a*****e
发帖数: 1717 | 1 CRUDE is hard but ES this week is so tradable.
My first week on ES
SLD 1 ES false MAR11 Futures ESH1 1312.75 GLOBEX MAR 3
00:42:48 BookTrader 2.01
BOT 1 ES false MAR11 Futures ESH1 1312.50 GLOBEX MAR 3
02:02:23 BookTrader 2.01 -108.19
BOT 2 ES false MAR11 Futures ESH1 1310.00 GLOBEX MAR 3
03:50:01 BookTrader 4.02 33.63
SLD 1 ES false MAR11 Futures ESH1 1327.00 GLOBEX MAR 3
12:16:45 B... 阅读全帖 |
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m********0
发帖数: 2717 | 2 >esh1<-as.xts(read.zoo("ESH1.csv",split=1,index=2,head=T,tz="",sep=","))
> esh1<-to.minutes5(esh1)
> dvi<-DVI(Cl(esh1))
> plot.zoo(dvi)
> class(dvi)
[1] "xts" "zoo"
问题是xts不是连续的，是trading data，所以周六周日和节假日没有data，
怎么画这样的图？谢谢 |
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w*******o
发帖数: 6125 | 3 哎呀，难得领导还关心起我的个人生活来了
Day trade ES打了几瓶酱油,可以向你徒弟求证一下
Today:
SLD * ES Futures MAR11 ESH1 1,318.00 GLOBEX(USD) 13:09:54
BOT * ES Futures MAR11 ESH1 1,309.75 GLOBEX(USD) 09:30:03
Yesterday:
SLD * ES Futures MAR11 ESH1 1,305.00 GLOBEX(USD) 15:41:14 on 20110224
BOT * ES Futures MAR11 ESH1 1,295.00 GLOBEX(USD) 13:49:45 on 20110224 |
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w*******o
发帖数: 6125 | 4 谢村长，看了一下觉得不对啊,你说的那笔(上面数第二笔）
2/18/11 12:52 BUY 19 @ESH1 1333.78
2/22 16:01 1330.32 Extreme ($3,553)
今天16:01 ESH1哪来的1330.32啊? 还是我看错了? |
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a*****e
发帖数: 1717 | 5 I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
should be times around $50 as implied dollar value.
I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
Should have used roll over day of ESH1 cause it has huge liquidity since,
that should bring two extra weeks)
Most liquid minutes:
Time Value
15:59:00 1763905170.75 — this is most liquid one, no surprise, just
before daily settle
16:00:00 1710474733.25 — same reason, but last minute
09:30:00... 阅读全帖 |
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w***y
发帖数: 2537 | 6 来自主题: _pennystock版 - 转载好贴 发信人: aripple (aripple), 信区: Stock
标 题: some intrady data for ES
发信站: BBS 未名空间站 (Wed Mar 23 23:23:14 2011, 美东)
I chose ESH1 as an example, 23.25*60 = 1395 minutes per day. All values
should be times around $50 as implied dollar value.
I used one min bar data since 2011-01-01 till 2011-03-18 (settlement day),
Should have used roll over day of ESH1 cause it has huge liquidity since,
that should bring two extra weeks)
Most liquid minutes:
Time Value
15:59:00 1763905170.75 — this is most liqu... 阅读全帖 |
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w*******o
发帖数: 6125 | 7 I think ES Dec has been stopped trading?
so ESZ0 1245 approximately at ESH1 on 1240 |
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g*****u
发帖数: 14294 | 8 For ESZ0, yes.
ESH1 is the game now. |
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z***e
发帖数: 5600 | 9 S&P down 2% today that's over 25 handles
I see ESH1 @ ~1341 around 12:52 on Feb 18th, 8 pts higher than
his 1333 entry
then the loss is
19* 50 * ( 1341 - 1313 ) ~ 26600
which is 8x claimed... |
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w*******o
发帖数: 6125 | 10 村长，楼下的zooie同学检查了一下，
发现买点也是修改过的，2.18那个时间段ESH1没有1330这么低。 |
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a*****e
发帖数: 1717 | 13 这实际上是个挺复杂的问题，我查了半天settlement price。
CME的机制是SOQ。 详见：
http://www.cmegroup.com/trading/equity-index/files/SOQ.pdf
我找不到足够的data 支持或者反驳你的观点。
不过market market想套利需要的条件太多了。
1.交割价格不是ESH1的最后一个LAST。
2.套利需要market make最后时刻高处下空单，然后一定程度的HEDGE。
3.单一的market maker基本没有可能控制SOQ。
4.如果market maker只是帮多空两方settle的话，是没有套利的可能的。 |
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m********0
发帖数: 2717 | 14 I made a false assumption on previous post, RSI2 could be used both way(
momentum or mean-reverse), I did not know it has possitive
autocorrelation
for five minutes day of ESH1. let me try to understand it this way, as
it
has a concave shape, when you get in the middle 50,
RSI2= 50[1-(P-N)/(P+N)]
P-positive return for 2 periods
N-negative return for 2 periods,
you are having a balance between bid and ask, and it will be short
lived,
just like a pendulum, it will spend least time in the middle.
Y... 阅读全帖 |
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