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model simulation (Read 2822 times)

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model simulation
07/26/11 at 14:05:33
Hello all,

I am part of a team that developed a prediction algorithm that has been prototyped in Matlab and is being tested these days.

We have performed some preliminary tests on a portfolio of US traded stocks, using Market-orders only 1-minute intraday data under an assumption that the Close price of the last minute is going to be available in the next minute.  We are aware that this does not reflect market conditions and are interested to perform further, more valid tests.

One approach that we think of is, on similar data format (1-minute intraday), use mainly Limit orders, and for the purpose of verification of order execution, check the Highs and Lows of the current minute, and if the High is higher than our buy-price, we can conclude that our buy order has been executed, and similarly on the sell orders.

Another approach is to test this prediction-system on Tick Data (with seconds only no milliseconds) and in order to estimate whether or not our order is executed, track the Trades parameter in this data, while taking into account both time delays and estimated quantities of stocks that are traded just before our (slow) order is executed.

Would be thankful if you could share with me your opinion on what the better steps are from where I stand

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