Tick counter.

[Ravique]

Offtoppic : That`s it. I`m done celebrating and i am back in the game after a wild week =)) .

Topic : I have some ideas about tick counting, but still i want to check em up first , and if my manual results will be interesting in any kind, i will post them. I think i will do it this week.

I think we should pay attention on researching this subject, becouse it may be very useful. becouse most of the indicators use ohlc data, and most of the indicators don`t work coorectly.

We`ll c next week .

[scorpion]

I think, we can use this concept to detect the possible breakouts programmatically without economic input or timing. To research more about this, we'll need to watch the unfiltered streaming quotes besides the filtered ones.

[Ravique]

Could you be more specific when talking about theese quotes. I don`t quite understand which ones are filtered and which ones are not.

[scorpion]

To my understanding, quotes provided by IBFX, Alpari, FXDD, and Oanda are highly filtered quotes in which 1 tick is sent to clients once in every few seconds. Whereas, unfiltered quotes are sent to clients up to several ticks per second. Naturally, unfiltered quotes are extremely fast, while the filtered ones are slow. Many third-party feeds except brokers provides unfiltered quotes. Why brokers provide only filtered quotes? Because they can show off tighter spread (from 5 pips to 3 and now 2) while being able to maintain real 5 pips spread transparently from clients.

We'll absolutely need unfiltered quotes to get the precise volume of ticks.

[sccz97]

hmmm, I thought I posted a reply but it seems that it didn't go through. Anyway, what I posted in my previous messaged was that I've thought about this strategy a while back but have never had the time to really implement it. The way the api seems to get the pumping quotes is most def not ideal for any kinda of tick strategy. One possible solution would be to look at the volume on fx futures but the best method imo is the use of smthing like bloomberg. Bloomberg provides live fx prices (as part of the standard package) from hundreds of price sources. via the api, you can subscribe to a let's say eurusd and you'll receive every tick for that security.when the markets are quiet you'll probably get a few ticks per minute but just after a figure has been released you'll see the tick count go wild. Attempting to use this strategy around figures though would be suicide, I would recommend you attempt this strategy outside of figures (which shoudl be easy enough to code in). A good instance of when this would have wokred nicely would be the whitehouse evac a few weeks ago when the dollar started dumping. I saw the price action on bloomberg go cray a good second before I saw any kind of move on ibfx. Admittedly, the underlying price on the ibfx server might also have changed and the pumped prices had not caught up but it's def worth a shot as it's moves like this that can't be predicted. Around figures, all the market makers are expecting a wild shift

[sccz97]

Originally Posted by scorpion

This is interesting... The best way to make this strategy practical is to use fast and unfiltered quotes. I'd love to do some more research on this with different feeds. Any idea which feed should I use?

ack ... you'l notice I wrote more or less the exact same message because I failed to chekc the first page! I wouldn't trust any of the quotes from the dealers as they will def have prices that I woudln't consider market price. There are a good number of instnaces over the last tw ow eeks where ibfx prices were consisntelty higher than market prices for well over a period of 5 minutes (good opp for spread arb but we can discuss that later). As I mentioned though in my post, I do believe that the best optin would be to go for bloomberg as a price feed due to it's ability to capture prices from virtually any source. For example, I trade in fast moving markets and I need the most reliable and accurate market prices. With the bloomberg api, I have the ability to have seperate feeds coming in for say EURUSD from the fastest price sources (which I have found to consistently be westlb, hotspot, ebs and bearfx) to guage where the majority of market is going. To be honest, it's very much like seeing into the future. The dealers like ibfx and possibly even fxdd (altoughI've not compared the tradition price feed on bloomberg to the pumped prices on fxdd) are always slightly slower than what you'll see on bloomberg and after releases like nfp you can see the bloomerg price gap way before you see anything on ibfx or fxdd. Just smthing worth thinking about if you really want to continue down this path. I suggest you call bloomberg up and ask for a demo. I think it last for about a month but in this time you can test out the api, and you'll find the real time quotes are invaluable, I use it for all my custom charts.

[Ravique]

What about oter quote providers , like esignal? They are not a broker , so their quotes could bu unfiltered?

[sccz97]

Originally Posted by Ravique

What about oter quote providers , like esignal? They are not a broker , so their quotes could bu unfiltered?

I'm afraid I haven't used esignal, but I'm unsure of whether they provide or allow you to choose distinct price sources. Even say Interactive Brokers which have a at least 2 major interbanks price sources will provide a composite quote and that there lies the problem. You have no idea what underlying method they use to obtain a composite quote so you're still getting their represnetation of what the overall market is doing. As it's the major players (ibanks) which will be directing where the market really goes, it's best to get the distinct prices sources from them

[scorpion]

sccz97, is it Bloomberg.com that you are talking about? I asked because I cannot find any product that is related to data feed api.

[Ravique]

eSignal is a quote provider. They have their software, which is downloaded and shows you the charts, prices and news, i think. I haven`t really used them, just heard and took a glance on their website right now. And they are fro money, but the demo is available for some time.