Interesting topic for many: what's new in MetaTrader 4 and MQL4 - big changes on the way - page 65
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Are you in forex or in futures? There's a big difference.
Puncture proof? No thanks, I've seen enough of the slides. You can convert to limiters. Arbitrage? OK. On arbitrage, my first order is always a limit order. What other classes?
Exactly, there is a big difference. In brief, there are 2 types of strategies - mean reversion and opposite progression (momentum). The mean entry/exit of momentum is in the direction of movement, of mr against. The breakout is only one kind of the second (by entry level to the breakdown). And you can't convert the second systems to limiters. If you can, it's essentially combining 2 of these types of systems in one bottle on different scales (tf roughly), which rarely happens.
The platform is kind of customised for different markets and instruments, not just FX in the diners))
About high-low you probably didn't get it.
I got it and about the fact that you don't need to change anything except the spread, I wrote 2013.08.10 05:47, after which he put it into his brilliant idea)) An elementary consequence of his queries
What does strategy have to do with the tester? The premise was that we can use LowAsk -- HighBid history to adequately test some class of strategies that would show some shit on a normal history.
Why should we change the format of the stored history for this class of strategies? Again, this is for mr-class strategies with entry/exit limits.
So it is bullshit to adjust the history and the platform to one class of strategies.
We need either a normal tick tester, or the possibility for users to collect their own history from ticks and feed it to the tester with tf<1min. Then we can use the history with LowAsk -- HighBid, or HighAsk --- LowBid for the opposite class of strategies. Or test more short-term strategies, for which minutes are not enough (not for FX in canteens of course)
Is this class of strategies the only reason to change the format of stored history for them? This is again for mr-class strategies with entry/exit limits.
You have no idea how much you've got in common. The mass introduction of matching on MT5 platforms could in a sense be a market "bomb". As it could theoretically lead to an "anti-market revolution" in the forex market in the very near future. Maybe the term "revolution" is an exaggeration, maybe not, because any trader will be able to market maker (influence prices). With the massive spread of native aggregators covering significant segments of the world market.... the era of (well, almost) monopoly power of liquidity providers over currency pricing may (could) be over forever.
Against this background, we face the "epochal" question: are traders ready for the "new era"? What tools do "general traders" have for testing, optimizing and debugging of spread algorithms?
None.
The format of the quote base does not leave a chance to use it for testing and optimizing HFT strategies that use limit orders (and that is what all the spreading algorithms are ).
So it is bullshit to adjust history and platform to one class of strategy.
I agree with that. Just a counter-argument: The current format of quotes is as dumb for breakout strategies as it is for reverse ones, but you cannot fix it by such a simple method as this. You can cure at least one class of strategies, while in the forthcoming situation it takes a "dramatic shape" (see above). And the other strategies will not suffer! If you see it, give an example of a class of strategies for which modifying the spread in the suggested way will make the testing/optimization more realistic.
We need either a normal tick tester, or the ability for users to collect from ticks themselves and slip the tester their history with tf<1min. Then the user may use the history with LowAsk -- HighBid, or HighAsk --- LowBid for the opposite class of strategies. Or to test shorter term strategies, which do not have enough minutes (not for FX in the canteens of course).
You have no idea how much you have come up with. The mass introduction of matching on MT5-platforms may in some sense become a market "bomb". Because theoretically it could lead to an "anti-market revolution" in the forex market in the very near future. Maybe the term "revolution" is an exaggeration, maybe not, because any trader will be able to market maker (influence prices). With the massive spread of native aggregators covering significant segments of the world market.... the era of (well, almost) monopoly power of liquidity providers over currency pricing may (could) be over forever.
Against this background, the "epochal" question arises: Are traders ready for the "new era"? What regular tools do the "general trader masses" have for testing, optimising and debugging spreading algorithms?
None.
There is no tick history and no debugging in the tester. The format of the quote base does not leave a chance to use it for testing and optimizing HFT strategies that use limit orders (which are exactly what all the spreading algorithms are).
I don't know about the revolution)) In exchange instruments any participant can create liquidity since time immemorial, but there is no mass bias towards limit strategies and trading inside the spread. These two classes of strategies are like two sides of the same coin - they exist at the expense of each other and die without each other.) The return strategies need market orders and in particular momentum players in order for their limit orders to be triggered. If the latter are few in number and there are many willing to provide limits, they begin to compete with each other, narrowing the trading range, which leads to lower profits (the targets depend on the width of the flat) and losses on sharp breakdowns. Conversely, market traders need liquidity - without it, slippage and losses. Thus, the mass arrival of traders to market-maker strategies (as a matter of fact, trading for returns) will lead just to the reduction of profitability of such strategies.
So, those who earn on it, it is better to do it quietly, rather than call for mass use of this strategy.) Money like fish likes silence, not revolutions)))
The format of the quote base does not leave a chance to use it for testing and optimizing HFT strategies using limit orders (which all spreading algorithms are).
I agree. Just a counter assertion: the current format of quotes is as dumb for breakout strategies as it is for reversion ones. But it cannot be cured by such a simple method as this. It is possible to cure at least one class of strategies, while in the forthcoming situation it takes a "dramatic shape" (see above). And the other strategies will not suffer! If you see it, give an example of a class of strategies for which modifying the spread in the suggested way will make the testing/optimization more realistic.
I completely agree here, in fact the tester is tick based even now, so it's essentially just about the format of the staff history. And also the possibility of using "non-standard quotes" if necessary.about the opposite strategy and what they need written above. For example, HighAsk --- LowBid for trading stops and by market.
So, it is unproductive to tune histories and tester for one type of strategy.
Better to have more freedom so that you can tweak it to suit your needs.
It's better to have more freedom, so that you can sharpen it to suit what you need.
Before, when computers were big :), or didn't yet exist, phone trading and a millimeter with a pencil and a ruler were enough. That's me talking about ticks today).
I don't know about the revolution)) In the stock market, any participant can create liquidity, but there is no mass bias towards limit strategies and trading within the spread. These two classes of strategies are like two sides of the same coin - they exist at the expense of each other and die without each other.) The return strategies need market orders and in particular momentum players in order for their limit orders to be triggered. If the latter are few in number and there are many willing to provide limits, they begin to compete with each other, narrowing the trading range, which leads to lower profits (the targets depend on the width of the flat) and losses on sharp breakdowns. Conversely, market traders need liquidity - without it, slippage and losses. Thus, the mass arrival of traders to market-maker strategies (as a matter of fact, trading for returns) will lead just to the reduction of profitability of such strategies.
So, those who earn on it, it is better to do it quietly, rather than call for mass use of this strategy.) Money like fish likes silence, not revolution.)
I'm trying to "look around the bend" a bit further // Everything you wrote is correct.
"Mass market making", precisely because of the triggering of the scenarios you describe, could eventually lead to the dollar losing its position as a "universal exchanger". This is a simple consequence of a collapse in spreads on "minors". The foreign exchange market will become more dynamic and efficient. And it is trading systems based on forecasting (rather than on price manipulation) that will benefit. As far as I am concerned, any non-market regulation of exchange rates is fraught with major abuses. It does not matter how noble the goals are declared - there is always the possibility of monetization of the insider and it is foolish to assume that any legal mechanisms can oppose it.
In short - I'm interested in "fair trade", maybe I personally would not benefit financially from such a U-turn (or maybe I will), but if I will lose, at least I will know that I will lose because I developed a stupid algorithm, and not because I was "cheated".
As for the opposing strategy and what they need, I wrote above. For example, HighAsk --- LowBid is for those who trade on stops and on the market.
I'm trying to "look around the bend" a bit further. // Everything you wrote is correct.
"Mass market making", precisely because of the scenarios you describe, could eventually lead to the dollar losing its position as a "universal exchanger". This is a simple consequence of a collapse in spreads on "minors". The foreign exchange market will become more dynamic and efficient. And it will be trading systems based on forecasting (rather than price manipulation) that will benefit.
You're exaggerating.
Spreads on the minors are not a problem for the trading floor
And how long were positions held in those days: days, weeks, months. And how many orders were given per day/week/month? You don't need ticks even now in this kind of trading. But how much profit will you get from this kind of trading? Taking into account the fact that my average deposit is about $1000.
Positions are now held for seconds/minutes/hours. The number of orders per day is measured in hundreds or even thousands. These are the strategies that require ticks. And with such strategies $1000 is a large deposit, taking into account leverage and minimum lot.
Time flies forward, the industry is developing, and some people want to stay in the Stone Age. :)
Oh, you're exaggerating.
Spreads on minors aren't a trading floor problem
If the spread is higher than the trader's commission (this is the situation on the minors), it becomes profitable for traders to use limiters in the spread (in the upcoming match). Which automatically leads to lower spreads and makes crosses more attractive for trading.... etc.
Go learn a lesson. :)
If the spread is higher than the trader's commission (this is the situation on minors), it becomes profitable for traders to pips the limiters inside the spread (in the coming match). Which automatically leads to lower spreads and makes crosses more attractive for trading.... etc.
In short - go learn some lessons... :)
Well, there won't be.
What exactly won't happen? Matching, or its automatic consequences?
Be more specific... ;)