|
PureBytes Links
Trading Reference Links
|
Mark is probably using the DTN satellite feed. He used to have the BMI
feed. There are definitely differences in the data from the different
feeds. Some feeds may not include all the common, preferreds, ADR's, closed
end funds, etc.. He may also be using different thresholds than 3 and 1.
Different buy/sell thresholds will make a bigger difference in signals than
a few minutes either side of the top of the hour. Using 7 for the length is
kind of important since the OddBall is really a one day rate of change of
NYA advancing issues sampled at the top of each day session hour.
bobr
----- Original Message -----
From: "Charles Johnson" <cmjohnsonxx@xxxxxxxxx>
To: "The Funkhousers" <funkhouser@xxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Sunday, October 21, 2001 4:41 AM
Subject: RE: Oddball system trades
> I tried changing the start time to 9:55, 10:05, and a few intermediate
> values, using 1 min bars and the code I previously posted. No change in
> trades generated. Note that the differences in time are not consistently
in
> the same direction.
>
> -----Original Message-----
> From: The Funkhousers [mailto:funkhouser@xxxxxxxx]
> Sent: Saturday, October 20, 2001 10:20 AM
> To: LScharpen@xxxxxxx
> Cc: cmjohnsonxx@xxxxxxxxx; omega-list@xxxxxxxxxx
> Subject: Re: Oddball system trades
>
>
> It looks like the major part of the differences is a one hour difference
in
> execution times. What would be the result if "begin" was "0959"?
>
>
>
> LScharpen@xxxxxxx wrote:
>
> > In a message dated 10/19/01 4:29:54 PM Pacific Daylight Time,
> > cmjohnsonxx@xxxxxxxxx writes:
> >
> > << Recent trades (my times converted to central to match Mark's):
> >
> > oddball site my setup
> >
> > date time B/S date time B/S
> > 10/19 11 B
> > 10/19 10 S
> > 10/19 9 B 10/19 9 B
> > 10/17 10 S
> > 10/17 9 S
> > 10/15 10 B
> > 10/15 9 B
> > 10/11 10 S
> > 10/11 9 S
> >
> > Mark or anyone: any idea what's happening? Can it be due to different
> data
> > sources?
> >
> > Thanks.
> > >>
> >
>
>
|