Real work on MT5 NDD - page 3

[Andrey Dik]

hrenfx:

The simplest ECN check:

1. Placing a limiter inside the spread changes the price and holds it (price does not get better) until the limiter is executed.
2. Placing two opposite limiters inside the spread with the same opening price makes an instant execution of both - bought from yourself.

Sorry, you didn't clarify, is this a test to deny the presence of ECN or to confirm the lack of such presence? :)

[[Deleted]]

hrenfx:

The simplest ECN check:

1. Placing a limiter inside the spread changes the price and holds it (price does not get better) until the limiter is executed.
2. Placing two opposite limiters inside the spread with the same opening price makes an instant execution of both - bought from yourself.

P.S. In ECN you can easily play with the spread, making it very small on some not very liquid FI. For example, if the average spread is 50 pips, you can make the average spread 20 pips elementary - keep the limiter at 20 pips away from the current price all the time. This is a simple example of how focusing on the spread as a characteristic of trading conditions is wrong.

Thank you, good point.

[hrenfx]

joo:
Sorry, you did not explain, is this a test to deny the presence of ECN or to confirm the absence of ECN? :)

The question is understood as: NO or NONE?

If the conditions I wrote above are met, then you are dealing with an ECN. If they do not, then it is not an ECN.

Pure ECNs are exchanges. In Forex there are virtually no pure ECNs, there is an ECN/STP scheme where there is internal liquidity (ECN) and external liquidity (STP).

If there is no opposite internal order on your order in the internal ECN, but there is a satisfying external price with STP, then your order is sent outside. There it can be checked or executed (partially or fully), because the sending of your trade order is time-consuming. Therefore, in an ECN/STP scheme a limit order may be redirected but cannot be executed with a negative slippage.

If we are talking about market orders, they can be executed with any slippage sign. And depending on how the market orders are implemented, there are options where market orders are either redirected as limiters or partially executed.

P.S. ECN pricing allows for better pricing and increased liquidity. For example, on ECN at night, when night popular scalpers are active, there is a real war between robots - who is more perfect. Robots overlap each other's orders. The smartest one captures orders (limits and markets) of the others, leaving them with nothing. In this case the broker is very profitable: the best prices, almost perfect execution and profit in the form of full two commissions (on each side - clearing).

P.P.S. On Metatrader ECN/STP schemes of work a minimum, almost all - STP, or kitchens. I wrote about manipulations of STP and pricing on MQL-forums.

[Mykola Demko]

komposter:

Oh, the legendary composter is not a frequent guest here :)

Thanks for your work on the fourth forum, I've learned your codes.

I would like to see you here more often.

If there was a magic button to share the rating, I'd be sure to give you a couple of thousands of mine.

[hrenfx]

An old thought out loud:

Since anyone can put a price inside the spread and have a direct impact on the price, the appearance of any price is purely probabilistic. That is, you can always (and should if you do it properly) construct a distribution of the appearance of a particular price from a small range from the current price.

[[Deleted]]

And as an option for the topiker, I think you can put in limiters.

[[Deleted]]

hrenfx:

I would like to ask you another question - how does the system behave depending on the execution policy (ORDER_FILLING), i.e. the price of the order fits, but the volume does not, what will be on the chart?

[Valerii Mazurenko]

hrenfx:

2. Putting two opposite limiters inside the spread with the same opening price makes instant execution of both - bought from yourself.

Something I doubt. In the early days of internet trading in Ukraine, even clients of the same broker could not buy/sell from each other until a central counterparty came along.

And even in QuickBooks I could not buy/sell by myself.

So the second criterion seems to be false.

[hrenfx]

220Volt:

I want to ask you another question - how the system behaves depending on the execution policy (ORDER_FILLING), i.e., the price of the order fits, but the volume does not, what will happen on the chart?

1. If your volume is not greater than the opposite bid, your bid will be filled in full (provided there are no other bids at the same price).
2. If your volume is greater than the opposite order, then your order will be partially executed (by the volume of the opposite order). Accordingly, the limit order volume will be cut off and it will continue to hold the price until someone fills it.

P.S. This is the basics of pricing. Look through any literature on the subject. Or, better yet, try it out on the demo.

[hrenfx]

notused:

I doubt it. In the early days of internet trading in Ukraine, even clients of the same broker could not buy/sell from each other until a central counterparty appeared.

And I could not buy/sell on my own in QuickBooks either.

So the second criterion seems to be false.

The second criterion is absolutely correct - you can try it. The curvature of stock exchange and brokerage software is not an argument.