Tick chart (proposals) - page 3
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Take care of your own education. Another branch of the speculators. It's out.
You almost gave away all your secrets.
Oooh.
You can ask Maxim about arbitrage, he's a big expert in this business and can explain what's going on more clearly.
I am simply not interested in such strategies due to some well-known reasons.
Yes. The very fact of arbitrage existence indicates that forex is decentralized.
But in the context of the topic, I'm not offering to make money on it and only pointed out that comparing prices / volumes does not really make sense. They will be different and for a handicap it is normal.
Yes. The very fact that arbitrage exists indicates that forex is decentralised.
But in the context of the topic, I did not propose to make money on it, I just pointed out that comparing prices/volumes does not make much sense. They will be different and for a fork it is normal.
I remember the conceptual study carried out by Dr.Trader
Forum on trading, automated trading systems and trading strategies testing
From theory to practice
Dr. Trader, 2018.03.27 23:15
Me and Novaja did a little research.
Ticks come to the terminal at some random intervals. Alexander wrote that it is important to find out what this distribution is. I took the tick history from mt5, so I can work with millisecond accuracy.
The distribution of pauses between ticks itself looks like this
"Approximately" is because the graph is averaged. Dilling distorts the real time of ticks. Either round them up to ~10 milliseconds, or cyclically change their generation rate. Before averaging, this graph (0-100ms window) looks like this
I saw these same peaks on Alexander's graphs, now it is clearer where they are coming from.
As a result it turned out that the averaged frequency graph can be described using the sum of Gamma and Cauchy distributions. The first parameter of gamma distribution for some dealings can be selected as an integer number and Gamma distribution becomes its special case - Erlang distribution.
This is a chart from another dealing:
black line - distribution obtained from the tick history
red - averaged
purple - obtained using gamma+cosh formula.
It doesn't look perfect, but it also looks good on a logarithmic scale, and the top and tail generally coincide.
The tail of distribution coincides well at tens of seconds
The formula:
gamma(4e+00, 2.8e+01) * 5e-01 + cauchy(0e+00, 7.37e+02) * 2e+00 * 5e-01
This is a formula for a specific dealing, all have slightly different parameters and coefficients.
In general, the function looks something like this
function(k, Θ, γ, c){
gamma(k, Θ) * c + cauchy(x0=0, γ) * 2 * (1-c)
}
parameter c is from 0 to 1
Theoretically, tick arrival time intervals should be strictly Erlangian (as a special case of gamma distribution).
However, Doc has shown that there is some admixture in the form of the Cauchy distribution. This unambiguously indicates that DTs have some filters of tick quotes on their side. That is actually why different brokerage companies have different tick volumes.
Trying to find the truth by reading each tick is meaningless. It is necessary to work at a certain frequency, for example, to read ticks once in 3 seconds. This is quite enough and will work in any DC.
Beautiful, but not the same.
A normal tick frame is represented in the same way as a time frame in bars (candlesticks). But the constant is not the time per bar but the number of ticks per bar (1/3/5/10/50/100 ...).
And while there is a direct connection between the number of ticks and (tick) volume, the tick frame contains information not only about the price movement, but also about the change of trading volume.
The charts differ from timeframes and someone sees interesting market signals on ticks, which he does not find on TIMEframes.
Sorry, but you seem to be delusional. Do you want ticks, or the results of their quantization?
Sorry, but you seem to be delusional. Do you want tics, or do you want the results of their quantisation?
Personally I want ticks, I don't understand the point of the argument at all. Tick analysis is a very powerful tool in trading, ticks also have their patterns, chart patterns, levels etc. The implementation of signals may be not only in forex, more interesting in BOO, there is no need for the price to pass N points, all it takes is one, but in the right direction.
if i'm right logically, why should i read?
I was recently comparing forex prices to the stock exchange
alas - they turned out to be quite different...
What do you mean "very different" ???
On forex the eurodollar is 1.1470 and on the stock exchange at the same time the eurodollar is 2.1456 ???
What is this nonsense? What stock exchange has a completely different price???
I remember specifically comparing - prices are absolutely the same, the difference - at most units of four-digit points, at the time of important news. But otherwise - most often even less than a four-digit point... Other pairs - I don't think the situation will be different... What DIFFERENT prices are we talking about?
Tics, or the results of their quantisation?
Now we have to find out what the results of quantization are, right?
In the next thread with pictures https://www.mql5.com/ru/forum/52329
Something reminds me of a conceptual study conducted by Dr Trader
However, Doc showed that there is some admixture in the form of a Cauchy distribution. This clearly shows that DTs have some kind of tick quote filters on their side. That is actually why different brokerage companies have different tick volumes.
The study is missing the main thing - conclusions. Did you manage to find out %% of ticks admixture by the brokerage companies?
The study is missing the main thing, the conclusions. Were you able to find out the % of admixture of tics on the DC side?
Unfortunately, no.
I work only with ticks of my own brokerage company - I keep my own tick archives, because my brokerage company has no official archive of quotes. In comparison with Dukas' archives - the difference is about +5-10% for different pairs.
Hi!
Tick data won't fit in the computer...