Discussion of high-frequency trading on MT5 - page 36
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
On the topic of theorists and practitioners touched upon in passing, I would like to add that there is a lack of this in the discussions:
abolk:
What to expect from this or that algorithm - I also know well - more than one hundred orders have been made. If there is a need, I am ready to give any customer recommendations, tips and clarifications for the future development of his or her trading strategy.On the topic of theorists and practitioners touched upon in passing, I would like to add that there is a lack of this in the discussions:
abolk said it right from a programmer's point of view. The main thing is honesty, in business it is important.
Perhaps when I finally formalise my trading systemI will cave to it. It's unlikely to be an order of one in hundreds. The forecast module graph, already more than 200 nodes, and the MM in 40-odd, and that's just the beginning of the backbone. I don't even know yet whether to give it to mql for implementation, or continue thinking. But the guys I know estimated that it will be 5-6k lines of code and about the same amount of money in $.
PS: In Laky the forecast on one condition, and MM is not present at all. That's why the price of such a product is $10, for making it. This is a plummer. It's even amazing that people don't realise that a $100 EA is a 100% sinker.
But the programmer really doesn't care about it, he orders a ploughshare and makes it. More precisely, he copies ready-made blocks.
I have a question for those gathered, which of you already have experience of changing the spread with your limiters?
By the way, the new builds of MT4 and MT5 have one-click execution right on the charts:
That is why there are slippages even for thousand-bucks trades in the "most liquid market where 4 trillion a day are traded",
spread changes by their limiters and other wonders for gullible and naive DC clients.By the way, the new builds of MT4 and MT5 have one-click execution right on the charts:
Already available to try out ?
Correct me if I'm wrong. LevelII data, is nothing but the potential liquidity of bulls and bears or something????
The ratio of bullish volume to bearish volume, from the LevelII cup is "market effort", roughly speaking? Like the stock market or something?
mt5 build 770 is already available
Thanks for that, but :
1) the question is not for you
2) I am interested in MT4
That is why there are slippages even for thousand-bucks trades in "the most liquid market where 4 trillion a day are traded",
Phrases like this scream that without the will to comprehend, you can at least read 100 times and understand nothing.
Even if the FOREX has a daily turnover of 400 trillion a day, your thousand-bucks trades will slip. For some reason, the concept of latency is misunderstood by some.
Imagine that you saw the price, closed your eyes for 5 seconds and pressed the BUY button after that, with the desire to buy at the price you saw 5 seconds ago. Would there be a slippage?
Now imagine that your robot on a zero ping to a broker via MQL4 immediately sends a BUY request when it sees the price. Would there be slippage? I will answer here, it will. Because I wrote in my posts about lifetime of ticks and slowness of the whole cycle from tick birth before your request arrives. And the most slow in this chain will be MT4 - hundreds of msec.
And even if you trade through a broker, where I trade, putting MT4 limiters untied in advance, there will be either positive slippages (if the aggregator has time), or redirects - failures (if the aggregator has no time, or rejects the request for other reasons on the tick birth side).
Let's say my broker has cross connect - the aggregator is located in a certain data centre in New York, where the main technical part of the whole spot-FOREX is located. That's where the execution will be best - you'll be in time more often. But here comes LMAX, for example, whose prices turn out to be better at some point than the others. The aggregator sends your request to LMAX. This takes hundreds of msecs since LMAX has servers in Europe. That means there is lag and possibility of re-jack even for limit which you set in aggregator beforehand.
Now let's have all LP aggregators on cross-connect. If at least one of the LPs has a retarded LP (like LMAX when trading from New-York) on their_LP list, the situation will repeat itself as I wrote above. But let's assume that in general in the whole chain everyone is on cross-connect. Is it possible to redirect your pre-positioned limiter? The answer is that it is possible. And it's not about lag (even though every aggregator in a chain slows down by one or two ms), but about elementary lack of liquidity even for one thousand dollars, because together with your limiters there could be other limiters which ate all the liquidity on prices which arrived an instant before you. Up to fake prices from LPs and lastlook-the right of some LPs to cancel their bids-doesn't guarantee execution at their prices.
You have to understand that prices both on the exchange and even more so in the dark pool (a FOREX aggregator - much more complex than the exchange) are indicative. Probably, someone will shout that everything is super at stock exchanges. So, even the simplest HFT-algorithms, putting and immediately removing their bids inside spread, create the appearance of great prices, which is almost unrealistic for an ordinary exchange client - there is no time to trade. As a result, you will see great prices, but cannot trade them.
You are not the first and not the last one who will not be able to trade them.
You are not the first and not the last to write such a thing. And there is no arguing. The post Trust and Common Sense was just written:
To avoid repeating myself, it's better to read all my posts.
In fact, there is no clear evidence that everything is fair and transparent. The regulation does not give this guarantee. ECN/STP technology doesn't give it either. There is no guarantee at all. This in life applies to almost all areas, not just financial.
However, there is common sense. If you develop ECN/STP-technology for sale, it will not be very profitable, if the developer does not provide cooking facilities. Since the client-buyer-broker almost always wants to cook. This is the reason why both Currenex and Integral have such technology. And this is the reason why almost all LPs cook.
Also wrote that the cost of creating such technology is very high - millions of dollars. That's why it's easier for a broker, in every sense, to buy an off-the-shelf solution rather than create his own. Your own solution will not pay for itself during the first year of work. It only makes sense to create your own with big plans and prospects. And this can only be achieved through a transparent scheme. Because you have to be the best, in order to attract clients. And it is precisely a transparent scheme that has the future.
I had a conversation with F****N that I consider the security of my money with them more because of personal acquaintance. To some extent I agree with that, but only partly. It's a weakness of F****N that there is no way to prove. Yes, regulation allows for more trust. But never completely. And this situation is not just a problem with F****N, but with everyone in general.
ECN/STP technology reduces the number of cooking schemes. But it does not reduce them to zero. So there is only one choice - trust, but base your trust on common sense. Personally, I have confidence in F****N, and there are many more reasons than I can write.
Take any broker you trade with and try to justify for yourself the reasons for their choice. All your arguments will still be questionable. Again, everything will be based on a subjective indicator - trust.
P.S. I recommend that you use in trading multiples of 0.1 (10 000). From my own experience - the execution will be better. For example 2.34 lots will execute worse than 2.3 lots. Usually 2.3 lots will execute, while 0.04 lot will stay idle. Furthermore, if a broker does not have aggregation of client limiters, it is better to use one large limiter than many small ones. For example, better one limiter for 100 lots than 100 limiters of 1 lot at the same price level.
P.P.S. No broker provides the client with a direct estimation of the limiters. And this is a huge component when analysing execution quality, i.e. it directly relates to trading conditions. It would be possible to directly evaluate the redirects if the broker would provide the history of all trading orders (limit modifications) and at least the tick history. I have not seen any order history anywhere. For this reason, it is only possible to evaluate the redirects indirectly through real-time. The broker may improve the situation with the re-jacks if he starts to make an artificial markup of prices. But the prices will worsen while the execution improves. That's why the golden mean is important.
P.P.P.S. My (and any high-tech broker's) constant headache is redirects. Posted various thoughts on how to deal with them. How to correctly write the TS, so that its logic does not break because of the redirects. How to use the tick and even Level2-history for an adequate adjustment of TS in the optimizer. And a little bit about the market laws. Generally speaking, it is interesting sometimes.