Support Board
Date/Time: Sun, 24 Nov 2024 02:03:51 +0000
Post From: Rithmic millisecond not working right
| [2013-08-15 10:15:58] |
| Hendrixon - Posts: 130 |
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Hey ganz For the charting software? First of all you'll finally get a good smooth "live like" replay, not the jerky "1 second bursts" replay we have now. if you'll look on a replay of 30min bars than maybe it won't bother you, but look on a numbers reversal chart and you'll see how useless it is. But more importantly, for short time frame traders and scalpers, the 1 second timestamping is a limit/problem. You can't construct short time frame bars phases to look for repeating fingerprints/formations/sequences since the granularity is too crude. For example if you have a formation that you found to work super on 30min bars (like morning star or evening star etc.), your options to find that formation are: 1. Wait for it to happen again. 2. Build bar phase charts What I mean by bar phase chart is that by default your 30min bars start forming lets say at your midnight (set in chart properties), but what if you'll start your chart at midnight+10min? Well, your charting software will sill produce 30min bars, right? but they'll have different OHLC parameters. Now if your beloved formation repeats lets say twice a day, well now you have double the odds to spot it. And if you'll have another chart that starts at midnight+20min... voila... you tripled the chance to find your formation! in the same day! Nice right? :-) So why stop at 10min granularity? Why not building bar phases every 5min? or every 1min? Go for it. But, what if your charting software has a timestamp granularity of 15min? It means you're limited to only 2 bar phases. If it had a granularity of 10min, you could build 3 phases etc. Well that's the problem at very short time frame and small tick/volume bar sizes. The 1 second timestamp granularity is pretty much like the 15min granularity above. And its worse, since if you know that the formation you found works so good on 30min bars, you know it will work pretty the same on 240min bars and 5 min bars. But with the 15min granularity you have, you can't build 5min charts, let alone 5min phase charts :-) And that's just the tip of the iceberg. Milliseconds is not just for "blackbox HFT execution", but most retails don't have a clue what to do with it. All they think is *execution*, and in that game, sure, they can't win, so they diss(?) millisecond granularity as "not needed and pretty stupid for retails". Btw, Multicharts already support microseconds. and HFT? they already execute at nanoseconds. Who knows, I work with the 1 second granularity and see the need for milliseconds. Maybe others that already worked with milliseconds found benefits in microseconds? and now nanoseconds? I'll be content for a long time if SC will add real millisecond timestamp support, which as far as I know Rithmic already support down to microsecond. Hope that helps. Date Time Of Last Edit: 2013-08-15 10:19:39
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