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Trading Strategies >> Research >> Bid and Ask size analysis.
https://www.algotradinggroup.com/cgi-bin/yabb2/YaBB.pl?num=1232596554

Message started by ocTrader on 01/22/09 at 03:55:53

Title: Bid and Ask size analysis.
Post by ocTrader on 01/22/09 at 03:55:53

Hi All,
I am pretty new to this algorithmic trading biz...
I would like to start to do some research on Bid and Ask volume size using Matlab. Are there any articles or any books that you recommend ? Or suggest anything that gets me going first ? Thank you so much !

Title: Re: Bid and Ask size analysis.
Post by Nandi on 04/29/09 at 15:52:11

I would like to know more on this topic. I have access to tick data. I would like to more on how to effectively estimate and use the depth of book.

Thanks,

Title: Re: Bid and Ask size analysis.
Post by jeffrey Paul on 06/27/09 at 04:37:41

Yea .. any info on analyzing high frequency data will be appreciated ... thanks ...

Title: Re: Bid and Ask size analysis.
Post by KevM on 03/03/10 at 01:38:43

You can utilize matlab on excel, or a matlab spreadsheet to analyze data in heavy volumes (as in bid/ask data), where you have millions and millions of rows and columns of data.

Quick question, where would you find historic bid/ask data? Particularly for FX but any other instrument would be fine.