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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.
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.
.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 hard with theorists)) Pin a piece of the archive.
Any one. Whichever one you are interested in.
***
I'm not interested in forex archives. One last try.
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.
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!
***
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.
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.