Question on FORTS quotes - page 4
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In fact, it is impossible to unambiguously determine whether the tick came from a real tick (caused by a trade) or a bogus tick (caused only by a change in bid/ask).
Given that some of the ticks are simply missed, you get complete tick nonsense.
Such a suggestion (until the table of trades appears):
- in ticks caused only by changes in bid/ask, zero out the field with real volume.
- In real ticks the volume should be the total value from all the missed ones.
I still have my doubts.
I'm going to put this into action:
And tomorrow we'll see what happens...
This is not enough. You won't get outdated quotes and the logic of comparisons is lost.
The main idea: you are not the handler of every tick, but you are notified of a change in the market. Changes come in batch, where you only catch the latest state.
The market doesn't wait for anyone. If you want to keep up with it faster(but still lagging behind the market) the rest, all you have to do is reduce latency.
I thought it was going to be a mess.
And how will the EA work?
The logs are in the ZIP file.
In fact, it is impossible to unambiguously determine whether the tick came from a real tick (caused by a trade) or a bogus tick (caused only by a change in bid/ask).
Given that some of the ticks are simply missed, you get complete tick nonsense.
Such a suggestion (until the table of trades appears):
- in ticks caused only by change in bid/ask, zero out the field with real volume.
- In real ticks the volume should be the sum of all missed values.
In the picture you can see that it is not clear what came in at all.
"Is the new quote ( the same as the previous one ) or ...?"
What kind of information did we get 8 times (1.2448)?
Both quote and volume and bid and ask are EQUAL!
That's what I was afraid of.
Read Renat's explanations, he sets it out clearly.
If the problem, in your opinion, is in mismatching ticks with exchange ticks, then the error is indicated to you - you simply compare them incorrectly.
Write a simple indicator, and it will gather everything you need.
Read Renat's explanations, he sets it out clearly.
If the problem, in your opinion, is in the mismatch of ticks with the ticks of the exchange, then you have been pointed to an error - you simply compare them incorrectly.
Write a simple indicator, and it will gather everything you need.
And you, dear, look carefully at what I'm writing.
Do not confuse FOREX and FORTS - absolutely DIFFERENT things!
Why do I have to write an indicator?
OnTick is supposed to provide MARKET information, that's what it's called!
In the picture you can see that it is not at all clear what came in.
"Is the new quote ( the same as the previous one ) or ...?".
What kind of information did we get 8 times (1.2448)?
Both quote and volume and bid and ask are EQUAL!
That's what I was afraid of.
The exchange ate 8 sell-markets each with volume of 1 lot.
If you continue analyzing the chart, you should find that the best bid and ask band has reduced volume by 8 lots at this point.
The exchange ate 8 sell-markets each with a volume of 1 lot.
If you still analyse the glass, you should find that the best bidder has reduced the volume by 8 lots in this place.
And if you go to Vladivostok (from Moscow), we'll be back in a week....
And if we go to Vladivostok (from Moscow), we will be back in a week....
From the MQ manual:
The NewTick event is generatedonly for Expert Advisors when a new tick is received for the symbol, to the chart of which the Expert Advisor is attached.
It is useless to define the OnTick() function in a custom indicator or script, because the NewTick event is not generated for them.
The indicator has the OnCalculate() event - this is where all the information can be collected. However, here is the answer:
Forum on trading, automated trading systems and trading strategies testing
Question on FORTS Quotes
Renat, 2014.11.11 10:57
You can analyse tick flow in indicators - they are guaranteed to be called on every tick. You only need to take the price from the last Close of the current price chart.0, not from marketwatch.