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Quant analytics: More Q&A from a member about paid vs free market data source and time frequency with ARIMA

(Last Updated On: September 5, 2012)

Quant analytics: More Q&A from a member about paid vs free market data source and time frequency with ARIMA

Questions from a member:

I reviewed the links. I see all literature its about stocks…. Are
there some examples with R code with Forex for cointegration?
Why Lmax is candidate to forex trading? What do we look for in broker
for be candidate to hft ?

My answer:
These should work for forex. I will posting some links on arima as a model type. This is the most popular type of modeling on a recent poll I did. Lmax does not manipulate your odrder so they are market neutral. This is what you look for in a broker. I hoped this helps

More questions from the same member:
Thanks, I wait for your posting, how many periods do you check wiht arima? Wich time frame ?
Source feed is yahoo? Thanks

My response:
I am probably going to use 1 min bars but you could easily use ticks if you want. My source is IQFeed but Yahoo can really only be done with End of Day if you want free data.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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