Due to some economics/regime problem, I can only have access to non full-tick data from an exchange. To make the problem precise, a full tick data $X$ is a series of $(t_i,p_i,v_i)$ for $0 \leq i ...
I need to implement a few "strategies" for a university project I am doing. The emphasis of the project is not on the strategies, but the technical (programming) means by which they are implemented. ...