Support Board
Date/Time: Tue, 26 Nov 2024 05:25:33 +0000
Post From: Numbers bar study bid - ask split incorrect behaviour
| [2014-03-26 09:12:01] |
| Pawel_Szpak - Posts: 48 |
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How did that testing of the new algorithm go? Any idea when it will be implemented? How will the new algorithm work? I'm not sure how you can say using up/down ticks produces a more accurate cumulative delta, when it's clearly mislabelling some bid/asks using the up tick/down tick rule, or are you specifically referring to "more accurate VS IQfeed" as per the claim in the link you posted. Also, I would say perhaps review a week's worth of cumulative delta on FGBL on IQfeed vs your feed. The cumulative delta's certainly vary a LOT more on the 2 approaches than is apparent. ie, at the moment, I'm seeing a cum delta of ~-9k on your feed, vs apparently ~+6k on iqfeed on FGBLM4 for today's session.(had to ask someone else, don't have screenshots of Iqfeed - 5m chart though). That's quite a difference. I'm slightly confused why this is difficult to code. Looking at the DOM in the video I had posted, Sierra can obviously tell whether a price is trading bid or offered. Why does that not just end up allocating the bids/offers like that? Is there some kind of latency issue because the DOM is coming live from OEC and the underlying tick data is a different feed via Barchart/Eurex? However, if it's latency, it can't be too large if I can see differences with the naked eye and make a video of it. |