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Bid and Ask size analysis. (Read 25896 times)
ocTrader
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Bid and Ask size analysis.
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 !
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Nandi
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Re: Bid and Ask size analysis.
Reply #1 - 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,
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jeffrey Paul
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Re: Bid and Ask size analysis.
Reply #2 - 06/27/09 at 04:37:41
 
Yea .. any info on analyzing high frequency data will be appreciated ... thanks ...
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KevM
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Re: Bid and Ask size analysis.
Reply #3 - 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.
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