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 Post subject: OnTick Vs OnBar
PostPosted: Fri Dec 31, 2010 6:55 am 
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Joined: Mon Dec 06, 2010 2:15 am
Posts: 47
Hi all,

I'm working to develop a neural network type solution for my strategy. There are nodes which I want to be able to utilize the incoming information made known by each new trade (or possibly each quote) which comes from the exchange.
Do people who want to analyze less aggregated data than normally packed trade 'bar' simply subdivide bars into smaller bars, or go straight to tick/quote references. Are there many people who use tick updating and what problems have they incurred?

If anyone has had successes with this on the OpenQuant platform, what would the call code look like for on tick update? Are there other pieces of the program which need to be understood differently when using ticks?

Thank you,
Reddy


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 Post subject: Re: OnTick Vs OnBar
PostPosted: Fri Dec 31, 2010 11:33 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6810
Hi,

I think one problem with ticks and neural network learning (or just with standard time series analysis) is that ticks come irregularly in time. It's much more simple to use something regular (time bars) for such analysis and predictions. Just IMHO though.

Regards,
Anton


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