Algorithmic Trading Group Forum - Bid and Ask size analysis.

08/25/19 at 12:44:23

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Bid and Ask size analysis. (Read 20661 times)

ocTrader Newbie Offline I like this forum! Posts: 4 Gender:	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 Newbie Offline I like this forum! Posts: 1	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 Newbie Offline I like this forum! Posts: 1	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 Newbie Offline I like this forum! Posts: 1	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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