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using (var tf = TeaFile<Tick>.OpenWrite(filename)) creates and opens the file. the using directive and the brackets mean that at the cloing bracket the file is closed. so if you want to capture data from a provider you open the file oncy for the lifetime of the application and then all tf.Write for every tick. Before the app closes you close the file ...


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The justification for that microprice is empirical, not theoretical. In most market I can think of, most of the time, if there are more orders and more size on the bid than the ask, then it's more likely that that BBO will tick up rather than down. And the greater the imbalance, the higher the probability of an uptick (and vice-versa for downticks). For ...


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Its called 'universal' because, unlike usual models trained on time series for a given stock/ contract, this model is trained on a POOLED data set (in this case 500 or so stocks) and is then shown to be applicable for forecasting any stock, including those not included in the training data. This is different from the usual approach where, say, you use time ...


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