Discussion of high-frequency trading on MT5 - page 47
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Let me try the other side: through associative thinking.
In this case the ZIP files are HST in MT. FDK IS MQL.
You must be a masochist or a clown to work with history through MQL by parsing HST-files. After all, MQL has everything to work with the history. And if you need it in a certain format, through MQL the history is written in the required format.
The same idiocy to parse the internal technical storage of FDK-history. When you can directly look upon it through FDK and record it in any convenient format, having done directly in FDK averaging on Level2-data and other nice things.
P.S. In FOREX, the liquidity of the currency pair is estimated quite differently (by the example of EURUSD):
All this is done due to the concept of liquidity of a currency pair: how much can be exchanged (not necessarily directly) between currencies at the moment (with a high probability).
P.P.S. Again a simple example. Suppose a bank has USD and needs to exchange it into EUR and JPY (not necessarily equally). Through a certain robot algorithm, within a specified time frame, the exchange takes place, let's say through a EURUSD symbol and a USDJPY symbol. Obviously, depending on the ratio of USD coming to EUR and JPY, you can observe a corresponding change in EURJPY symbol, although it is not used for trading. It is senseless to examine the symbols for flatness and trend. It is much more sensible to investigate the stability of a linear regression - a conversation of its own.
thestability oflinear regression is a conversation in itself.
by no means. Back in the middle of the thread this question was raised by you. We are investigating... If you clarify the direction, it will be quicker.
P.S. I wanted to draw society's attention to the way hrenfx's posts have changed in the last year or two. It seemed to me that aggression, unwillingness to understand a less well-read interlocutor, etc. has disappeared from them. Respect!
... conversation itself.
No way... Let's say this topic is new to me - it takes me 5 minutes to get into it, and to discuss it, I should at least master the basics and test it... Right now I'm trying to get the"minimum sum of absolute values" under the condition "sum of vector moduli of weights equals one". It seems to be going well:) By the way, did you manage to get it in the end?
When you can directly access it via FDK and record it in any convenient format, by doing averaging over Level2 data and other goodies directly in FDK.
Please advise unread how to do it? Maybe I have wrong FDK? There is only QuotesDownloader.exe
No idea where in the humble interfaceof QuotesDownloader, this may be hidden.
FDK - API + documentation on it + examples of its use in C#.
The examples (sources) include QuotesDownloader, which I have compiled (EXE) version of which is also included.
So, if you want to understand it, you'll have to do the same amount of work, as if you want to understand a small part of MQL5.
P.S. I wrote a little about the above topics . I am not ready to add anything else.
FDK - API + documentation on it + examples of its use in C#.
Among the examples (sources) is QuotesDownloader, a compiled (EXE) version of which is also included.
So, if you want to get into it, you'll have to do the same amount of work, as if you want to get into a small part of MQL5.
P.S. I wrote a little about the above topics. I'm not ready to add anything else.
I see. Don't get me wrong, I'm not against understanding something really necessary, but the trouble is, there are already 30 years in the queue for reading, and more and more of them appear every day. The problem of priority and choice of information is acute.
You suggest mastering C#, might be great advice, but I just wanted to get a table of level2 data in one file, elementary averaged by seconds separately by ascs and bids. I didn't expect to spend more than an hour on this, in fact, simple task, because there are dozens of such tasks in a day and they must be implemented as they come, especially not concerning trading, but manipulating data form and all sorts of tricks. If for such a table I need to learn C#, and it will take me months, I will put this task off.But if I want to solve something really important, Imay need to learn C#, if it is the best tool for a wide class of tasks. But I won't do it for a table, there are a lot of other more priority tasks.
P.S. There are ~10,000 programming languages already, there isn't a person who can just remembertheir names. In this regard, it is worth paying attention to the substitution of the sense of purpose by means, a man not so long ago, set a goal, immodestly to mow dough, and quietly turned into a nerdy linguist, arguing on forums about all sorts of terms and correctness of coding, with a pensioner's income.
I see. Don't get me wrong, I don't mind figuring out what's really necessary, but the trouble is that there are already 30 years' worth of books waiting to be read, and more and more of them are becoming available by the day. The problem of prioritising and selecting information is acute.
If you really want to help, explain in simple examples with codes how to do it.
I don't want to help anyone to fight their own laziness. I have enough of my own. Examples, articles, a community - all these requests to developers. Metaquotes achieved the best results in this area. The first FDK clients are not Metatrader clients. FDK is a platform for professional traders-researchers. They are tens of thousands of times less, but the desire to learn is fueled by a tangible sense of potential profit.
As for me, based on your reactions to my post, I will decide whether to waste my time in future on parsing what you have to say or not.
Don't. Free improvement of TC results by simply rewriting to a new API is not a paramount argument. As you have to have that very TC first.
Regardless of your reaction to my post, I still respect your result and "hats off" to your presence.
I don't want to help anyone fight their own laziness. I have enough of my own. Examples, articles, community - all these wishes are for developers. Metaquotes achieved the best results in this area. The first FDK clients are not Metatrader clients. FDK is a platform for professional traders-researchers. They are tens of thousands smaller in number, but their desire to learn is fuelled by the palpable sense of potential profit.
Don't lose. Free improvement in the results of the TS with a simple rewrite to a new API is not a paramount argument. Because you have to have that very TS first.
I've been made hostage to the reaction to some "results" out there. From being a hired cossack to being revered. Is it impossible to give a shit about these results and look only at the information in the posts?Is there a perspective of trading EURJPY/USDJPY-EURGBP*GBPUSD in the MT4 tester under Fxopen the spread is about 15 pips
Trading is simply this kind of synthetic:
Synth = EURJPY^(-1/4) * USDJPY^(1/4) * EURGBP^(1/4) * GBPUSD^(1/4) - one variant of a cointegrated synthetic that has Bid and Ask prices at any time.
Build these prices and calculate at least theoretical its potential profitability. Of course, the MT-tester is not suitable here.
Obviously, trading such synthetics requires HFT sharpening with a competent approach.
Finding prices for synthetics requires accounting for commission costs. This can be done in two ways, the simplest of which is to make each symbol a commission markup on its Bid and Ask prices before calculation. Then the calculated synthetic will also contain a markup of the additional commission.
P.S. Forget about addition and subtraction in synthetic formulas.