Here is the chart that shows the price and the 5-minute exponential average of the depth balance, based on today's 10-level data. I didn't notice any useful patterns yet, but as I mentioned, we would need a much longer test period to draw any conclusions.
On Wed, Jun 24, 2009 at 1:32 PM, nonlinear5 <[email protected]>wrote: > > > > One immediate effect that I see today is that my system (which was > optimized on the 5-deep data) is not triggering any trades. The 10- > deep data seems to smooth out the fluctuations in the depth balance. > Today is the first day I've been testing the 10-deep data, so full > implications are to be analyzed. > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
<<attachment: 10deep.png>>
