| Time |
Weekends |
7 Day markets may be generated by selecting this option. The effect of this is that prices will be generated on these dates but if weekends are disallowed there will be increased gapping on the Monday open, as the market is not able to trade on the weekend. |
| Ticks Per Day |
Market liquidity may be accurately
simulated. The daily volatility specified is translated to tick-by-tick volatility. |
| Random Date Range |
Some testing methods require random slices of time to be created within fixed time periods.
Here the minimum period within this range can be specified. |
| Price |
Fixed Price Seed |
This is the initial value of price to start the
simulation. This can be disabled allowing the system to select random starting prices between a specified minimum and maximum. |
| Bounds |
Minimum and maximum price bounds can be enabled and specified. The generated price will not
exceed these limits. |
| Hard/Soft bounds |
The specified price bounds are strictly observed however the price behaviour as they are approached is controlled
here. Hard limits will simply reverse the trend immediately on the next tick while Soft limits will cause this effect to be more subtle. |
| Normal |
Daily Volatility as a percentage is set
here . |
| Bias |
A trend factor can be set. e.g. 5% means
that there is an underlying trend of 5% growth per year. |
| Shock |
Setting for example 100 Days/Event at 3
Magnitudes specifies a probability that about every 1 in 100
days there will be a price event up to 3 times the normal
standard deviations in size. |
| Volume |
Bounds |
Minimum and maximum volume bounds may be specified. Realistic volume data are synthesised based on trend strength and daily range characteristics. |
| Dirty Data |
Bad Ticks |
The percentage of bad ticks can be enabled and specified. The percentage refers to the number of bars that are affected by corruption. For example a setting of 2% means that 1 in 50 bars will contain an error
of some kind. |
