Data may be used in its natural time frame or may need to be processed into a different time frame. Depending on the time frame being traded and on the nature of the trading system, individual ticks, 5.minute bars, 20-minute bars, or daily, weekly, fortnightly (bimonthly), monthly, quarterly, or even yearly data may be necessary.
A data source usually has a natural time frame.
For example, when collecting intraday data, the natural time frame is the tick. The tick is an elastic time frame:
Sometimes ticks come fast and furious, other times sporadically with long intervals between them.
The day is the natural time frame for end-of-day pricing data.
For other kinds of data, the natural time frame may be bimonthly, as is the case for the Commitment of Traders releases; or it may be quarterly, typical of company earnings reports.
No comments:
Post a Comment