Discussion of high-frequency trading on MT5 - page 55
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So many words are used in the thread, but the people who are interested in the practical sense are of little use.
There is no discussion specifically about Level 2 and what is interesting to analyse there.
What may be effective parameters (quantitative and qualitative) with the help of which it would be interesting to build different models for profitable trading.
What approaches to use and the like.
Again, when discussing the subject nobody has even mentioned an interesting direction as risk management when opening positions.
It would also be interesting to talk about the minimum requirements (knowledge - skills) for a researcher of algorithms.
Discuss useful books and articles.
We may discuss the question how to reduce unavoidable expenses (spreads, commissions), what is the minimal amount, if we do not use brokerage companies, and where to go with this amount (companies, which provide turnkey solutions, that allow to save much money).
There are a lot of useful topics, but for some reason it always comes down to questions and quibbles.
Perhaps also the discussion does not come out, as there is no critical mass of people who at least for several months engaged in the construction of different models falling under the terminology of HFT, and if so, then nothing worthwhile will come out.
P.S. Amused by the approach of people, they say - I will download the story, take a crack that something might work or not, unfortunately or fortunately, to find something sensible in Level 2, you really need to spend a lot of time.
Good luck everyone.
They told me to study, Son, and now it turns out that DDS also exists, so we need a couple more people to discuss Renat's and my opponent's level.
So many words are used in the thread, but the people who are interested in the practical sense are of little use.
There is no discussion specifically about Level 2 and what is interesting to analyse there.
What may be effective parameters (quantitative and qualitative) with the help of which it would be interesting to build different models for profitable trading.
What approaches to use and the like.
Again, when discussing the subject nobody has even mentioned an interesting direction as risk management when opening positions.
It would also be interesting to talk about the minimum requirements (knowledge - skills) for a researcher of algorithms.
Discuss useful books and articles.
We may discuss the question how to reduce unavoidable expenses (spreads, commissions), what is the minimal amount, if we do not use brokerage companies, and where to go with this amount (companies, which provide turnkey solutions, that allow to save much money).
There are a lot of useful topics, but for some reason it always comes down to questions and quibbles.
Perhaps also the discussion does not come out, as there is no critical mass of people who at least for several months engaged in the construction of different models falling under the terminology of HFT, and if so, then nothing worthwhile will come out.
P.S. Amused by the approach of people, they say - I will download the story, take a crack that something might work or not, unfortunately or fortunately, to find something sensible in Level 2, you really need to spend a lot of time.
Good luck to all.
So contribute with your part at least some constructive feedback on the topic. For my part I did a minimum of education:
How much do you think I may have received in response? The answer is zero. How much do you hope to get? The answer is zero.
I have a simple purpose - for people to think. Last night I had the time and opportunity to debate with Renat for the umpteenth time. For some reason our discussions with him always attract people's attention. If someone has begun to think badly of me, I don't care. But if someone has at least started to think about it, that's the best thing that could have happened.
P.S. And I love the fact that sometimes, in the course of a discussion, I suddenly manage to articulate succinctly and simply what I sometimes have to go on and on about for a very long time. For example, that's what happened here.
1) FX-HFT is a class of trading strategies, for trading in the FOREX market, whose main distinguishing featureis the sensitivity to the quality of trade order execution.
2) ............, the correlation between MO profits and trade order execution speed is ~1.
Does everyone agree with that?
The first point is not a strict differentiator for HFT. The point is that execution quality is also very important for long term strategies working with large positions.
On the second point - there is usually no linear correlation between profit and execution speed. It is better to restate it as follows: IO profit decreases as delays in receiving information / delays in order execution increase.
We can add the following paragraph: short time of holding an unhedged position is characteristic of HFT strategies.
I fully agree with hrenfx that there is not and cannot be an exact wording.
There is no discussion of Level 2 specifically and what is interesting to analyse there.
We may start with the classics:
1. Volume imbalance in bids and offers.
2. The influence of large bids on price behavior. Large bids, on the one hand, may be a means of manipulation (in this case it is worth trading against such bids), on the other hand, it is an inefficient change in the size of the position which informs the market of someone's expectations (in this case it is worth to front-end such bids).
3. The form of volume distribution in the cup (the slope is especially interesting).
4. Spread size by best prices and vwap spread for market orders of a certain volume.
For more detailed data (Level 3):
1. Length of order queue on each level.
2. the intensity of order placements, cancellations and modifications at each level depending on the distance to best prices.
For deal flow:
1. Aggressiveness of market orders.
2. Distribution of market order volumes.
3. Probability of informed trading (the last of the approaches I know of:http://en.wikipedia.org/wiki/VPIN).
4. The intensity of the buying and selling flow.
5. Market impact of orders of a given volume.
This will be enough to start with. Then you will probably have an understanding of where to dig and what to smoke.
The main thing is to open a position without delay. But that's not the case. To open a position at a fixed price of 1.0 lot and 100.0 lots is not the same thing.
With a larger lot, the quality of execution, in theory, is more relevant.
P.S. In this thread, the issue of lots has been discussed, if you read everything, most likely your question will fall away.
So many words are used in the thread, but the people who are interested in the practical sense are of little use.
There is no discussion specifically about Level 2 and what is interesting to analyse there.
What may be effective parameters (quantitative and qualitative) with the help of which it would be interesting to build different models for profitable trading.
What approaches to use and the like.
Again, when discussing the subject nobody has even mentioned an interesting direction as risk management when opening positions.
It would also be interesting to talk about the minimum requirements (knowledge - skills) for a researcher of algorithms.
Discuss useful books and articles.
We may discuss the question how to reduce unavoidable expenses (spreads, commissions), what is the minimal amount, if we do not use brokerage companies, and where to go with this amount (companies, which provide turnkey solutions, that allow to save much money).
There are a lot of useful topics, but for some reason it always comes down to questions and quibbles.
Perhaps also the discussion does not come out, as there is no critical mass of people who at least for several months engaged in the construction of different models falling under the terminology of HFT, and if so, then nothing worthwhile will come out.
P.S. Amused by the approach of people, they say - I will download the story, take a crack that something might work or not, unfortunately or fortunately, to find something sensible in Level 2, you really need to spend a lot of time.
Good luck everyone.
I think in concentrated packed form can not shake the participants of the forum such information, but in crumbs, it is still there, as for me so for sure.
Well, the one who collects, filters, compresses and systematizes them will not lay out such an information package at no cost.
One will try to find even hrenfx messages in such a nicely assembled form:
I have found only this one and it has less than 10% of the abovementioned themes. For exampleHow to analyse Level2 of a currency pair.i did not find any substantial recommendations, examples. Only that it is important and analogous to stock charts, but it is not clear how much the analogy is correct and whether the same algorithms can be used with FOREX charts.
But thanks a lot to hrenfx anyway !
hrenfx has no material benefit from this, but benefits socially, thus increasing the probability of "rapprochement" with large capitals. I.e. the profit motive grows, because of the intelligent reasoning on the forum.
But once again, get rid of the illusions of getting a free, compact package of valuable information on forums and even books.
The first point is not a strict distinction for HFT. The point is that execution quality is also very important for long term strategies working with large positions.
On the second point - there is usually no linear correlation between profit and execution speed. It is better to restate it as follows: IO profit decreases as delays in receiving information / delays in order execution increase.
We can add the following paragraph: short time of holding an unhedged position is characteristic of HFT strategies.
I fully agree with hrenfx that the exact wording is not and cannot be.
We can start with the classics:
1. Volume imbalance in bids and offers.
2. The influence of large bids on price behavior. Large bids, on the one hand, may be a way to manipulate (in this case it is worth to trade against such bids), on the other hand, it is an inefficient change in the size of a position that reveals information about someone's expectations to the market (in this case it is worth to front such bids).
3. The form of volume distribution in the cup (the slope is especially interesting).
4. Spread size by best prices and vwap spread for market orders of a certain volume.
For more detailed data (Level 3):
1. Length of order queue on each level.
2. the intensity of order placements, cancellations and modifications at each level depending on the distance to best prices.
For deal flow:
1. Aggressiveness of market orders.
2. Distribution of market order volumes.
3. Probability of informed trading (the last of the approaches I know of:http://en.wikipedia.org/wiki/VPIN).
4. The intensity of the buying and selling flow.
5. Market impact of orders of a given volume.
This will be enough to start with. Afterwards you will probably get an understanding of where to dig and what to smoke.
Thank you. This is quite valuable information which leads to interesting ideas. The only thing about "short" position holding time I would like to estimate the MO of such time quantitatively. 1sec, 0.1...? For FX-HFT.
I understand that the boundary is relative, but still. Pipsing is 10 min +- order (x10), when the MO of holding is 100 min, it is intraday, below 1 min it is possibleFX-HFT, but since any term is a product of social group agreement, I wait for confirmation.
What is level3 ? forgive the fool....
Sometimes you are so reluctant to write the obvious to yourself. A big request: think.
If we take any TS (for simplicity let it be profitable) and draw a graph of relative profitability (Gain) from volume, we see a horizontal line on the left that gradually (from left to right) goes down - this is the ceiling of TS liquidity. The further (to the right) the Gain goes into the negative zone, the higher is the scalability of the TS.
Likewise, if we plot the absolute profit (Absolute Gain) for a TS depending on the volume, we will see the rise, then the top and the descent to the negative zone. I.e. any profitable system can be brought to loss as volume increases.
In the Gauge each line (price and volume) is called a band. The evaluation of the execution always goes by the band. For example, you see a certain bestband, you want to trade it completely. If you always manage to do so, this is an ideal execution. And if it's like that on the real, it's not a market execution.
I've already mentioned the redirects several times and gave a script for assessing them. The quality of execution is characterized by several indicators. And in fact it is always subjective.
Try to find it in such a nicely assembled form, even hrenfx's posts:
I found only this and there less than 10% of the topics stated above are disclosed. For exampleHow to analyse Level2 of a currency pair.i did not find any substantive recommendations, examples.
This is a matter for your attention. Here it's described how to analyse (make up) Level2 of a currency pair. Trust me, I don't want to search for links to my own posts for the tenth time.
Hrenfx has no material benefit from it, but benefits socially, thereby increasing the likelihood of "rapprochement" with big capital. That is, the profit motive grows, because of the intelligent reasoning on the forum.
There is no "getting closer" to the large capitals. You overestimate my writing. Hardly anyone reads it.
IO profits from chattering don't go up. Sometimes it even decreases because it takes time away from work.
I have written many times about the reasons for my babbling(from recent times).
here's one on level3:
What is market depth or forex level 3
And also a personalised image of "market depth forex level 3"
Mm-hmm... Fucking clownery.
If you don't believe me, at least believe the reputable Renat. The entire VHF arbitrage is raking out primes, even before the liquidity providers come in. Mocking VHF is just like planning to write a linux-like OS all by yourself.
VChT is there, I know personally people who practice it in the stock market, mathematicians and programmers as a whole department, chewing out fluctuations in inefficiencies, but take any of them and pull them out of the team, deprive them of all the delights of access, capital and they are nobody. Even 5 pull them out, they are just nerds 0 without a stick, able to filter out certain types of noise, and overload each other with terms. Individuals have no business here. This is big business. All the talk in this thread is manipulation for suckers to attract attention to a certain broker, I will not point the finger, everyone knows who I mean.
If it were possible to verify the identity of Mr. hrenfx, it would turn out to be Denis Peganov, director of development of the company. I'd bet a grand zelini on it. There are also several other potential clones who are shaking up the topic, provoking and stirring up interest in "new features" by constantly making redirects to this company's site(s) and\or associated with it. I personally don't give a shit about their PR methods, but don't confuse xyz with a finger gentlemen.
Wake the fuck up...
The classics have ruled for over a hundred years and will continue to do so. Those who want to practice trading themselves should not be distracted by all this newfangled bullshit. It is a provocation. A way to distract and lure you into territory where you will be beautifully buried.
I worked at 2 major funds, where there were separate, casino-like financial psychology specialists (game psychologists..etc.), to develop the most profitable patterns, profit/loss chains that give maximum "involvement" of investor, his pleasure, hope, with minimum resulting payoff (for him). And such specialists are sometimes paid more than analysts and risk managers. The same with DCs, they employ PR and financial psychologists who resonate with society, their aim is to hook and retain.
They have their own brokerage companies and their own brokerage companies that do not have their own brokerage companies. It's a scam. Luckily no one will listen to me, because your losses are my profit, at least partially, mostly of course it is the DC's profit.
Life is not good without a sucker.