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RuGo recently posted a thread titled "Thermometer + Bid/Ask" which raises some questions I have on the GTIS Forex data.
http://forum.esignalcentral.com/show...threadid=21896
I read your post and just a heads up and few questions about the GTIS FOREX symbols/data for you or anyone else as I also trade FOREX.
My impression is because there is no FOREX exchange per se, that actual "trades" are not recorded, and on the eSignal chart the last bid price is used for the most current price?
I use IB right now for execution and the eSignal price on the chart is usually a few pips 2-4 below the actual spread that I see on my IB trader workstation for GBP A0-FX which is what I've been trading lately. Does this sound about right?
If you pull up any short term candlestick chart you will notice there is ALWAYS a black wick on top and bottom of each candle which doesn't occur for stocks or futures. This indicates that a particuliar candle never closes on the low bid or high ask for that interval. Does this make sense to you?
Given that the bid/ask for the GTIS Forex symbols contains several different firm's quotes that I don't use for execution I was never really sure how accurate to consider these quotes, at times the spreads differences even between the best and worst bids, and best and worst asks are wide, have you noticed this also?
If my execution broker was FXCM or HSFX for example, then you can (I think for a fee) specify that particuliar broker in the symbol: JPY A0-FX@FXCM for example, which is a real quote and makes sense to track.
If you download tick data for this symbol, before you can run a replay because no "trades" and only "quotes" are recorded you have to edit the "Q"'s to "T" and further confuses the issue for backtesting validity. How does the format of this tick data effect the accuracy of backtests and tick replay compared to sotck index futures and equity symbols?
Are there any posts or doc on GTIS feed that also explains FOREX volume and tick chart characteristics?
If you or anyone else has anything to share on these issues I would appreciate hearing their input.
I opened this new thread on this as I wrote this I thought of more isues and origionally posted a reply to RuGo's which I will now try and delete.
For some reason when I open the Forum through eSignal -Customer Support option I loose the ability to right-click copy and paste and didn't want to retype this, so first attached this to that post, and then used the IE browser to open the Forum and copy and paste the text into a new thread.
Anyway of getting those windows cut and paste right click options when using the Forum Editor through eSignal?
Thanks
Glen
http://forum.esignalcentral.com/show...threadid=21896
I read your post and just a heads up and few questions about the GTIS FOREX symbols/data for you or anyone else as I also trade FOREX.
My impression is because there is no FOREX exchange per se, that actual "trades" are not recorded, and on the eSignal chart the last bid price is used for the most current price?
I use IB right now for execution and the eSignal price on the chart is usually a few pips 2-4 below the actual spread that I see on my IB trader workstation for GBP A0-FX which is what I've been trading lately. Does this sound about right?
If you pull up any short term candlestick chart you will notice there is ALWAYS a black wick on top and bottom of each candle which doesn't occur for stocks or futures. This indicates that a particuliar candle never closes on the low bid or high ask for that interval. Does this make sense to you?
Given that the bid/ask for the GTIS Forex symbols contains several different firm's quotes that I don't use for execution I was never really sure how accurate to consider these quotes, at times the spreads differences even between the best and worst bids, and best and worst asks are wide, have you noticed this also?
If my execution broker was FXCM or HSFX for example, then you can (I think for a fee) specify that particuliar broker in the symbol: JPY A0-FX@FXCM for example, which is a real quote and makes sense to track.
If you download tick data for this symbol, before you can run a replay because no "trades" and only "quotes" are recorded you have to edit the "Q"'s to "T" and further confuses the issue for backtesting validity. How does the format of this tick data effect the accuracy of backtests and tick replay compared to sotck index futures and equity symbols?
Are there any posts or doc on GTIS feed that also explains FOREX volume and tick chart characteristics?
If you or anyone else has anything to share on these issues I would appreciate hearing their input.
I opened this new thread on this as I wrote this I thought of more isues and origionally posted a reply to RuGo's which I will now try and delete.
For some reason when I open the Forum through eSignal -Customer Support option I loose the ability to right-click copy and paste and didn't want to retype this, so first attached this to that post, and then used the IE browser to open the Forum and copy and paste the text into a new thread.
Anyway of getting those windows cut and paste right click options when using the Forum Editor through eSignal?
Thanks
Glen
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