Discussion of high-frequency trading on MT5 - page 22
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Can we?
Create our own market on some server as an experiment, fill it with financial tools and test our hypotheses, models, etc.
ECN allows you to create absolutely any kind of FI from scratch. The only important thing is to have liquidity at all times. This can be done in two ways: market making and large number of participants with their own bids. I gave an example with artificial indexes in the link above.
For example, with the ECN/STP already in place it is possible to trade the same EURUSD at the weekend. To do this, we need to reach such a level of ECN occupancy that on weekends the clients' orders will not lead to a dry market (there are no orders on one side of Level2, i.e. no Bid/Ask price). Then clients may well trade EURUSD between themselves on weekends.
Even now no one is stopping them from placing/changing/cancelling pending orders even when there is no trade.
Another example, you can do a paltry spread on any FI. Through HFT orders you put inside your unchanged spread SellLimit and BuyLimit at a minimum distance from each other. And due to the speed advantage, you constantly move these limits according to external spread movement. Thus clients will see the minimum spread, but it will be virtually imaginary.
It is therefore obvious that such manipulations must be taken into account when analyzing history. Moreover, you should use the so-called prices independent of your actions, about which I wrote here.
Anyway, it's a bit chaotic, because it's impossible to fit everything into a few paragraphs.
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On the flip side, the High Bid and Low Ask prices are independent. Consequently, targeting them in your strategies is preferable.
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And why is it bad (yes, there was a reasoning there, but I didn't understand it)? I'm exactly the weird guy who targets Low Bid and High Ask.
And why is it bad (yes, there was some reasoning there, but I didn't get it)? I'm exactly the weird guy who is focused on Low Bid and High Ask .
I won't repeat myself: link1 and link2.
Also this:
Notice I never once wrote about the goodness of spreads, I wrote about prices. Spreads are a shitty indicator. A much better indicator is the maximum that can be earned with perfect execution. It may turn out that you will earn more on two demos with ideal execution in the one where the average spread is wider. The reason - when scalping, it is the price extremums that are important, not the spreads before they are reached.
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Evaluating ECN/STP correctly is not as easy as STP. The fact is that if you add an ECN to the existing STP, prices will improve (more profitable trading on the real), but there will be undercutting of bars, which will worsen performance on the MT4 tester. And it is by MT4-tester that one judges the prospects of trading in this or that place. The solution to this issue has been posted.
So in order to take advantage of better prices on ECN/STP you need to change your EA algorithm. Then your scalper's result on ECN/STP will be better than on STP. Unfortunately, there is almost no information available on how to do this. You'll have to think for yourself - useful, tested.
P.S. You can see very well how the High Ask and Low Bid go during the news, when the stack dries up decently. Low Bid goes down, High Ask goes up. Only because of the momentary drying of the glass, when taking these two prices into account, it is possible to erroneously analyse them later.
P.P.S. For the stop strategies a little:
There is such a piping tool as MDP, it has been rehashed by thousands of skilled traders (in a very good way). The basis is stop orders. This basis is very dangerous as stops are another sea of execution trading nuances. The smart guys understood more or less what was going on, reduced the pings etc. But it didn't help - the best traders had horizontal bumping.
If the tester has a stop tactic as well (99% of scalpers use it in EURUSD), the trader will face great difficulties. A small advantage - there will be no partial execution for a very long time (otherwise large volumes are needed at once), which would not require the developer to change anything.
I don't know, controversial, I don't want to argue, just my imho.
I have a question for those gathered, who among you has already had experience of changing spreads with your limiters? Hrenfx' is not allowed to answer.
Keep discussing, theoretically... what more can I say.
What the fuck is trololo, come on! I find it funny to read the discussion of HFT, by those who don't even know what it's about. It was the most trivial lousy question.
Keep discussing it, theoretically... what more can I say.
I have a question for those gathered, who among you has already had experience of changing the spread with your limiters? Hrenfx' is fine.
Um, what's the problem? On a normal ECN/STP even 0.1 lot inside the spread will already narrow the spread.
I wanted to put my brand on quotes yesterday, they did not let me do it :)