Trading Strategies with Condition Codes in Tick History Data
The financial market has witnessed an increasing volume of algorithmic trading, especially as various AI techniques are emerging. Today most transactions in financial markets are executed by automated trading systems. In this environment, comprehensive structured tick history data could provide great value in terms of ideation, building, and testing trading strategies.
This paper explores the indicative equilibrium price during the pre-opening session (POS) as a trading signal and investigates its relationship with the price movement after the market open.
Report highlights
- Analysis of the Pre-opening session and how it provides better price discovery.
- Overview of Bloomberg’s Tick History dataset, which covers the tick history for asset classes including equities, currencies, swaps, fixed income products, and futures from over 600 global exchanges starting as early as 2008. Deep dive into the potential uses cases of the dataset, including trading strategies discussed in this whitepaper.
- Review of different trading strategies that can be derived based on the pre-opening auction signal.