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Volume bars are less precise
than Tick based bars; qualitatively
different in many ways.
In my opinion, we will have to rethink
ALL of our methods to make this work.
Unfortunately, the last week of the year
is not a good week for comparisons.
Both the number of trades and trade volume
are way down this time of year.
Since aggregation has become reality,
and many of us are thinking of moving to
volume bars to continue using our
tick bar algorithms:
I would like a survey of how the major data vendors
create and deliver the volume bars, i.e. esignal,
tradestation, bloomberg, ib etc.
Things to look for in creating a volume bar -
Rollover of remainder,
Retaining incident volume within bar,
Obliterating 'excess' in standardized bar.
Eric Svendsen
----- Original Message -----
From: "Jerry" <drwar2000@xxxxxxxxx>
To: <esvendsen@xxxxxxxx>
Sent: Thursday, December 29, 2005 11:44 AM
Subject: Tick Aggregation
Eric
Off forum
I think there is one flaw in your analysis. If
whatever program is tossing the remainder rather than
carrying it into the next volume bars calculation.
That program already has problem regardless of the CME
change.
Jerry
--- Eric Svendsen <esvendsen@xxxxxxxx> wrote:
I can see a possibility of Volume bars being
affected.
This is another qualitative difference that messes
with
more advanced tick analysis.
Here it is - let us say that 11 trades are
aggregated.
According to the CME rules, this will result in two
trades.
One for the first trade, and then 10 are aggregated
into
a second cumulative trade.
1. 11 ticks are reduced to 2 ticks
= big difference for tick bars.
2. the volume of the first trade remains the same,
but the aggregation of the second trade makes one
"Large" trade; possibly a very large, depending on
how many trades are aggregated.
= volume bars that do not rollover the "remainder"
into the next volume bar will have total bars
reduced.
= a qualitative skewing will occur with more "large"
volume
trades painting the tape.
= this impacts esignal users who filter for 'Large'
trades on
the time and sales window.
Some discussion as to who this benefits would be
welcome.
Eric Svendsen
----- Original Message -----
From: templars666
To: MrEasyLanguage@xxxxxxxxxxxxxxx
Sent: Thursday, December 29, 2005 9:37 AM
Subject: [MrEasyLanguage] Tick Aggregation
Have a question about the new tick aggregation
change at CME.
TradeStation says that volume bars are not
effected. In other words,
if you built a strategy based on volume bars, then
your strategy
should not change going forward. Tick bar baseed
strategies, on the
other hand, will most certainly change. Does
anyone know if volume
bars remain the same? Thanks.
The "Ask Mr. EasyLanguage" (MrEasyLanguage) Yahoo!
Group is provided by :
Samuel K. Tennis
SKTennis@xxxxxxxxxxxxxxxxxx
http://www.vista-research.com
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