Discussion of high-frequency trading on MT5 - page 17

[Lev Ilyukov]

on the subject of high volume execution... how about simply opening 20 or more accounts and executing smaller portions at the same time? That is, spread the funds across baskets and take advantage of the high execution speed on low volumes.

[Heroix]

lordlev:
on the subject of high volume execution... how about simply opening 20 or more accounts and executing smaller portions at the same time? That is, spread the funds across baskets and take advantage of the high execution speed on low volumes.

How would this be different from adaptive volumes?

[Lev Ilyukov]

Heroix:
How would this be different from adaptive volumes?

and what does the term mean?

[Server Muradasilov]

lordlev:
what does the term mean?

You can read about the term here

[Андрей]

sergeev:

Because hrenfx sees the root and essence of financial market techniques and software. and they are one and the same for them. feed technologies, bridges between exchanges, bridges between dCs and banks, etc.

hrenfx is not the only one in this business, but there are very few people like him on our planet. that already causes respect for his knowledge and invaluable experience.

That's what's so alarming, that it'snot the root and not even the leaves, but the fleeting blossoms.

And it is alarming because these components are extremely short-lived and unreliable compared to the basic meta-algorithms of the market, which originate in the psychology of crowds, FA, etc. Classical TA is already derived algorithmic, but with proper skills it can be quickly updated with current causality, studying the general patterns of crowd behavior. And the software and hardware is changing unpredictably and constantly looking for holes in technology, requires huge intellectual (of routine nature) and technical costs, which of course can be solved much more effectively by well-financed group of encyclopedists-nerds. And their work is no longer a trading strategy, but something resembling software and hardware testing, searching for bugs and imperfections, in a routine and hard work. It is a kind of parasitization of technicians on bugs in hardware and software.

I do not know, it would be hard for one person...

There is no trader's romance here.

[Server Muradasilov]

Here's another interesting article here

[hrenfx]

I am attaching the ticks and Level2 data for today's one hour EURUSD for an initial introduction.

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gunia:

There is no romance involved in trading.

There is no romance in stable earnings. it is just a regular routine.

The only romanticism is in the risk. Less risk means less romance :)

[Anatoli Kazharski]

sergeev:

There's no romance in making a steady income. it's just a regular routine.

romance is only in risk. less risk means less romance :)

There is no need to worry, you can lose as little as 100% but earn as much as you like. ))

[hrenfx]

papaklass:

In Excel alone, kevel2 took over 32,000 lines. And that's one hour. :)

How do you process this data?

I receive (not collect) data through C#, using broker's API.

I process it in the same C#, math packages and try (beginner) in Python.

Tics and Level2-data are not needed for all cases, so for different needs I take ready timeframes from S1 and higher, when I don't need to generate my own TsVP.