Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Nickitozz92

Some questions about Time&Sales, DOM and tick data on the chart

Recommended Posts

Hello folks!

Being involved in backtesting I’ve found for myself some interesting questions.

 

1) How to store streaming market data (DOM, Time&Sales) when:

a) The data are displayed in the UI on the graph and at the same time are analyzed in real time.

b) The data are used for testing algorithms and trading strategies

 

2) How Time & Sales is formed.

Does it represent itself an original "Full Order Log" or sorted "Full Order Log"?

As far as I know, Depth of Market (DOM) represents itself as a sorted "Full Order Log".

Does the similar principle work for the Time&Sales (Tape) calculation?

 

3) In a classic trading terminal the last candlestick on the chart is usually floating and changes within one second. This last candle also depends on the best BID/ASK. Need to understand based on what price (BID or ASK) the last candlestick fluctuates.

 

4) In some trading terminals such data as Time&Sales and DOM are aggregated into larger time frames (e.g. msec. -> sec. -> min etc.). What is the formula which is used for aggregation?

 

Will appreciate your assistance!

Thanks,

Nick

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.