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if it is index product like sp, you can try using
the emini volume.
i did some reconstruction of data through
the cme historical data (available from cme for free)
of tick data with volume. seems to mean something
but definitely useless because they are available
at least a day later.
--- "M. Simms" <prosys@xxxxxxxxxxxxxxxx> wrote:
> In the absence of "Real" volume for CME futures
> contracts,
> is it valid to weight using uptick/downtick numbers
> instead ?
>
> > -----Original Message-----
> > From: DH [mailto:catapult@xxxxxxxxxxxxxx]
> > Sent: Monday, November 20, 2000 11:50 PM
> > To: Omega List
> > Subject: Re: Volume weighted average
> >
> >
> > This isn't exactly like Arms' implementation and
> also isn't the most
> > efficient code but here's a simplified version
> (unverified) that
> > demonstrates the concept. Basically, you are
> giving more weight to the
> > price on bars with heavier volume.
> >
> > {function: volume_weighted_average}
> >
> > input: price(numeric), period(numeric);
> > var: price_vol(price*volume), avg(price);
> >
> > price_vol = price * volume;
> > avg = summation(price_vol,period) /
> summation(volume,period);
> >
> > volume_weighted_average = avg;
> >
> > --
> > Dennis
> >
> >
>
>
=====
Lawrence Chan http://www.tickquest.com
Innovative Analytical Software for Trading Professionals
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