Discussion of high-frequency trading on MT5 - page 27

[hrenfx]

Renat:
On the hubra, a certain nub broadcast a ridiculous theory. Take LMAX out of the narrative and you will laugh.

Let hrenfx rock, but there are no fish in this hole.

A good example of how someone with only a theoretical understanding of brokerage, aggregation technology, ECN/STP creation and trading takes to judge. Many who are in the field are well aware of the difficulties they have encountered and that things are far from rosy.

One can shit on MT5 once again, but not respect certain innovations in it - to be an idiot. So it is with this company, they have really shifted the ideas, covered with a thick layer of dust, about the further development of FOREX. I do not trade there, although I was enticed to do so. Because the principle is always the same:

I only trade where it is most profitable. For example, if tomorrow it will be more profitable to trade with FXCM, I will trade there. There is only money interest here. I recommend a "not a cent extra to the broker" approach to trading.

[hrenfx]

sergeev:

hrenfx, can you explain where they have something special that others don't?

At least this:

Have entered into certain agreements with banks to put up their limiters under guarantees of their performance.

I will not claim that this is the case - I am not an auditor. The fact is that when they aggregate, they are very often on the best of the banks. And this means that they have still managed to independently create a competitive advantage.

Developed a toolkit for comparing different feeds. The short result on them is that they are not outsiders. Although for the institutional market the commission is big, one of the biggest latency because of the location of the trading servers in Europe, for the prices mostly daytime competition, ...

[Heroix]

I apologize in advance for writing about MT4. But it concerns the subject of high-frequency trading.
Inexplicable but true. To give you an example:

Yesterday I accidentally discovered an opportunity to make a profit on nothing, by manipulating Ask/Bid via limiters.

Purely theoretically, I should have bought from myself. But in practice it turned out to be different. I cannot figure out where the dog is buried.
The only option for the limiter not to work is if there is another one in the cup (not mine) at the same (or better) price... or a bug.

Gentlemen, I would like to express your opinion on this point. What do you think may be the reason for this execution?

The script is in the trailer. It works only on tru ECN. Now it works as it should, i.e. you buy it on your own. Do not use it on real!

[Renat Fatkhullin]

Hrenfx, I have no resonance to tell you. I am a practitioner, creating things on a daily basis that you only have a theoretical and outward view of.

I said the story is nubile and it is. Not about LMAX - I have an opinion about them too and I'm not expressing it. I said hrenfx is rocking with HFT and it is, many pages already in this and similar threads. My opinion that there is no free/no risk income out there I have expressed many times.

[hrenfx]

Renat:
My opinion that there is no free/risk-free income there I have expressed many times.

Similarly.

[Heroix]

I am reading more and more about HFT here. What it is, I think, is clear to most.
However, not a word is written about specific HFT algorithms/methods in Forex.
I think I, like many readers of this thread, would be interested in reading more about it.
If you don't mind, please write back on the subject...

[hrenfx]

The easiest FX-HFT to understand is arbitrage.

Again:

Конечно, любая ТС, использующая маркет-ордера, при переписывании на API будет давать больше прибыли, т.к. будет успевать выхватывать более выгодные цены.

I.e. it's a free way to increase the profitability of any system.

You can set up an experiment like this:

1. Open several demo ECN/STP (or just STP) accounts.
2. Run on each of the same TS with one difference - trade orders are sent with different artificial time delay.
3. Get the results (a few hundred trades at least) and compare them with the delays.

You'll see on the chart how the profitability increases when the time lag decreases. So through the API developed for HFT, the profitability of your TS will be the highest possible. Especially it is noticeable at high volumes.

[GaryKa]

Heroix:
However, not a single word is written about specific HFT algorithms/methods in Forex.
I think I, like many readers of this thread, would be interested to read more about it.

Third-party analysis of HFT robot algorithm, not on Forex, but still interesting(1part, 2part)

[---]

hrenfx:

So, using an API developed for HFT...

OK, let's move on :)

What is a HFT-API? I can't think of anything unique and special.
in this hft-API do they exchange thoughts - instead of fixing jason?

hrenfx, please clarify this phrase, please name examples, the technology of information exchange and quite well - if there are tests of good and bad API for hft.

I also saw a strange text on your link saying that MT has no time to receive tics... Well, this is too much :)

PS
I'd like to point out, that for me xft starts at 10 ms and below.

[Heroix]

sergeev:

.....

PS
To set the record straight, for me hft starts at 10 ms and below.

On the packet, or in theory?