Discussion of high-frequency trading on MT5 - page 77

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gunia:

But I understood that lochoft is not pushing an ATS but a kind of constructor of them and started the conversation here with the aim of improving this constructor, but apparently did not understand that it is necessary to provide sufficient ground for discussion. If not, then I agree that this is just an attempt to promote a black box in the wrong place.

Indeed I work with ATS builder, but I'm not "pushing" it, I'm interested, not so much in improvement, as there is a lot in it, but in principles of construction and layout of HFT strategy. I'm interested in strategic principles of building, not in details of components, be it methods or blocks for multi-threaded data reception and synchronization, multi-threaded order sending... or the preparation of off-the-shelf analytical blocks.

gunia:

I understand that you'd be happy to have a competent discussion, but without the specifics, how is it possible?

I agree that guessing from an image is an idle task.

One should at least know some points, for example, the algorithm obviously takes a tick vector to the left of the entry point in a certain direction and then either accumulates some number of such vectors in pure form or clusters and averages them for each class to compress the number of vectors and accelerate further the comparison process, the question is how long a tick vector is taken? Or is it possible to set the length custom? How many unrefined patterns for a given direction are taken into account? If pre-classification and averaging is used, into how many classes is it split and is inconsistency between classes taken into account?

There is a plethora of such systems and revealing such general details will in no way take away the competitive advantage of the system. As such they mainly lie in the fine-tuning, not the general type of NS architecture.

Please consider the specifics of the community))) I, for example, may well believe that your system can make a profit, but you need a bit more details to buy it.

Taking into account above stated, I will add that I'm not going to sell not only ATS builder itself, but created with its help strategy, but I'm interested in mutually beneficial constructive discussion and exchange of information, useful for creation and improvement of such strategy.

As for the neural network, analytical unit, I'm quite satisfied with its representation as a black box capable of detecting and establishing the hidden relationships between sets of input patterns and given output signals, and if it works, I do not care filtering or clustering is used before training and what kind of classification the corresponding algorithms belong to, although I think that this information can be obtained from the developers.

IMHO, what may deserve attention, with respect to a neural network analytical unit, is the structure of the input patterns themselves and the desired output signals, so I am interested in discussing data types and sources, their potential relationships, and ideas for the logical structure and processing of output signals.

But unfortunately, I already have the impression that I'm unlikely to have such a discussion here...
Figuratively, my impression must be like that of a foreign tourist driving a car in the former USSR who wants to clarify his travel itinerary and local driving skills. But in response, getting questions from local chauffeurs about the intricacies of the carburetor and the number of balls in the ball bearings, as well as genuine surprise - why do you not lay out drawings engine car, and from those in uniform - why he had not camouflage (Hakka)) colour and foreign labels, immediately covered and in the garage ...!!)))

Mathemat:

... "So aggressive... ...in the "VCK-KGB style" my behaviour would have been if I'd have banned you straight away - without exhortation...

Let's see)

 
lohhft:

Given the above, I will add that I am not going to sell not only the ATC constructor itself but also the strategy created with it, but I am interested in a mutually beneficial constructive discussion and exchange of information, useful for creating and improving such a strategy.

Let's see)

That's why I say - post all the sources, there are competent people here, all aimed at cooperation and improvement. Why discuss "if-you-don't-know-what"? Otherwise, talk ... talk... and this way it turns out - "buy and discuss"? :) Post all the sources here, and we'll discuss it.

 

lohhft:

...I am interested in a mutually beneficial constructive discussion and exchange of information useful for creating and improving such a strategy.

Well, no problem, go for it. I have something to share specifically on broker f****n. From you so far zero in phase.
 
lohhft:

Let's see)

Shall I tell you a joke?

A man goes to the zoo and there's a cage with a monkey in it. The man takes out a banana and starts eating it. The monkey drools...

  • Man says: "I have very good bananas, look how juicy and tasty they are, I have a carload of bananas there."
  • Monkey says: "Give me a banana."
  • "I won't, I'm not selling them. I don't even give them away. But you'll look at me here every day, I'll come here every day and eat these bananas. Do you see how delicious they are?"

How many days do you think it will take the monkey to go mad?

 
lohhft:

Figuratively, my impression should probably be the same as that of a foreign tourist arriving by car in the former USSR.........

It's more like a local who has lost his mind and thinks he's a tourist with an americana (preacher's voice).



 
newdigital:

That's why I say - post everything with sources, people here are competent, all aiming at cooperation and improvement. Why discuss "if-you-don't-know-what"? Because talk... talking... and this way it turns out - "buy and discuss"? :) Put all the source code here, and we'll discuss it.

I believe I've already explained that my EAs are not usual MQL, they are specialized and adapted to a distributed computing system based on my engine. It is therefore no use exposing them without the engine itself as they won't work anywhere and even their source code is not comprehensible since the major part of the code is based on the engine components. There are three basic functions:

string GetObjectProperty( string ObjectProperty );
bool SetObjectProperty( string ObjectProperty, string Value );
string InvokeObjectMethod( string ObjectMethod, string MethodParam );

With these functions, the Expert Advisor creates and works with system objects, i.e., it gets and sets their data fields (properties) and calls functions (methods), and already through these objects, it controls all system components. For example, you can open objects from the EA and launch other terminals, receive data from these terminals, send orders, launch other EAs and communicate with them via their corresponding objects, etc. For example, the function of training a neural network for a certain symbol in an EA is as follows

bool TeachNeuroNet(string symbol, int layers, int neurons, int epoch)
{
if(GetObjectProperty(symbol + ".Teached") != "true")
{
SetObjectProperty(symbol + ".Layers", layers;)
SetObjectProperty(symbol + ".Neurons", neurons);
SetObjectProperty(symbol + ".Epoch", epoch);
return(SetObjectProperty(symbol + ".Teached", "true"));
}
return(false);
}

The code shows that in order to understand even such a very simple function, the programmer has to know the architecture and class (type) descriptions of the objects the EA operates with, or, for a bit of a test, the engine itself. The Properties dialog is shown in the screenshot from #comment_480446. Well now, I hope you understand that I'm not exposing source code, not because I hide them, but because they don't make any sense without reference to the engine itself, and it's forbidden here - Mathemat (Comrade Che))

TheXpert:
Well, no problem, go ahead. I have something to share specifically on the f****n broker. From you so far zero in phase.

For f****n etc. I've seen many discussions about it in this thread and even hints on using it, but did not find any answer. And in my experiments where I tried to include LevelI2, and also tick volumes, I also did not find any regularity between them and the type of price change, although you can certainly assume that my data or methods are not correct, but what is your opinion about it?

gunia:

It's more like "figuratively", a local who has been moved by the mind, deciding he's a tourist with an americana(preacher's voice)....

...it's worse when you're not touched and you're just stupid...

 
lohhft:

and what's your opinion on this...??
It's not much of a glass...
 
lohhft:

I think I've already explained that my EAs are not ordinary MQL, but specialised ones adapted to a distributed computing system based on my engine. Therefore, it makes no sense to display them without the engine itself as they will not work anywhere and even their source code will not be comprehensible since the major part of the code works with the engine components. There are three basic functions:

string GetObjectProperty( string ObjectProperty );
bool SetObjectProperty( string ObjectProperty, string Value );
string InvokeObjectMethod( string ObjectMethod, string MethodParam );

With these functions, the Expert Advisor creates and works with system objects, i.e., it gets and sets their data fields (properties) and calls functions (methods), and already through these objects, it controls all system components. For example, you can open objects from the EA and launch other terminals, receive data from these terminals, send orders, launch other EAs and communicate with them via their corresponding objects, etc. For example, the function of training a neural network for a certain symbol in an EA is as follows

bool TeachNeuroNet(string symbol, int layers, int neurons, int epoch)
{
if(GetObjectProperty(symbol + ".Teached") != "true")
{
SetObjectProperty(symbol + ".Layers", layers;)
SetObjectProperty(symbol + ".Neurons", neurons);
SetObjectProperty(symbol + ".Epoch", epoch);
return(SetObjectProperty(symbol + ".Teached", "true"));
}
return(false);
}

The code shows that in order to understand even such a very simple function, the programmer has to know the architecture and class (type) descriptions of the objects the EA operates with, or, for a bit of a test, the engine itself. The Properties dialog is shown in the screenshot from #comment_480446. Well now, I hope you understand that I'm not exposing source code, not because I hide them, but because they don't make any sense without reference to the engine itself, and it's forbidden here - Mathemat (Comrade Che))

For f****n etc. I've seen many discussions about it in this thread and even hints on using it, but did not find any answer. And in my experiments where I tried to include LevelI2, and also tick volumes, I also did not find any regularity between them and the type of price change, although you can certainly assume that my data or methods are not correct, but what is your opinion about it?

...it's worse when you can't move and you're just talking rubbish...

I'm not a programmer at all ... I don't get it... I can't get a banana :(

Can it be attached to signals? That is, nothing at all, just words on 82 sheets? Give people a sample of the source code... You're a programmer ... Coders will discuss it, I'll test it everywhere... Do the forum a favour - 82 pages here at your place... or you and me... I'm confused as to who's got who...

 
lohhft:

...it's worse when you can't get a move on, and you're just talking dumb fluff...

Strange that you didn't like it... I thought the subject of intruders in the USSR turned you on.

Thanks a lot by the way for the code full of deepest meaning! Here's one of my secret projects in response, but it's confidential, you know)))

#property version   "100.00"
int OnInit()
  {
   return(INIT_SUCCEEDED);
  }
void OnDeinit(const int reason)
  {
  }
void OnTick()
  {
  }

Well and in the tradition of this thread I will add: f****n,f****n,f****n,f****n,f****n... buy the black box, buy the elephant, etc.

 
Alex_Bondar:

Why ask others when it is easy to check it yourself.

Download MT of several brokerage companies, run it and see the tick chart on one symbol from two (three,...) terminals, the question will disappear at once:)

Thank you, I apologize, for some reason I did not think of such an obviousness.

It seems that ticks are distorted by DT internal filtering, very strongly, we cannot speak about any general patterns at this level, I suppose that such filtration is dynamic within one broker and it is very difficult to use tick patterns of a DT. The minute candlesticks are more correlated than ticks.

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