> As a reminder, the previously recorded historical data which was based > on the 5-level deep market should NOT be used any longer. That's > because the dynamics of the 10-level depth is likely to be different > from dynamics of the old 5-level depth, so if you backtest and > optimize on the old data sets, your strategy would be "learning" the > patterns which may not be there anymore. > > I deleted the old 5-level deep sample data set from the project page > and uploaded a new one, which was recorded based on the 10-level deep > data:
Perhaps we can still use the old data ... While using 10-level deep data will give different backtesting results (obviously), it should *not* be too much different if we apply the right transformation. If all is well, having more samples for the depth should just reduce the variability of the our estimate for supply--demand, which 'should' translate into a reduced variability of a trading strategy (although some strategies are hyper-sensitive to even tiny fluctuations, but these ones are probably not worth trading anyway). Right now, we track a normalized difference between the bid and ask depths. If we have a depth of N, all we need to do is find the best scaling factor that keeps our estimate approximately the same as a function of N. This could be done empirically for a few days to find an appropriate scaling. This would be impossible to check on our old dataset, but I believe it should work well enough for using our old dataset. If someone has the full recorded data for a few 10-deep days, we could simply try this out; that is, plot the distributions of our 'normalized difference' estimate as a function of N. If this doesn't work, I suspect that our assumption of collapsing 2N numbers (from the bid and ask) to a single number is not well justified ... --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
