Discussion of high-frequency trading on MT5 - page 53

 
Heroix:

p.p.s. Gentlemen, it's OK, why are you getting so worked up? ;)

Renat has something to say about the technical points, as he is very well versed in this field. My terminological blunder can be played by him, as a proof of lie-accusation, which only Renat has grasped in my posts about the described problems on VPS and DDS...

As for the HFT, there is not and will not be a single argument on Renat's part, as he is at best a theorist on this topic and at worst unwilling to learn.

 
hrenfx:

Renat has a lot to say about technical issues, as he is very well versed in this area. My terminological blunder can be played by him as a proof of the lie-accusation, which only Renat caught in my posts about the described problems on VPS and DDS...

As for the HFT, there is not and will not be a single argument from Renat, as he is at best a theorist on this topic and at worst unwilling to learn.

Perhaps. As many people as there are opinions.
My opinion, if anyone is interested, is that high-frequency trading has a right to life. And the difference between demo and real is clearly seen. In case of the latter one has to twist like a frying pan in order to get a speed advantage - I experienced it myself.
 
hrenfx:

On the adequacy of your perception of at least my words, I have already addressed the forum community twice:

In fairness, I appeal to the public to assess the adequacy of my perception of your words as well.

I will not. I've described two cases (one with VPS and the opposite one with DDS (I may be wrong terminologically, but then I wrote specifically what I mean)) that happened to me and that I observe from time to time.

It's a pity, but I don't consider myself such a hardware and software expert to be qualified to judge.

It seems that in the heat of the argument you(hrenfx and Renat) did not understand each other.

I need time to assess the objectivity of the judgments made in the thread.

 
hrenfx:

As for HFT, there is not and will not be a single argument from Renat, as he is at best a theorist on this topic, and at worst unwilling to learn.

Look into the eyes of your liquidity provider and ask:

  1. Friend, why don't you, a liquidity aggregator with occasional negative spreads(the result of flows from different providers), trade this arbitrage yourself? it's free money!
  2. Why don't you, who have zero latency and flow aggregation, set up HFT on your own? You don't have the brains or are you weak to create a strategy?

I have asked such questions many times (it's my job, no matter who wishes to present otherwise) and I know the real answers. We are talking about forex.

 
Heroix:
My opinion, if anyone is interested, is that high-frequency trading has a right to live. And the difference between demo and real is clearly seen. In case of the latter you have to wiggle like a frying pan in order to get speed advantage - I experienced it myself.

If we are talking about arbitrage, it is also just a strategy, just like "classic". Unlike "classic", arbitrage strategy is simply more demanding in terms of quality of execution. The higher the quality of execution, the higher the profit of any (not just arbitrage) TS.

The higher the execution quality, the lower the latency. HFT-strategies are the TS which are the most demanding in terms of execution quality. I.e. arbitrage strategy belongs to HFT-type.

However, again, any TS is to some extent dependent on the quality of execution. The degree of dependence is measured by the mathematical expectation of the trade.

For example, if you execute trades with targets of 100 pips (4 digits), while you have very low MO on hundreds of trades, then your strategy is very critical of execution quality and can formally be attributed, paradoxically enough, to HFT.

For example, synthetic arbitrage is targets per symbol sometimes in the hundreds of pips. The length of time it takes to hold a position is sometimes hours. But this is an HFT strategy.

 
hrenfx:

... There are several terminals running on DDS. All terminals perform simple calculations, no history load. In general, only trading. No DLL, just naked MQL4. Trade orders are flying. However, terminals (GUI) is terribly slow - opening of the terminal window takes seconds. As soon as it opens it works fast. Switch to another terminal - again seconds. However, other third-party applications work fast and switch without any problems. The more terminals you launch, the more slowness between their switches...

Is this problem observed on DDS or on Dedicated Servers?
Виртуальный выделенный сервер (VPS, VDS). Динамический выделенный сервер (DDS)с предустановленной Windows Server 2008 R2
  • mail.moinet.ru
Виртуальный выделенный сервер (VPS, VDS) построен на системе OpenVZ и предназначен для интернет-проектов средней "тяжести" с достаточно высокой посещаемостью (примерно несколько тысяч уникальных посетителей в сутки). VPS необходим вашему проекту в том случае, если возможностей массового виртуального хостинга уже не хватает, либо нужны...
 
hrenfx: For example, synthetic arbitrage is targets for each symbol sometimes in the hundreds of pips. The length of time it takes to hold a position is sometimes hours. But this is an HFT strategy.
Paradoxically, I really liked it.
 
Renat:

Look into the eyes of your liquidity provider and ask:

  1. Friend, why don't you, a liquidity aggregator with occasional negative spreads(the result of flows from different providers), trade this arbitrage yourself? it's free money!
  2. Why don't you, who have zero latency and flow aggregation, set up HFT on your own? You don't have the brains or are you weak to create a strategy?

I have asked such questions many times (it's my job, no matter who wishes to present otherwise) and I know the real answers.

Every sane person, who is in the know, asks them at least to himself. It is really interesting to know the answers. I think each case will be different.

Renat, if you do not mind and it is acceptable, can you tell us their answers to this (because they answered something)?

 
MigVRN:
So was the problem observed on DDS or Dedicated Servers?
The"VPS problem" was observed on a Russian cheap VPS. The "DDS problem" was observed here.
 
Mathemat:
It's paradoxical, but I really liked it.

It's about as paradoxical as calling black white and then watching the public reaction.

And a part of that society is guaranteed to believe it.