Will share Bayesian Estimation Results - Need 6E Tick Historical Data

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Updated April 10, 2017

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Will share Bayesian Estimation Results - Need 6E Tick Historical Data

January 24th, 2015, 10:19 AM	#1 (permalink)
edolphin Raleigh Posts: 3 since Jan 2015 Thanks Given: 0 Thanks Received: 1	I am working through a Bayesian model that estimates parameters based on several explanatory variables, Orderflow Limit Order Skew Price and an Index that I built Promising results but the only data I have is the data I collect real time directly from the data sources I use (I have three all good granularity millisecond timestamps and very close the to exchanges) I need more data and I hate paying for data. Does anyone have 6E futures data, several years worth with Tick Granularity. I am glad to share model results. Thanks

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January 24th, 2015, 11:21 AM

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Big Mike

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March 9th, 2017, 04:23 PM

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NJAMC

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edolphin

I am working through a Bayesian model that estimates parameters based on several explanatory variables,

Orderflow
Limit Order Skew
Price
and an Index that I built

Promising results but the only data I have is the data I collect real time directly from the data sources I use (I have three all good granularity millisecond timestamps and very close the to exchanges)

I need more data and I hate paying for data. Does anyone have 6E futures data, several years worth with Tick Granularity.

I am glad to share model results.

Thanks

Hi @edolphin,

Did you make any progress with Bayesian analysis? I am starting to look into Bayesian Neural Networks to get probability of confidence.

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April 10th, 2017, 07:50 AM	#5 (permalink)
rleplae Gits (Hooglede) Belgium Legendary Market Wizard Experience: Master Platform: NinjaTrader, Proprietary, Broker: Ninjabrokerage/IQfeed + Synthetic datafeed Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC Posts: 2,947 since Sep 2013 Thanks Given: 2,442 Thanks Received: 5,860	Any update on this work ?

Last Updated on April 10, 2017

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