From theory to practice - page 128
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Sorry mate, it's customary to have your own spoon.
He dropped off an archive of exponent-processed tick data a couple of sheets ago, and now it turns out they don't have time stamps.
He dropped off an archive of exponent-processed tick data a couple of sheets ago, and now it turns out they don't have time stamps.
Yeah, embarrassing, what can I say... I'll start collecting with time stamps next week...
Throw an example of the archive, a script to write how to transfer two bytes.
https://yadi.sk/d/snmT60R43RNUeL file AUDCAD_3DC.rar 247 Mb
Here are the ticks for 3+ years (from 2014 till 2017 October 28.) for AUDCAD, a tool, already processed many times by Alexander, for 3 DC, one of which was quoted 4 digits and its ticks have ended on 26.02.2016. The ticks were taken from http://advancetools.net/index.php/instrumenty/tikovye-ob-emy/istoriya-tikov, unzipped and merged into 3 solid files. Didn't do any checks. The size of 2 of the 3 .csv files is over 2GB.
The resource does not explicitly state, but according to my information, Igor Gerasko should be thanked for these tics.
Nikolai, here is the ruble/dollar archive from the exchange.
Format:
Date Time in msec Bid Ask Last Volume
There are a lot of doubles in the archive by time, I don't understand what the gimmick is. Like this
Also, the archive is not sorted by time, the timings are random. Sometimes they are a minute ahead, sometimes even more.
Hence the question: Process data? so that they measured only timing, not paying attention to what goes from each transaction.
I think we have to check for complete duplicates, not only by time but also by price, volume, direction.
There's a lot of time duplication in the archive, I don't know what the big deal is. It's like this.
Also, the archive is not sorted by time, the timings are all over the place. Sometimes a minute ahead, sometimes even more.
Hence the question: should the data be processed? so that they measure only timing, without paying attention to the fact that the recording comes from each deal.
This is not a duplicate; it's just a certain market volume which is spread among several Limit orders. The prices are different there. It should be sorted by time - can you specify the time where the sorting is broken?
This is a question for Alexander, by the way. There are several increments at one and the same time (if you follow your logic) - and how should we calculate?
These are not duplicates - just some market volume smeared among several limit orders. The prices are different there. It should be sorted by time - can you specify the time where the sorting is broken?
This is a question for Alexander, by the way. You obtain several increments at one and the same time (if you follow your logic) - and how should we calculate them?
Pardon me for interfering. Imho, fair to count as on the exchange, in the system "netting": [average] price of position = cost of all transactions / volume of all transactions.
Where transaction value = transaction volume * exchange rate. For example, if you bought 1.2 lots of EURUSD at 1.2025, then the transaction value = 120,000 * 1.2025 = $144,300.
These are not duplicates - just some market volume smeared among several limit orders. The prices are different there. It should be sorted by time - can you specify the time where the sorting is broken?
This is a question for Alexander, by the way. There are several increments at one and the same time (if you follow your logic) - and how should we calculate?
There's a lot of time duplication in the archive, I don't know what the big deal is. It's like this.
Also, the archive is not sorted by time, the timings are all over the place. Sometimes a minute ahead, sometimes even more.
Hence the question: Process data? so that they measured only timing, not paying attention to what goes from each transaction.
I think we still have to check for complete doubles, not only by time but also by price, volume, direction.
Oh, come on, Nikolai. I can see it's not a quick matter - I'll get the tics together next week and check it out myself. But, if you are seriously interested - it will be interesting to see your results.
Do stock market data really suit you, Alexander?