Discussion of high-frequency trading on MT5 - page 28
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On the pac, or in theory?
what is a hft-aware API ?
It's just an API that has a minimum of time delays. Obviously, the best case scenario is when the API is written by a broker:
By the term broker in FOREX I mean a broader concept than is classically accepted. This is a single scalable system, where in addition to customer service (the tip of the iceberg) there is a transparent independent (own) implementation of STP aggregation + own liquidity (ECN). To make a rough analogy with stock markets, this is an exchange (ECN) with aggregation (STP) of other exchanges and darkpools. A classic broker is an intermediary of such unified systems, so it is usually less profitable to work with such a broker in the long run than directly.
The lower the delays, the greater the sharpening for HFT.
I also saw some strange text in your link, saying that MT has no time to receive ticks... that's too much :)
This can only be seen when comparing the corresponding tick volumes through different systems: the broker's API and MT4. Moreover, through MQL4/5 you are not even able to collect ALL ticks, let alone analyse them. Because ticks come in packs, and only the last pack is available in MQL.
This, in particular, is the reason why a library (DLL) with possibility to request via MQL the extreme tick history for its further analysis is available long ago (outdated). Or at least make a simple collector of ticks without omissions.
P.S. You're not reading carefully:
If we talk about Home-FX-HFT specifications, it's something in the region of ~50ms.
This is the duration from tick origination at the source to the arrival of a trade order at the source.
P.P.S. It was many years ago on JForex API. There, on each call of the analytical part of the robot, the current time of history request was remembered. And the history was requested from the previous memorized time to the current time. Of course, with this approach there were no omissions.
It is just an API that has a minimum of time delays. Obviously, the best case scenario is when the API is written by a broker:
The lower the delays, the greater the sharpening for HFT.
nah, you didn't answer that.
filing
So through an API sharpened for HFT...
You didn't specify what I was asking - what technology is used to transmit the information. You're looking at it from the client side, who's sending requests to LP/DC/etc). I think it's the client? There's nothing to do with the broker who processes your request as he wants.
Maybe I'm not quite up to the mark, but hft trading - is it hft for whom? the client or the broker? I tend to think that you as the client, should have an execution time of less than 10ms. And you shouldn't care about anything else. what ring buffers in the request stream your broker is using. And what its processing and aggregation is doing at all.
So, getting back to our theme, "API developed for hft" - is it even in the client's hands?
I'm really curious - is this mythical hft API using something completely new instead of FIX?
If so, why powder its wrinkles, loud name like "sharpened API for HFT" - it's not so sharpened, if it's already sharpened and worn a hundred times :))
You can see it only when comparing the corresponding tick volumes through different systems: the broker's API and MT4. Moreover, with MQL4/5 you cannot even collect ALL ticks, let alone analyse them. Because ticks come in packs, and only last packs are available in MQL.
Well, this is nonsense... I'm a bit surprised by your incorrect confidence in this. (I'm not even asking for tests anymore, how did you see that...)
I think I'll refrain from commenting. They seem to be too obtuse for me.
P.S. It is easier to explain to someone who knows nothing at all. Than to a person who has erroneous and superficial ideas...
I think I'll refrain from commenting. I guess I'm a little too clumsy for my taste.
Well, that's not fair...
First you make a statement and then you don't explain what it means. What am I supposed to think about the questions I asked? That nothing happened?
By the way, note that I wasn't asking about global circuits. I just wanted to know the micro-surgery of the technologies you cover.
After all, Byte = 8 bits. And there's no getting away from it You can't get more information than it's transmitted.
So the main thing is not to hide the essence behind lofty words like Desruptor, which is essentially an ancient ring buffer with locked states.
....
well that's complete nonsense... I'm a bit surprised by your incorrect confidence in this. (I'm not even asking for tests anymore, how did you see that...)
what is a hft-enabled API ?
I meant Rumus.
Rumus under the HFT?
It's the same with the platforms! What is the fundamental difference between MT4 and Rumus - automatic trading, nothing else! But any normal market player (not a gambler) will tell you that automatic trading is a dabble! If you want to make money, you have to know how to do everything from primitive levels to wave theory.
I've been working on Rumus for over 5 years, parallel to MT.
I used to have unmatched pluses of MT4 were streaming quotes, now they are in Rumus too.
So forget about your software, information transference from one platform to another - what's it all for?
Do you trade on markets or compete with each other who has more?