Discussion of high-frequency trading on MT5 - page 39

What happens when a limit order is not executed? I don't know about forex, but in the stock market, a limit order is just an order to buy or sell at a certain price. if there is no suitable counterparty, then the limit order hangs on its side of the pile among other similar limits. If the limit is in the spread, the spread is narrowed, but the limit is still in the cup as the best price.

What can I say. People who need such data buy it. Whether there is necessary information there or not - it seems to depend on the buyer and its needs. You can find demo examples on the Internet where you can see how some process the glass in real time. They build all sorts of curves and make orders. In general, some of those who trade by hand, also use the market, and sometimes very successfully. The question is whether these technologies (not data, technologies, strategies) are available to you or not.

I have already said this several times:

It is logical of me to recommend that you read my (scattered, unfortunately) writings so as not to repeat yourself.

I know how to build an indicator from an array of data, at the very least I will order it if the formula is heavily skewed.

But what to build an indicator from? Where is the data?

For example, the trivial ratio of volumes of all sellers and all buyers from the market and then smooth it out with EMA for example. How can we do this if there is no history of the market?

And after a number of such experiments it will be possible to understand how valuable this data is.

PS: I am talking about FOREX. I generally know how to use the market quote and I know how to build TS on the basis of this data.

The question is whether there is such a data flow for FOREX and what is the ratio of phantom liquidity to real.

I checked yesterday. What Renat wrote is true. Three orders can be processed asynchronously now.

I can post a script to check it. But you'd better try to check it yourself.

Thanks for the recommendation, but you'll have to go to the fans of your writing for that.

The question was quite simple, "what happens when the limit is not executed?".

For FOREX I have not met such data. There is a self-made collection of tumblr records somewhere - but it is nothing, because the market is not regulated and not centralized, and no one is responsible for anything there. The level of fake, it seems to me, is directly dependent on the level of impudence of, what's it called, the "liquidity provider". In this murky water, it seems to me, you can try to fish, but you are more likely to become food yourself. That's on the one hand. On the other hand, at the same CME on currency futures (you have to specify which ones), there is a hybrid mode - when data from some forex esn is mixed in with data of the exchange itself, to increase liquidity, probably.

Let's wait for Friday then.

Otherwise, without historical data, how can one draw an analogy with the stock market?

And question 4 cannot be answered:

1. arbitrage.
2. Lack of liquidity.
3. Limit order redirects.
4. Correct strategy setting in backtester taking into account Level2 data ECN/STP, latency, etc.
5. Features of your backtester.
6. Own optimization criteria with justification. Including diversification of different Equity strategies.
7. Comparison of different feeds.
8. Creation of own synthetic trading tools for different needs.
9. Peculiarities of the performance of aggregators.
10. Pricing algorithms.
11. Market-neutral positions.
12. Determining the number of market patterns (super-primitivehere).
13. Logic to minimise the divergence of real trading results from the backtester.

14. ...

Anyone can freely download Level2-history of one of the most perfect dark pools in FOREX.

I posted an example of such a story.

P.S. An eloquent post:

And what happens on Friday, the pre-business day?

Well, it looks like a glass ;) and what's poured in it - it's not like 95% of people even think to check.

What is the list?