Tag Archives: convert

Can you convert market tick data to bars?

Can you convert market tick data  to bars?

After the presentation by Dr Ernie Chan, I wonder if this was possible based on other conversations I have had with other people:

Here is how it played out:

 

Do you know of any simple calculation you know of to convert tick data minute bars?

Nowadays I typically let my partner handle the tick data processing.
But this generally requires a loop which keep track of the tick values and the time elapsed. Whenever the elapsed time reaches or exceeds the duration of a bar, you save the latest tick into an array, and reset the elapsed time to zero.
This of course assumes that the tick appear in time order. If not, it can get complicated.
I always thought there was some sort of average or mid point you needed to calculate among the ticks to create the bar. That was the info I was looking for.
If your ticks are trades, then there is no midpoint or average to compute. If your ticks are bid or ask quotes, then you have to find out whether it replaces the BBO quotes. A binary search tree would be useful here. But it depends on exactly what your tick data is: every quote, or just the BBO updates.

In no cases should you use average or midpoint.
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Is ths a use of a utility to convert DotNet CSharp to C++?

Is ths a use of a utility to convert DotNet CSharp to C++?

A utility found useful for the masses ?

http://activemesa.com/blackmire

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Convert stock price chart to binary code for high frequency trading aka HFT needs?

Convert stock price chart to binary code for high frequency trading aka HFT needs?

Fascinating I never thought of so you tell me with this TED Talk video

Thanks to my ‘member’ for sending this

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Who can help out this guy to convert Matlab wavread code to C or C++ ?

Who can help out this guy to convert Matlab wavread code to C or C++ ?

From another newsletter subscriber:

Hi ,there. how are you, we have tried many times to make a convert wavread ( ) from Matlab to C but it doesn’t work well. So, can you help us for that or have you any idea how it make this convert

I am not sure if this can help, but try any of Matlab coder video searches. Is wavread() supported by the Matlab Coder?

https://www.youtube.com/user/quantlabs/search?query=matlab+coder

If not,, maybe someone else ccan comment to assisst

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How to convert Mupad function to Matlab M function within Mupad notebook

How to convert Mupad function to Matlab M function within Mupad notebook

This has been updated it looks like for Matlab 2014!

From within Mupad Notebook:
fprint(Unquoted, Text, “cartesian.m”, generate::MATLAB(S)):

http://www.mathworks.com/help/symbolic/create-matlab-functions-from-mupad-expressions.html
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Youtube video on How to convert market ticks to historical bar data with c Visual Cpp and DotNet Csharp

Youtube video on How to convert market ticks to historical bar data with c and DotNet Csharp

Download the Visual Studio 2012 solution file from:

The original C program can be found at: Tick2BarCS

https://fxtrade.oanda.com/community/forex-forum/topic/17004456/?page=1

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UPDATE: Sorry Youtube would not process this video so it has been moved to the QuantLabs.net Premium Membership

 

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i have a model in (*.m) & (*.mdl) form , i want to convert to VHDL code. I am trying to use SIMULINK HDL coder in MATLAB , but

i have a model in (*.m) & (*.mdl) form , i want to convert to VHDL code. I am trying to use SIMULINK HDL coder in MATLAB , but

This was posted as a question on my Linked In group at

http://www.linkedin.com/groups/Hi-all-i-have-model-3427378.S.238667063?qid=522b7f6e-502e-4cd8-ada4-5ffbfcc12295&trk=group_most_recent_rich-0-b-cmr&goback=.gmr_3427378

I responded:
Watching these should help you understand the entire process which is not easy as 1-2-3
http://www.mathworks.com/company/events/webinars/series/fpga-design/

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Working on reverse engineering 4 nacew financial trading Matlab Simulink models to convert to C++ live trading HFT platform

Working on reverse engineering 4 new financial trading Matlab Simulink models to convert to C++ live trading HFT platform 

 

Once accomplished, this will be come a big day to start implementing the live inflow and outflow trading components of this new HFT capable C++ trading platform.

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how to export Java class into JAR then convert EXE using IKVM for Dot Net C# Apps

how to export Java class into JAR then convert EXE using IKVM for Dot Net C# Apps

Learn more what I do with this here.

www.sourceforge.net/projects/ikvm/files/ikvm/

www.ikvm.net/index.html

 

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