Experiments with MetaTrader 5 at Discovery - page 18

[Vasiliy Sokolov]

FinEngineer:
Exchange gives information on deals, whether each deal was a purchase or sale, how the exchange keeps this record with all the details and how useful this information is - this is another question we are discussing in this thread, not interested... this information is official and I want to receive it, I can request it in Kvik and use it to create an algorithm for automatic trading... what doubts do you have?

You are right, it is the only way to do it. You don't have it in MT5 and you don't expect it. You can write the corresponding functionality yourself, which with high probability will determine which party initiated the trade. Introducing a heavy "list of all deals" in order to correctly identify <5% of ticks is irrational. In addition, there is no reliable information that there are profitable algorithms that use this information.

[Vasiliy Sokolov]

hrenfx:

Without a clear understanding of the meaning of splitting deals in T&S, using it (splitting) is questionable.

What is there to understand? Whoever hits the market first, that's the side. Basically, that's why the price moves: someone's nerves give out and he agrees with the price of limit orders.

[hrenfx]

C-4:
What is there to understand? Whoever hits the market first, that's the side. Basically, that's why the price moves: someone's nerves give out and they accept the price of limit orders.

You don't seem to have read what was written in the link above. You shouldn't.

[Sergey Andreev]

FateevVV:

Here is an example of the tester's incorrect operation when testing a simple 2 moving average crossing system.

The incorrectness lies precisely in determining (calculating) the spread when making a trade.

Only last 4 BUY trades are not correct, they are executed at Ask prices. The first one has a spread of about 20000 points, the rest have a spread of about 5000 points, of course it is not good.

My suggestion to developers:

For exchange symbols in the tester we should allow manual setting of the following parameters:

1. Spread

2. Slippage (slippage is inevitable when trading large volumes)

3. Amount of commission (total broker and exchange) (in the tester, I understand that only the exchange commission is taken into account, and for scalpers, the amount of commission is very important)

So I faced such a problem :( While for testing I use expired contracts - the spread is ok there. But this, of course, is not the case.

[Rustamzhan Salidzhanov]

C-4:
This information has been discussed a hundred times. It is absent in MT5 and it is not expected. You can write yourself a functional that will determine with high probability which party initiated the deal. Introducing a heavy "list of all deals" in order to correctly identify <5% of ticks is irrational. In addition, there is no reliable information that there are profitable algorithms that use this information.

Of course, it is too expensive to keep the raw log, but it can be condensed, for example to the detail of traded volumes by price up to a pip within a minute. In this way it is possible later on to build (or restore) a log of any TF on any bar, like this: Volumes

And this is a delta

[Vasiliy Sokolov]

Dear technicians of Otkritie broker!

Would you be so kind as to make sure that open positions on demo accounts are deleted after the expiry of the contract, otherwise positions hang forever in the window "open positions" (also I suspect relate to pending orders). Moreover, the flag ENUM_SYMBOL_TRADE_MODE for instruments already expired is set to SYMBOL_TRADE_MODE_FULL making it impossible to correctly handle such positions in the EA.

[Sergey Andreev]

C-4:

Dear technicians of Otkritie broker!

Would you be so kind as to make sure that open positions on demo accounts are deleted after the expiry of the contract, otherwise positions hang forever in the window "open positions" (also I suspect relate to pending orders). Moreover, the flag ENUM_SYMBOL_TRADE_MODE for instruments already expired is set to SYMBOL_TRADE_MODE_FULL making it impossible to correctly handle such positions in the EA.

Something has gone wrong - both on the forum and in my letters to technical support where I am describing the problems :( And please note that difficulties are not related to demo accounts.

[Alexey Klenov]

I'd like to see how delta and cluster analysis behaves and I'm too lazy to install the quick view.

I have a great desire to see how delta and cluster analysis behaves but I'm too lazy to install Quick.

[Sergey Andreev]

olyakish:

I've already found out how to pull trades separately by Bids and Ascams in MT5 from FORTS?

I have a great desire to see how delta and cluster analysis behaves, but I'm too lazy to install Quick.

I have a script that parses all this and saves it in a file. So far, only a table of deals. I haven't had time to compare it all with quote data.

Maybe now I will do it, if there is interest.

[Alexey Klenov]

sanderz:

I have a script that parses the whole thing and writes it to a file. So far just a table of trades. I haven't had time to compare it all with the quote data.

Maybe now I will, if there is interest.

I would like to have a look at this script or at least give me an idea.

As I understand it all works in realtime mode, ie, no history.

Thank you

And the idea is tied to changes in volume and incoming price flipper?

If yes then it all comes down to the quality of the internet connection which is not good...