| 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 accounted for. The daily volatility specified is applied through tick-to-tick volatility. |
| Random Date Range |
Some testing methods require random slices of time to be created within fixed time periods. The minimum period within this range can be specified. |
| Price |
Fixed Price Seed |
This is the initial value of price to start the model. This can be disabled allowing the system to select random starting prices between a specified minimum and maximum. |
| Bounds |
Minimum and maximum price bounds may be enabled and specified. The generated price will not penetrate these limits. |
| Hard/Soft bounds |
The specified price bounds are strictly observed however the price behaviour as they are approached is controlled by this option. Hard limits will simply reverse the trend immediately on the next tick while Soft limits will cause this effect to be more subtle. |
| Tick Size |
The contract minimum tick size is currently not enforced. |
| Distribution |
Currently only the Normal Distribution is modelled. |
| 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 may 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. |
