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This is a post I sent to Joel,
and would apply to The Neo's as well.
This is my Daytrade setup on 1 min data.
(I would like to move it over to 100 tick bars.)
Kevin did a good job of talking it up.
And it is do-able.
Joel,
I also am interested in seeing a Master Slave data relationship implemented
on a platform.
If SmartQuant would like to look into it, then I would be customer.
Master data is DATA1, specified as any tick based, or volume based bar.
Slave data is DATA2, synchronized time based data to DATA 1.
Slave data is DATA3, same.
example,
DayTrading, RealTime and BackTesting
data1, ESH4 100 ticks per bar, looks very much like 1 minute data, but acts
differently.
data2, ESH4, best bid, available in realtime only
data3, ESH4, best ask, available in realtime only
data4, $TICK, synchronizes to ESH4 bar completions. generally 6 ticks per
(minute) depending on datasource.
data5, $TRIN, synchronized to ESh4, bar completions.
With suitable technical studies applied to each.
I use candlesticks on ESH4. $TICK
and Dot on Close for $TRIN.
BestBid and Best Ask is for trade execution only.
you get the picture.
ESH4 creates a variable, custom time slice,
each slave data# , uses the ESH4 completion time to end its own bar.
In addition,
I thought i noticed that you did not implement
both tick count and volume count on your 1 minute bars.
Occasionally, I find my interests going to UPTICK, DOWNTICK, UPVOLUME, DOWN
VOLUME
within the same bar. Tradestation made an incomplete attempt at this.
My curiosity in research would be to implement the same as above using 100
volume bars.
I cannot vouch for the value of this more difficult implementation of bars.
It is more difficult than tick bars, due to left over volume amounts.
Joel, I think there are a number of others out here that are interested in
the same.
No platform that I know of implements the above.
Eric
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