vitality' of the market. I did not talk about the track record, although it must also be taken into account in conjunction with what I was talking about. And synchronously. Then, the fulfillment of both conditions is considered as a reference point. When both speed and path exceed the given threshold. But we must also take into account that speed and path must change drastically in our desired direction simultaneously: the frequency of ticks increases relatively to the previous interval of controlled time, plus the difference of tick prices must also quickly increase in absolute value (fabs). In this case, if the increase is positive - we go up, if it is negative - we go down.
For example: tic3-tic2=10, tic2-tic1=8, tic1-tic0=12 points - three differences between neighbouring tics. Counting: (10pp+8pp+12pp)/3 = 10pp up, (-10pp+8pp+12pp)/3 = 10pp down.
And all this in three ticks per second (for example)
The time horizon (which is very short) is needed to assess how "alive" the market is.
If there are a huge number of bids in a very short timeframe, this indicates market activity (don't mention volatility now - the discreteness there is at least a minute).
So - how we determine the market activity as not the number of requests in miles / microseconds, their average arrival rate in, say, five TICKS (not seconds) and comparing the same arrival rate in the previous longer interval (in, say, 10 - 15 ticks)?
I did offer an option, but have moved on to other discussions.
Here presented a visual comparison of the rate at the last 5 ticks and the rate at the last 10 ticks and at the same time the price increment is positive:
As you can see, too many signals. I will be looking at more options...
Here presented a visual comparison of the speed on the last 5 ticks and the speed on the last 10 ticks and the price increment is positive:
As you can see, there are too many signals. I will look at more variants...
Speed of ticks (0,1,2) and (3,4,5, ..., N), not (0,1,2,3, ..., N)
Right?
Here presented a visual comparison of the speed on the last 5 ticks and the speed on the last 10 ticks and at the same time the price increment is positive:
As you can see, there are too many signals. I will look at more options...
Tick rates (0,1,2) and (3,4,5, ..., N), not (0,1,2,3, ..., N)
Right?
No. The average tick rate (0,1,2,3,4) is compared to the average tick rate (0,1,2,3,4,5,6,7,8,9).
and when it's empty there are no ticks? // and the quote is moving for some reason... maybe something needs to be done in the code...
There is only one conditionin the figure: speed(5) is greater than speed(10) and the price increment is greater than zero. That's why there are gaps. So I've only considered one option - everything goes in the plus.
No. The average tick rate (0,1,2,3,4) is compared with the average tick rate (0,1,2,3,4,5,6,7,8,9).
This will produce an overall speed. This is how we "smooth out" the moment of speed reversal. You have to ... like... one at a time. After all, the ticks in the array shift. So one by one new difference should be added to the average speed of the previous period.
That's probably how...