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several things....i've wondered if omega really collects bmi data, or if
they actually collect dbc data and then convert that to the bmi symbol format,
could explain the missing ticks. another thing, if you've based your system
on 30 min data, then you're hosed with the bouncing tick crap. the smaller
the bar interval, then less likely will you get screwed by bouncing ticks.
i've used 4-5 tick bars on the s&p effectively for over 5 years. also, i
think that the "smaller bar interval / greater noise" argument is silly;
there are many ways to compensate for that effect (many of which that have
been documented on this list)
personally, i think the smallest effective bar interval should be no smaller
than your response time to execute a trade (including feed delay too). since
4 tick spoo bars are roughly a 1/3 of a minute, then that gives ya 30 sec
to work the trade.
TJ
fwiw
At Mon, 21 Feb 2000 21:22:13 -0700, "Gary Fritz" <fritz@xxxxxxxx> wrote:
>FWIW: I've seen differences in my *30-minute* bars between Omega's
>supposedly-BMI/Signal data and BMI data from a friend's system. The
>differences in data were significant enough to result in several
>missed trades using the Omega data.
>
>Frankly I don't understand how anyone can expect to trade reliably
>using 2-tick bars, given all the things that can happen to data
>between the pit and your screen. If it works for you, great -- but
>I
>gotta wonder if it wouldn't work just as well with 1/2 or 2x as many
>ticks. You're already guaranteed to lose huge numbers of ticks,
>what's a few more?
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