Tag Archives: measure

What metrics I use to measure my long and short trades for spread trading opportunity

What metricsĀ  I use to measure my long and short trades for spread trading opportunity

This quick video explains it as part of my long and sort to measure who those pairs will be when trade ideas are generated. Once identified, they are added to my watchlist.

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How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R

How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R

From http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf

This appears to work ok but this RTAQ package is impressing me each time