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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: Jon Tara who wrote (16906)	9/21/2003 1:34:34 PM
From: Joseph Silent	Respond to of 18137

Hi Jon, Thanks for your help. I think between Dan and you, I have a much better understanding. I expected a complication in assuming simple cause and affect. I agree I cannot measure trader intent in any way. All I have is a data-stream and I was trying to understand exactly what information the data-stream provides because an incorrect assumption can make me conclude something totally false (and this is the usual trap). "But quotes and trade reporting still are, generally speaking, seperate data streams, often handled by seperate computer systems. So, for many markets, quote data and trade data are recorded and/or reported asychronously to each other, and you cannot determine definately in which order they occured." Now I had not thought of this at all. I can imagine this can cause all kinds of timing problems, if true. "Perhaps you are no really so concerned with cause and effect as you are with sequence? That is, perhaps your need is really to know, given a particular quote and a particular trade, which came first - the chicke... er, the quote or the trade" Yes. This was the starting question really. And as you know, good answers usually lead to more questions, with anything interesting. The data alignment you are talking about is what some researchers had done in the 90s; but from what Dan and you seem to be saying, technology has complicated life for any kind analysis -- e.g., clock drifts on the different systems and other reporting delays. "The advantage of the timestamp is that, although real-time data may lag, at least it is possible to determine that it IS lagged, and then it is possibly to align data (such as when doing a study such as yours) to at least get a rough idea of adjacency (if not precise sequence)." Yes. My original confusion was motivated by this sort of question -- is there any pattern really, measurable in a statistical sense? There would seem to be something (not necessarily useful to a trader, but simply after the fact) but one can have no hope of finding it without a sound grasp of the mess in the data-stream. I really have no idea if it is possible to say anything with the data. But I thought it might be interesting to look at, since I've seen a couple of papers that talk about such things but are not really all that informative. I am impressed with this board. It's a great board for details. Most boards are simply into bottoms and tops, but there are people here who understand market microstructure and can clarify issues (despite my confusing terminology) and I am truly appreciative. Thanks, Joseph