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Average Futures Activities


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  #1 (permalink)
fundsies
Richmond VA
 
Posts: 7 since Mar 2013
Thanks Given: 2
Thanks Received: 1

Heya. I was out of town for a while for work and I was unable to trade, however I decided to chart some data I've been interested in for a while.

This data is the average trades per hour (ATPH) and average movement per hour (AMPH) [yes, I made up some acronyms]. The averages are made over about a 7 month period (IQFeed's historical tick data). The symbols I picked were based on what Mirus Futures offers (which are really just the main electronically traded futures).

ATPH - The amount of trades that occurred on average in that hour of the day.
AMPH - The average of the sum of all the deltas (in ticks) between each trade for that hour of the day (perhaps there's a word for this?)

Data is displayed in a format of the most active for an hour, as well as an hour-by-hour layout per symbol.

Data: Futures Activity Research

Hope someone enjoys this data. Feel free to suggest more data, different charting styles, etc!

-Brandon


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  #3 (permalink)
 solotrader 
Cyprus
 
Posts: 68 since Jul 2013


I find this idea of aggregating data is very interesting.


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  #4 (permalink)
fundsies
Richmond VA
 
Posts: 7 since Mar 2013
Thanks Given: 2
Thanks Received: 1

Glad you like it! If there is any more data you are interested in, I'll try to make it!


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  #5 (permalink)
 fanfansky 
Hong Kong
 
Experience: Beginner
Platform: NinjaTrader
Trading: Stocks
Posts: 7 since Jul 2012
Thanks Given: 17
Thanks Received: 0

thanks!!!
Great for me, A beginner~


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Last Updated on September 12, 2013


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