{
  "id": 1021,
  "title": "Questions about the Data",
  "url": "/competitions/AlgorithmicTradingChallenge/discussion/1021",
  "author_name": "",
  "post_date": "2011-11-09T03:45:18.667Z",
  "votes": null,
  "comment_count": 1,
  "views": 3141,
  "content": "<p>This seems like an interesting challenge! &nbsp;</p>\r\n<p>I&nbsp;have a some initial questions, mostly about the definitions of trade events &amp; quote events &amp; how they're interrelated: &nbsp;</p>\r\n<ul>\r\n<li>A trade at time t might result in a new best bid/ask price. &nbsp;In that case, are the bid/ask prices quoted at time t the prices that exist immediately\r\n<em>before</em> or immediately <em>after</em> the trade executes?&nbsp; </li><li>If the best bid/ask did change as a result of a trade at event time t, would it always be reported as a quote event at event time t&#43;1? &nbsp;This seems to be the case for the 'liquidity event' trade -- is this also true for\r\n<em>all</em> trades? </li><li>Are there any other circumstances that would lead to a quote event? (e.g. best bid/ask canceled)\r\n</li><li>In figure 1 on the &quot;Background&quot; page, it shows both a trade and a quote at t=0.&nbsp; Shouldn't these be seperate events at seperate event-times?\r\n</li><li>Are all the bid/asks we're asked to predict&nbsp;<span style=\"text-decoration:underline\"><em>guaranteed</em>&nbsp;</span>to be trade events only, or are there quote events, too?\r\n</li><li>Timestamps are given in the data, but dates are not. Was all the data collected on the same day, or on different days?&nbsp;\r\n</li></ul>",
  "messages": [
    {
      "id": "6421",
      "postDate": "11/09/2011 03:45:18",
      "content": "<p>This seems like an interesting challenge! &nbsp;</p>\r\n<p>I&nbsp;have a some initial questions, mostly about the definitions of trade events &amp; quote events &amp; how they're interrelated: &nbsp;</p>\r\n<ul>\r\n<li>A trade at time t might result in a new best bid/ask price. &nbsp;In that case, are the bid/ask prices quoted at time t the prices that exist immediately\r\n<em>before</em> or immediately <em>after</em> the trade executes?&nbsp; </li><li>If the best bid/ask did change as a result of a trade at event time t, would it always be reported as a quote event at event time t&#43;1? &nbsp;This seems to be the case for the 'liquidity event' trade -- is this also true for\r\n<em>all</em> trades? </li><li>Are there any other circumstances that would lead to a quote event? (e.g. best bid/ask canceled)\r\n</li><li>In figure 1 on the &quot;Background&quot; page, it shows both a trade and a quote at t=0.&nbsp; Shouldn't these be seperate events at seperate event-times?\r\n</li><li>Are all the bid/asks we're asked to predict&nbsp;<span style=\"text-decoration:underline\"><em>guaranteed</em>&nbsp;</span>to be trade events only, or are there quote events, too?\r\n</li><li>Timestamps are given in the data, but dates are not. Was all the data collected on the same day, or on different days?&nbsp;\r\n</li></ul>",
      "rawMarkdown": "",
      "votes": null
    },
    {
      "id": "6425",
      "postDate": "11/09/2011 11:17:09",
      "content": "<p>Another question related to timestamp info..</p>\r\n<p>For a given example (row), are all of the trades sampled within a single day, or can they wrap around across two or more? While this will be apparent for the predictors, it could be hard to determine for the results (no timestamp), especially if the stock\r\n was not traded very frequently, or the shock occured late in the day. </p>",
      "rawMarkdown": "",
      "votes": null
    }
  ],
  "comments": [
    {
      "id": 6425,
      "author_name": "edramsden",
      "author_url": "",
      "post_date": "11/09/2011 11:17:09",
      "content": "<p>Another question related to timestamp info..</p>\r\n<p>For a given example (row), are all of the trades sampled within a single day, or can they wrap around across two or more? While this will be apparent for the predictors, it could be hard to determine for the results (no timestamp), especially if the stock\r\n was not traded very frequently, or the shock occured late in the day. </p>",
      "votes": null,
      "replies": []
    }
  ],
  "raw_markdown_by_id": {
    "6421": "",
    "6425": ""
  },
  "source": "meta"
}