I would like to begin analyzing the statistics of price at volume for each 5 minute bar to obtain, for example, average price, standard deviation of price, mode, median, skewness, and kurtosis of price based on volume.
For starters, it's not clear to me which one of the approaches below should be pursued to perform calculations on price at volume within each bar:
1. Use a primary data series like 5 minutes, and a secondary series like tick and perform calculations within "if (BarsInProgress==1)"
2. Use a primary data series based on tick, and secondary data series based on 5 minutes, and perform calculations within "if (BarsInProgress==0)"
3. Or, can all the calculations be done with just a 5 minute primary data series, and use “On each tick” and then do calculations inside OBU?
What is the best choice regarding On Each Tick, On Price Change, On Bar Close in terms of computational load, so that you wouldn't swamp your CPUs or data throttling? I am thinking you would have to use On Each Tick in order to get at the price a volume for each trade (tick). In the end, you would just need enough ticks for the statistics to be sufficient (perhaps more than n=100).
For starters, it's not clear to me which one of the approaches below should be pursued to perform calculations on price at volume within each bar:
1. Use a primary data series like 5 minutes, and a secondary series like tick and perform calculations within "if (BarsInProgress==1)"
2. Use a primary data series based on tick, and secondary data series based on 5 minutes, and perform calculations within "if (BarsInProgress==0)"
3. Or, can all the calculations be done with just a 5 minute primary data series, and use “On each tick” and then do calculations inside OBU?
What is the best choice regarding On Each Tick, On Price Change, On Bar Close in terms of computational load, so that you wouldn't swamp your CPUs or data throttling? I am thinking you would have to use On Each Tick in order to get at the price a volume for each trade (tick). In the end, you would just need enough ticks for the statistics to be sufficient (perhaps more than n=100).
Comment