Re: [GT] Real Trading?

[tomasz m. <T.M...@bf...>]

On Fri, 23 May 2003, Raphael Hertzog wrote:

> The database doesn't have to store them ... you just must have a source
> of hostoric and real time intraday data. It doesn't matter if it's
> stored in a local database or if it's downloaded again & again. :-)

While there exist many sources of on-line intraday data, there  are no cheap
sources of historic intraday data AFAIK. Therefore storing them as they are
downloaded is a must. We are talking about 10 MB/day or more (about 20 stocks),
so it has to be efficient database and not cheap text format.

And it is not only open/high/low/close what matters. Also bid/ask prices and
sizes as well as volume and price of single trades in relation to bid/ask
matters. It would be good to include also level2 quotes, but they are more
difficult to get and take even more space.

There was a discussion about using neural networks and other models. It has to
have the same or better information as traders have. Without including bid/ask
and possibly level 2 I see it as hopeless. The strength of computer system may
be that it is able to analyze more stocks/indices at once. But it must have all
available data.

Best regards,
--
Tomek