Using high-frequency robots - how do brokers and DCs react? - page 3
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Я пробовал торговлю с некоторыми элементами HFT с VPS с пингом 1.5 млсек, но исполнение приказов было порядка 150 - 200 млсек. В результате проскальзывания убивали систему.
Yes. In the end the dtz's accounts are not even suitable for scalping, the 4-digit ones were better. The integration with ECN or whatever they connect to is horrible, disgusting, useless. Almost all of them.
Do you want fast execution? Then why aren't you trading on the Moscow Exchange yet? Execution is up to 30 milliseconds. And this from home. From the built-in VPS even faster.
Do you want fast execution? Then why do not you trade on the Moscow Stock Exchange? Execution is up to 30 milliseconds. And this from home. From the built-in VPS even faster.
I looked at the market before the release of the news on the yen about the third tier of importance (something like ZEW DE or industrial production of Germany/France) the market is empty - there is no news to trade there.
But news is a kind of HFT (in terms of speed of execution and necessary liquidity), although the transactions are not as numerous as in classical arbitrage.
this is my opinion and only applies to FX.
Indicative quotes are offered prices, without a guarantee of execution at the stated price. They are not limit orders in the market cup, they are simply an offer from the liquidity provider. Since it is just an offer, the liquidity provider decides whether or not to execute the market order at the requested price! Hence, it is either requotes or slippage.
One more thing - the execution of clients' market orders takes place at the Liquids Provider's site, not the broker's! Therefore, the broker's floor and HFT are not compatible.
I tried trading with some elements of HFT from VPS with 1.5mlsec ping, but order execution was on the order of 150 - 200mlsec. As a result the slippage was killing the system.
HF on MT4/5 will be oh-so-slow, I mean forex. Execution time of 150 ms is considered very good. I don't know about the Moscow exchange, but, as Vladimir wrote, it is much faster there.
About HF, I read the translation of a book on Habra, where they were struggling for microseconds. They even laid their own fiber, I think, from NYSE to Chicago. At the same time, they took into account the speed of light in the fibre and tried to lay it in as straight a line as possible; they even made a tunnel in the mountains so as not to go around it.
HF on MT4/5 will be oh-so-slow, I mean forex. Execution time of 150 ms is considered very good. I don't know about the Moscow exchange, but, as Vladimir wrote, it is much faster there.
About HF, I read the translation of a book on Habra, where they were struggling for microseconds. They even laid their own fiber, I think, from NYSE to Chicago. At the same time, they took into account the speed of light in the fibre and tried to lay it in as straight a line as possible; they even made a tunnel in the mountains so as not to go around it.
Damn play now in Unreal Tournament 4, specially podjoinilosya to servaku with a ping 50 and then with a ping 250. At 50 I am almost the first, I shoot and hit where it is necessary. At 250 no response, as long as you shoot your opponent is actually already in another place and I have not seen it. I end up last in the rankings. This is a simple analogy of how important good order execution is. It's just one little order, not even a game, the information transmitted is negligible, where they get such a performance I can't figure out :) I wish I knew who I was dealing with right now, although I'll soon find out :)
Pings are one thing, usually the execution time depends on the server. For example, my alps to Moscow servers are 30 ms, but execution time is 300-500 ms. On the demo servers usually work out faster.
I already found out why from a former DC programmer. In short, we continue to be cheated... I will not say much about it or they will banish us :) But the delays are artificial. Plus the ping to prime broker 100 + ms, which usually all in the U.S., so it adds up milliseconds ...
The main point, I think, is clear - the problem is not a technical but an economic one. And the fact that there is no conflict of interest is just another PR move, the scheme has hardly changed since DDE accounts. In general, sometimes it is useful to talk to people, so many misunderstandings disappear at once.
I already found out why from a former DC programmer. In short, we continue to be cheated... I will not say much about it, otherwise they will banish us :) But the delays are artificial. Plus the ping to prime broker 100 + ms, which usually all in the U.S., so it adds up milliseconds ...
The main point, I think, is clear - the problem is not a technical but an economic one. And the fact that there is no conflict of interest is just another PR move, the scheme has hardly changed since DDE accounts. We have been working on this for a long time and we are still working on the Forex market.
What is the profit from delays for brokerage companies? If we do not know about the difference between the two brokerage companies, we cannot be sure about the difference between them.
I mean ECN accounts.