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I think storing in UTC format is good practice. Here couple ideas that may motivate someone to deviate from that: Some markets are subject to day light saving time shifts and thus it introduces additional computations to convert back and forth, having to keep track of the 2 times a year the shifts occur. Some only limit themselves to an individual market, ...


In the dot.com era the Internet was considered a-winner-takes-it-all market, new tech start-ups (like Netscape, Amazon.com and the famous Pets.com) was measured by how much the capital they where able to chew through, the logic being that the more they spend the more aggressive they where (at least in the investors eyes), conquering this new market known as ...


This kind of question is exactly why spot FX takes T + 2 to settle. Exactly why you are looking for a convention is, I would say, because the whole thing depends on the conventions your trading partners use. You need to refer to the provider from whom you are getting the data. For me, the trade date is most likely the time of the provider pricing engine ...


no, you should use your original variables, no truncating, normalizing or whatever. And remember that you need Johansen only in case of more than one independent variable.


Interactive Brokers provides it as a field called count. In this page of the IB API Reference Guide count is described as follows When TRADES historical data is returned, represents the number of trades that occurred during the time period the bar covers.


Its not available for free anywhere that I know of. Your only option is to purchase tick data for the instruments you're interested in and then count the ticks per trading session (or whichever timeframe you want to use). EDIT: This link might be interesting for you regarding how to get market data. ...

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