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I never really thought about an algo in those terms before - however I'm a big believer in the backwards forward principle. Always start at the end and work back towards the beginning.
Up until now, the trade exit always represented the end point for me. But thanks to your advice "the end" should really be represented by the goals as you mentioned above. Sure makes good sense to me.
Never tried, but what I do is based on 5-10 years of historical data, and I do not believe you could have order flow historical data going back that far. Probably best to ask your question in an order flow thread.
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
Kevin
I’m about to jump into your book, Kindle edition. Thanks for taking all the time and hard work writing it. Looking forward to it.
I too started in paper charts back in the late 90’s calling my broker for quotes etc pencil and ruler in hand. So thankful for our amazing technology these days....lol
Yes, I agree. I use ninZaVolumeDelta which I find extremely helpful. However, I run into the same problem - can't access the output for testing. I do a lot of research - not necessarily to develop a strategy, but just asking questions about the data. I think NT8 has a cumulative delta whose data can be downloaded - not sure. I might take a look at that.
Thanks for the suggestion.
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
Yeah Ninja’s Order Flow Cumulative Delta can be loaded into Excel, for example, very easily with StreamWriter and a little messing around. If you would like my StreamWriter just let me know.