How To Read Tick Data & Create Tick Bars & Range Bars in R?

Currency market is a highly complex decentralized system of exchanges connecting brokers with interbank market where the big banks operate. Electronic Brokering Services (EBS) and Reuters are two big interbank platforms that have most of the market share. The minimum ticket size required for doing business on these two platforms is 1 million units. These… Continue reading How To Read Tick Data & Create Tick Bars & Range Bars in R?

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How To Use State Space Models In Trading?

In this post I will build a state space model for trading forex. State state modeling sounds close to SpaceX and NASA than to the world of stock trading and forex trading. State state modeling was invented in early 1960s when NASA needed a recursive algorithm to solve the navigation of Apollo mission. Kalman invented… Continue reading How To Use State Space Models In Trading?