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FiftyEight Fluffs Around In Futures

Discussion in 'Derivatives' started by fiftyeight, Jan 26, 2015.

sentifi.com

Aussie Stock Forum Sentifi Top themes and market attention on:

  1. fiftyeight

    fiftyeight

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    First plot done.....took way too long but doneish. Something doesnt seem right, I didnt expect such a peak at and around zero.

    Will have a look this afternoon.

    Range was simply "settle - open". I had to think about this for a while actually, couldnt decide if I should use "settle - open" or "high - low"

    If anyone actually cares I can find a better way to share, but I expect not so ill just snip haha

    upload_2017-8-17_8-24-28.png
     
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  2. fiftyeight

    fiftyeight

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    That is amazing!!!!!!!!!!!
     
  3. Trembling Hand

    Trembling Hand Can be found on the bid

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    Isn't range High - Low?
     
  4. fiftyeight

    fiftyeight

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    Yeah, just wasnt sure which would give me the info I was looking for. I have a few other simple ideas ill play around with this arvo
     
  5. fiftyeight

    fiftyeight

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    Some stuff from yesterday.

    The below had 798 days of data on the Dax. Nothing ground breaking and not sure I can draw any meaningful conclusions



    upload_2017-8-18_7-45-41.png
    upload_2017-8-18_7-47-58.png
     
  6. fiftyeight

    fiftyeight

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    I always knew this would be the case, but even though I am only scratching the surface of Python, not even scratching the surface but looking at it from a far it has become even more apparent the size of the task ahead.

    Also, I am still not sure ill even need the additional features offered by Python over Ami unless I use ML.

    But on the flipside, LIGO (used to detect gravitational wave) use Python for a lot of their data analysis. Its is open source via a Jupyter Notebook so you can actually have a look at what they have done. Awesome!!!!!
     
  7. DaveDaGr8

    DaveDaGr8

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    If you want to truly analyse the markets you're heading in the right direction.

    AB is great for it's intended purpose, which was to create a graphing / backtesting program. For in depth analysis there are better tools.

    ML is not the only use. The time series problem can be negated easier python by analysing performance over time for your theorems and choosing ones that behave consistantly over time.

    Backtesting 1 million strategies at once. This might seem like overkill, but AB's optimize function lets you fine tune ( curve fit ) for variables. Python can take that next level and allow you to curve fit formulas as well as variables.

    But yeah, it's a long road.
     
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  8. fiftyeight

    fiftyeight

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    A few people have suggested Quandl, I have emailed them to confirm they do not data for asx equities.

    I am missing something here?

    How are other getting asx equities data? Premium data seems a messy way to go
     
  9. Trembling Hand

    Trembling Hand Can be found on the bid

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    And now starts the unnecessary reinventing of the wheel.
     
  10. fiftyeight

    fiftyeight

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    Haha if there is an easier way id love to hear it?
     
  11. tech/a

    tech/a No Ordinary Duck

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    Perhaps a more informed wheel
     
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  12. fiftyeight

    fiftyeight

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    Not sure how I missed it while I was looking yesterday, IB may be the way to go
     
  13. Trembling Hand

    Trembling Hand Can be found on the bid

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    Are historical data calls possible?
     
  14. tech/a

    tech/a No Ordinary Duck

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    I think so

    They certainly are in all facets of scientific research.
     
  15. Trembling Hand

    Trembling Hand Can be found on the bid

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    What are you talking about Tech? :confused:
     
  16. tech/a

    tech/a No Ordinary Duck

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    I'm missing some thing ?
     
  17. DaveDaGr8

    DaveDaGr8

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    They are, but limited. Notably 60 requests in 10 minutes which wasn't actively enforced until a few years ago, but now it is.

    https://interactivebrokers.github.io/tws-api/historical_limitations.html#gsc.tab=0

    Also the data has been known to be wrong and questioned on other forums. IB's response is simply they are not in the business of maintaining historical data.
     
  18. tech/a

    tech/a No Ordinary Duck

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    tickdata.com
    It's cheaper than you think
     
  19. CanOz

    CanOz Home runs feel good, but base hits pay bills!

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    Tickdata has gone up I think tech, minimum order $500. Roughly $100 per year / instrument
     
  20. tech/a

    tech/a No Ordinary Duck

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    Yeh
    It's about $250 a year / ticker
    For what you get it's not that expensive
    Well I don't think it is.
     

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