Discussion of high-frequency trading on MT5 - page 78
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Tick patterns head-on, of course, is strange. You could transform first and then study for patterns. For example, High and Low values will correlate between different DCs. And of course, the selection of trading conditions must be considered carefully. Do not ask - I do not know anything.
Happy Great Victory Day!
I agree: this code should be studied for years, to get closer to understanding its genius. And why did the author posted it?
In short, it's all over again: "Buy the elephant!".
P.S.
I don't understand why you would encrypt the DC name "FXOpen". Is it forbidden on the forum - or are you just doing it out of habit?
If you want to severely criticize some large brokerage companies like Alpari, then encryption is more or less acceptable. But if you don't criticize it, why encrypt it?
Mr Heroix got the point right away by saying hft loch:
Я - против. Автор - не вздумайте.
Objective won't work - fact.
He foresaw a waste of time. If everyone were as wise, 7 pages of flooding would not have added to an almost meaningless thread, but who cares.... sometimes it's good to ramble, like that to get away with it))))
Well, it might have been before (but I don't remember, to be honest). But now it seems that the rules were softened. Now it is possible to express more abruptly and more specifically, than it was 3 years ago.
Yeah, thanks, found the right name.
TheXpert:
Маловат там стакан...
Well yes, I think that even if we increase its depth, IMHO we, after receiving it on our home PC, in the best case have nothing to catch in this stack, and in the worst case we may get bait from much e.g. high-frequency traders, who are several ms from provider, against our several hundreds of ms from MT bridge... So probably a trader, better to have his own glass, along with a bottle, for relaxing tensions...))
Drink cold water. there is no point in the HFT making competitors. The only normal way to raise funds is through DM.
I got drunk and realised that not only is there no point in having competitors, but there is also no point in raising funds - DU... because if you imagine the market inefficiencies that are the purpose of HFT, in the form of cracks and crevices in the monolith of the market, it is quite obvious that pulling an elephant through them makes no sense, but only the boogers). That is, so as not to bang your forehead against the limits of liquidity, you can trade small. This is quite in line with remarks about reasonable profit in one brokerage company or about the need to keep a low profile...
But what to do if there is no profitability, if HFT earnings are unstable and paltry on a given brokerage company...? Or maybe act in the style of HFT, increasing efficiency by increasing the number of trades, and increasing the number of DCs used? Especially since trading small volumes on short-term trades does not require a large depo...
Thank you.
I am curious, purely for the sake of curiosity, is there any fundamental difference in the code for FX-HFT, which so long and so far, as I understand, without success, is discussed here by scalper experts?
It's not about tens of thousands of orders per second like on a fund, I saw a tickwise pipsing on a set of patterns that preceded the desired price movement direction, as I guessed from the screenshots and some of the author's theses. A tick pattern as well as a bar pattern are identified by in approximately the same way, the Expert Advisor doesn't seem to care about comparing tick or bar vectors, if I'm not mistaken. The only differences are in the peculiarities of the patterns and in general the fact of their predictive probability, on such a noisy scale. Your average $1.5-2k gamer computer will easily handle even 10 orders per second, while tick analysis is not much different from bar analysis. ECN and commission depending on volume are also kind of encouraging for HFT. And the Internet allows to send 1-10 orders.
So the main question is in the interest of the brokers, about this. Here is where reasonable people should ask a number of logical questions, which should arise even in the absence of a detailed understanding of the micro and macro structure of Forex. Is direct transmission of clients' trades of small lots with such a low commission possible at all? Everyone knows that when there is enough money, there is no need for a brokerage company, but when there is not enough, then everyone should find out for sure, how such small but highly profitable clients may be "honestly" advantageous to brokerage companies? If it turns out that there is a reliable sources of small transactions transmission technology, then it is worth wondering why in civilized countries (Europe, USA, etc.) Forex Dealing Centers are prohibited / authorized under the laws on gambling or even couching. Banks, hedge funds have the right to do it but they do not let suckers in to protect them, not because if they are poor they are stupid, but because free cheese is only in a mousetrap. And in Africa and the CIS countries corrupt officials do not care about citizens. You do not understand that the smaller the deposit, the higher the commission, there is a limit beyond which there is no point for the broker to bother with the client other than to embezzle his tearful deposit with a set of rather trivial tricks.
Be reasonably sceptical gentlemen. In my opinion it's very remarkable that MT are rather briskly occupying regulated platforms where fraud is not practiced. Just for the sake of interest, compare trading conditions on the stock exchange(s) and forex. And think about why everything on the exchanges is more expensive on average. This is not just for fun.
If the reasoning above is correct, then it turns out that the fundamental difference between FX-HFT and the stock market may be based precisely on the fundamental difference between the Forex market itself, namely on decentralization. That is, FX-HFT strategy must also be decentralized and work simultaneously with many brokerage companies. And it may solve a number of problems, including the ones you wrote about:
1. Increase total frequency ratios, in the direction from pips to HFT.
2. Increase total productivity.
3. Reduce the risk of liquidity shortage.
4. Take advantage of free Forex resources - feeds, terminals...
5. To diversify risks from possible conflicts of interests with brokers.
The technical side - 2-3 computers or VPS with 2-3 dozen terminals, I think, is not a problem for most, as well as networking in such a distributed computing system. For example in the engine I use, both local and network component models are supported in the same way.
Although if you look at it not from a trader's point of view, but like you, try to abstract the position of brokerage companies and analyze their transmission capacity, benefits, etc...
Strange that you don't like it... I thought the subject of intruders in the USSR turned you on.
Thank you very much by the way for the code with the deepest meaning! Here's one of my secret projects in response, but it's confidential, you understand)))
Well and in the tradition of this thread I will add: f****n,f****n,f****n,f****n,f****n... buy the black box, buy the elephant, etc.
If you try to coordinate your comment with conclusions drawn in the current one, everything is logical, the only thing to do is to decipher disguised DC names and if they have acceptable trading conditions and are loyal to pipsing, then based on this list, or having supplemented it to 10-20 positions, you can already start developing FX-HFT strategy.
And don't worry about source code, the main thing is to choose the right architecture and design, and coding is almost a mechanical work. Especially if you use pre-built components - already debugged and compiled (black boxes), then in the source code will be enough to prescribe bindings with a minimum of labor. And the engine I use allows even to generate EAs based on a strategy drawn on the terminal chart, without entering a single line or seeing the source code, ie the user may not only not know the MQL language, but not even know that the terminal has an editor and compiler of this language... And IMHO it's convenient and normal, despite the fact that (don't think I'm just being cheesy))) I also know MQL operators and functions...)))
If the above reasoning is correct, then it appears that the fundamental difference between FX-HFT and the stock market may be based on the fundamental difference between the Forex market itself, namely on decentralisation. That is, FX-HFT strategy must also be decentralized and work simultaneously with many brokerage companies. And it may solve a number of problems, including the ones you mentioned, namely:
1. Increase the cumulative frequency ratios, in the direction from pips to HFT.
2. Increase aggregate productivity.
3. Reduce the risk of liquidity shortage.
4. Take advantage of free Forex resources - feeds, terminals...
5. To diversify risks from possible conflicts of interests with brokers.
The technical side - 2-3 computers or VPS with 2-3 dozen terminals, I think, is not a problem for most, as well as networking in such a distributed computing system. For example, in the engine I use, both local and network component models are supported in the same way.
Although if you look at it not from a trader's point of view, but like you, try to abstract the position of brokerage companies and analyze their transmission capacity, benefits, etc., etc., maybe the picture is not the same...
If try to coordinate your comment with conclusions of the current one, then everything is logical, we only need to decode the masked names of brokerage companies, and if they have acceptable trading conditions and are loyal to pipsing, then on the basis of this list or having supplemented it with 10-20 positions we may start development of FX-HFT strategy.
Yes, if you have to work through a brokerage company, diversification is an absolute necessity. We should diversify not only with brokerage companies, but with everything we can, including strategies, timeframes, separate components in strategies, etc.
I would say trading through a brokerage company is like an extreme survival course. If you can get some profits from the market through a brokerage company and every time you adapt to their new inventions, that's very cool.
The topic of identifying insiders in the liquidity stream is an order of magnitude more interesting and profitable than any form of arbitrage.
Below in the archive are two important articles - research as part of the government's "Science" assignment ...........inside..........
Sounds like another intellectual masturbation. Insider is, by definition, non-public information that significantly affects the price range. For example if someone gets the news before the public does. Only the insiders themselves can know about the insider. It is not a good idea to look at the retrospective dynamics of the market to determine whether an insider exists, for several reasons. Firstly, no one can distinguish a real insider from a psychosis or manipulation of a major player, who suddenly starts to churn in a certain direction, as if he knows something that others do not know, and the crowd (impulse bots) can easily catch a pseudo-insider and greatly amplify, it can greatly resonate the market. Secondly, a million+1 reasons can affect and distort the effect, which will encode the original reasons into a totally unreasonable decomposition formation. It is like when a depth bomb is detonated in a deep ocean storm, you cannot tell from the waves, splashes and foam that the bomb was detonated in the depth; the information is mixed up in linear and non-linear dynamics and cannot be reconstructed.
Also, an "insider" can be different in its power, it is just another market force in conjunction with the rest of the set of reasons, there is no point in singling it out as a special group. Surely if it is explicit, it is a deceptive move. Open volumes show intent and hidden ones act the other way round.
Well, if one wishes to mystify and come closer in thoughts to the secret societies, one can fantasize. Only please do not make people laugh, if you take Level2 from any DC)))) It's easier to detect relic radiation than the real market dynamics.
In any case, serious research into the processes involved in Level 2 is worth spending your time on. After all, really working models that are guaranteed to make a profit have an exorbitant price, say the price of $ 1 billion for the valuation of such an asset is not something out of the realm of fantasy.
Bullshit. Quantum salaries are four orders of magnitude lower, and for that kind of money you can hire more than a dozen specialists for several years who, with proper management, will develop any trading model you want.
For example:iceberg:
Otherwise your statement sounds more like quantum chatter.
You make it sound as if the "quants" are some kind of bad people)) They differ from ordinary traders only by the level of education, the absence of biased thinking, and the correct use of quantitative methods (that's why they are "quantitative") to describe the processes taking place in the market.
Insider is, by definition, non-public information that has a significant impact on the price series. For example, if someone gets the news before the public. Only the insiders themselves can know about the insider. Determining the presence of insider trading in hindsight is an unwise venture for several reasons.
The presence of insider trading has been detectable for about fifteen years. All that is required is access to an unaggregated stream of trades. Therefore, in addition to the insiders themselves, this information can be extracted by technologically advanced traders, to their benefit and to the detriment of the bulk of traders who do not have such information.
For example, many classical algorithms of liquidity provision are based on extracting information about whether the fair price is above or below the current quotations from imbalances of buying and selling.
Of course, those who can trade profitably try not to disclose their intentions to the rest of the market. This is how algorithms of optimal execution and cunning order types appear, such as iceberg.
The presence of insider trading has been able to be detected for about fifteen years. All it takes is access to an unaggregated stream of trades. Therefore, in addition to the insiders themselves, this information can be extracted by technologically advanced traders, to their benefit and to the detriment of the bulk of traders who do not have such information.
That is, any profitable algorithm (not a Pipsar) can be blamed? Present an insider and take away their earnings?
A hundred years ago, Mr. Gunn was increasing his depo by almost 100 times in a couple of months. With no technique. Theoretically, it's still possible.