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Date/Time: Sat, 18 May 2024 15:24:10 +0000

Post From: TPO profiles - better access to statistical data

[2019-04-01 16:54:50] Link To Thread - Link To Post [Go To First Post]
User365411 - Posts: 178
In addition to previous post I noticed that volatility calculation is tied to tick size resolution. So for example on 6E futures, where the minimum and default tick size is 0.00005, the volatility calculation results about double and don't respect the value based on the real range of each period (assuming tick size = 0.0001). Same, if for any reason, I use 0.0002 as minimum tick size, values become half. Is it possible to avoid this problem that can be source of misinterpretation of volatility values? Date Time Of Last Edit: 2019-04-01 16:57:14