[Trader's Handbook] Draft articles, "out of pocket" discussions - page 22

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hrenfx:

It's still a guide, there's no need for algotrading tricks.

But it's just the opposite!

I would really like to see algorithms and described principles of how things work, closer to the code level.

So, the principles are explained, but there is nothing about how to apply them concretely.

[hrenfx]

Perhaps that would be too much. A lot of different thoughts and even code have been posted. Said- done. And even more.

In the end, how many likes did you get? 15 - is it a lot or not? How much time did I spend just for this enlightenment?

The rest is googling, etc. A quick way was also suggested.

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hrenfx:

Perhaps this would be too much.

on the contrary. it would be good if a mathematical model could be added to a practical article.

not about all articles (it is clear that there will be no code in the article - who is MM). It is only about articles that discuss the principles of algorithms.

So I would like to see their verbal description.

They will reduce the misunderstanding of the theoretical part.

Many different thoughts and even code have been posted.

Then it would be great if you could provide links to the code/matemodels to the articles in the handbook.

[hrenfx]

Forum on trading, automated trading systems and trading strategy testing

Discussing high frequency trading on MT5

TheXpert, 2013.06.16 17:29

About HFT high order -- http://habrahabr.ru/post/183484/

Watch the video carefully. At the very bottom of each there is an STP rectangle - this is the high order STP aggregator, with LPs being exchanges where the cointegrated symbols - shares of the same company - are traded. Perhaps such an uncomplicated visualisation will help someone better understand what aggregation is and why it is much stronger than an exchange in isolation. The video does a good job of showing the significance of a measure such as latency. This is how pricing is done in FOREX.

[hrenfx]

Forum on trading, automated trading systems and testing trading strategies

Tester and Futures

hrenfx, 2013.06.11 10:08

It makes sense if you need cloud and not a lot of data (history) to calculate. Otherwise a much more sensible solution to create your own tester is Python, R, Matlab handy for visualisation. At a certain stage, you already need your own tester GUI, so more universal programming languages may be required: C#, etc.

Just the video above is a good demonstration of how sometimes your own GUI-research is needed. No off-the-shelf matrix packages and testers can effectively research the market 100%. You need something of your own.

[TheXpert]

hrenfx:

Look at the video carefully. At the very bottom of each there is an STP rectangle - this is the high-level STP aggregator, with LPs being exchanges on which cointegrated symbols - shares of the same company - are traded.

So it's a specially made aggregator for video. Just part of the visualisation. It's not really there.

And it will naturally receive data with a delay. At this level, an aggregator only makes sense if the aggregator is you.

[hrenfx]

As I wrote on arbitrageurs, historically aggregators have been written for themselves for arbitrage trading. This makes sense. Then they were written for trading other strategies, but again for themselves. And only the most farseeing understood, what money can be earned, if aggregator possibilities are given to absolutely everybody as a brokerage service (for commission). Especially within the framework of FOREX.

There are aggregators on exchanges, of course. But they are really mostly for themselves. They are a kind of dark pools. This does not make the video any less informative, as a visualisation of how the aggregation works.

[Heroix]

hrenfx:

As I wrote on arbitrageurs, historically aggregators have been written for themselves for arbitrage trading. This makes sense. Then they were written for trading other strategies, but again for themselves. And only the most farseeing understood, what money can be earned, if aggregator possibilities are given to absolutely everybody as a brokerage service (for commission). Especially within the framework of FOREX.

There are aggregators on the exchanges, of course. But they are, indeed, mostly for themselves. They are a kind of dark pools. That doesn't make the video any less informative, as a visualisation of how the aggregation works.

So, yes.

Let me explain for everyone: it was specially made only for demonstration of processes. Nothing more.

[hrenfx]

The source code for the primitive real-time visualisation of synthetic level2 can be found on arbitrageurs.

[Claw]

Afternoon!

I believe that post

sergeev 2013.05.29 17:03 #

Swap operation

should be completely replaced with the information given in the attached file!

Respectfully,

Claw