Market patterns - page 5
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You don't have to write your own platform to start with, there are ready-made platforms with a wide range of features, including access to Level 2 and so on.
I am more interested in advice how to analyse Level 2 in forex, it is a fragmented market, each liquidity provider has its own data and everyone is different. Even if we take exchange-traded forex futures, this information is not completely adequate, because it is a derivative of the instrument and it's decisive where the underlying instrument will go. I have thought about this problem a lot, but I still do not understand how it may influence it. In the stock market I understand at least approximately how Level 2 influences the price, but in Forex? With its dispersion? I want to know your opinion on it.
There are a couple of terms that scare people, such asPhantom Quotes, Decentralised Market, etc.
All sources of liquidity have long been covered, progress has been made, especially in the OTC FX market.
Information on volumes and liquidity at different price levels is pooled from different sources and made available to professionals.There is a lot of competition in this niche.
Think carefully about it.
I don't know about professional platforms that evolved from Level 2 with a wide range of mathematical models.
Burn in hell to whoever invented synthetic charts (from 1 minute and above).
Unless you buy data from LP (Integral, Currenexetc.), it is not a sensible idea to analyze chopped up quotes (glass, Level2, etc.) processed by brokerage companies. You will detect patterns that are specifically designed to detect them, they will have a clear link to some future price behaviour on tests in hindsight and for a while in the live areas with low profit potential, But at a certain moment when AC decides that the meat has adopted some regularity (it sees all orders of all clients), a sharp inversion takes place in volatile market segments, when the meat has fully loaded the market with money and many miracles happen with it, the whole arsenal of manipulation possibilities, orders suddenly slip, the flips in 20 sigmas and so on. As everyone probably knows it is a futile idea to try to make generalizations based on many sources. The tick flow is unique for each brokerage company, there is no connection, precisely because it is completely artificial. Of course brokerage companies should indulge their clients and the structure of the tenant should be interesting for (algo)traders, autocorrelations, deltas, fancy figures, etc. It looks like games in a casino, the client should be interested. What can I say, the guys are fantasizing about interesting noises, and then you solve them)))) And as they bait you, then they reverse everything and excuse themselves by server failure in a super volatile market.
But no one forces to use only those data, which broadcasts your dealer, it is logical to use all available volume of data, which you can afford to trade in all those markets, where the use of these data may give an advantage, through those brokers, where you have not been blacklisted, or to open your hedge fund as you feel power.
But don't ananimate the forex betting market, it has nothing to do with reality. Even as a simulator it is bad as it is pure fabrication.
I wonder how you got to such perverted judgments!
In fact, I have to be honest, most of the local audience is hilarious. It's the kind of hardcore trash that makes you smile.
Good luck to you all, explorers ))))))))
I used to work as the consultant in one very big brokerage company 5 years ago, and in general I'm in the market from the last century.
If you can refute what I said, for example with correlated, or at least similar looking ticks from 2 different brokerage companies, then I withdraw, after all if they honestly broadcast them to clients there would be only minor differences, because the contribution of clients themselves compared with the real order flow from PL is insignificant, and there are not so many PL and their flows are similar, what cannot be said about the brokerage company.
Until then, your judgment is perverted)) And these childish emotions and sarcastic phrases (Good luck, researchers )))))))) , only proves your inability to answer for your words. Although I recall you were already under suspicion of being a Cossack, I am not sure for sure. But either way you either wish me luck and retreat, or in a couple of pages if the discussion continues, you will reveal in confidence the name of your employer.
Wrong, there is not one but a whole family. You can test for potential non-random sequences over a wide range of dependencies between data of one series and a large population, this is the basis of proffesional approach. In principle, the questioner is asking the right questions, but the paradox is that there are simply no unambiguous answers to the right questions, and even if there were, a publicly stated answer by someone unreasonable would immediately negate its potential, so it is impossible to answer, any public answer would be wrong for that reason.
So give us the code to prove it ;) And the Hearst index calculation is known to all. If it calculates the trend component, its use in TS is available to all and therefore it must "neutralize the potential" and the Hurst index must become 0.5
In fact, there are only several types of systems, but none of them is universal. You need to know when and how to apply. I.e. filtering and adjusting to a specific market and even to an instrument.
A question for everyone. Many of you are probably observing with some Level 2 tools on the Spot market.
So, how would you calculate the PROTORGING with some assumptions in Level 2! Further, what would you do with these figures? I.e. what initial ideas do you have in mind?
Another question, if you had Level 2 and the task of extracting some information, what would you be looking for?
Maybe you should first understand the degrees of freedom of the pattern space, of what you are supposed to be looking for, and then choose a way to recognize it. Thank goodness market patterns are extremely primitive, compared to speech recognition or some other complicated hierarchical signals. The gentlemen above are looking at the same thing from different angles and the argument is essentially empty. On the one hand it is obvious that the market structure recognizers are at the top of the complexity scale in the area of the recognition strategies in general (speech, pictures, video etc.) but their dynamism and extreme noisiness complicate the situation. That is, they are both simple and complex at the same time.
First of all, let us define the input data. What do we have for analysis? One BP for one FI - price, 2 BP - price and tick volume, 3 BP the price of FI and some index or other synthetic, 4,5,100500 etc. Already at this stage you will get a mess if you don't break it down. From this point on there is a potential bifurcation point for science and mysticism. The problem is elementary in the different data sources, in that even to choose one or another set of "important" data, already includes a subjective component. So the conversation can never really begin until there is at least some tentative agreement on this issue.
It'sa long way to level2 ofa particular broker. If at all it makes sense to discuss, for the reason that everyone chooses brokerage companies for taste and colour, and glasses are really different everywhere, I certainly cannot agree with this conspiracy nonsense, but for sure every brokerage company has its own glass, besides it is very problematic to obtain it in a normal form for a year. And without history and testing it makes no sense even to discuss, all this one-click realtime bullshit is for complete suckers.
About the topic in general IMHO in the style of "one fool can ask a question that a hundred wise men will not respond," This is not a rock in the direction of the topikstarter, but generally that is too general questions are posed, everywhere you look to clarify and refine, choose and clarify again. I do not know how to build a competent hierarchy on this topic.
Well, the question of greed is not at the end of the queue. Share therefore will be either guesses or byyanians.
But all in all it is interesting. It's just not even clear how to start such a conversation intelligently...
Maybe with the help of some example? Take some tsvR of some particular FI and develop a system of how to analyze it for a non-random component? Something like this... It's a shame to start from a vacuum. It's all going to descend into a hullabaloo and end in a facepalm. We need to get a grip on something real.
I wonder how you got to such perverted judgments!
In fact, I have to be honest, most of the local audience is hilarious. It's the kind of hardcore trash that makes you smile.
Good luck to you all, explorers ))))))))
Hm, the public here is still more or less cultured (or pretend to be).
Read some forexistems, that's some real hell there.
It is not about the stock exchange, but about the OTC market, where there is noT&S.
Have you tried it?
When analysing Level 2 - what does it have to do with tick volumes? I wrote above: "Burn in hell to those who invented synthetic charts (from 1 minute and above)" and everything associated with them.
Progress is not standing still, getting a year's worth of history is not a problem at all.
You are mixing flies with cutlets)) The tick volume was mentioned as an example of additional data, in the context of already quantized series.
But never mind. I take it you are suggesting only one instrument of one marketplace, right?
Let's define the data, what is the dimensionality? One vector 2,3, 100 ? Are the interrelations with other FI taken into account or not?
A reference point is needed, and a concrete example of a particular instrument and its related ones if this is the task. And if so, the story in the studio without the hassle of parsing and all sorts of software. We will see what can be squeezed out of this particular data set, all people are busy and won't bother with getting data from a particular brokerage house, I certainly won't.
I will not be bothered with extracting data from a particular brokerage house, and I certainly will not.
Which seems logical.
The difference in potential of the top of the cup to the bottom (probability of directional movement)
To count such potential head-on, for example as a weighted average of the volume in each half, I think is wrong.
Now my formula for calculating the potential of a half glass is the Kolmogorov weighted average, where phi is the distribution of gangs in the half. If the distribution is uniform (as I said I don't agree with that) then we get VWAP. For other distributions calculating such a distribution in ms time seems to be unrealistic. But this is just a preparation for the future, for now in a different direction.