What makes an unsteady graph unsteady or why oil is oil? - page 16
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>Do you think that it's not the closest bids that get executed, but the time of submission?
on price, if the price is equal on time + if the price is equal to a market maker's bid, market maker's last after the market (your bids)
>It turns out that if my order is the furthest away from everyone else but everyone else has submitted it after me, the market maker is obliged to honour my order,
Yes, as long as the bid or ask is yours
>What if there is no opposite order and nobody wants to trade at the side of the stack but wants to trade in the middle?
So it won't execute until the bid or ask slips, and if the bid or ask is yours, it won't execute before your bid or ask.
>How the order will be hung and the algorithm will be wedged (I'm telling you this as a programmer).
I don't get it, as a programmer I don't get it.
> You can't regulate everything, and there's a loophole in every regulation.
It is believed that the conditions must be open and equitable, and you sort it out between yourselves, but loopholes can only be arranged according to generally accepted rules of the game.
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If the algorithm gives a wedge, we can use the logs to settle the dispute
Те вы считаете что исполняються не ближайшие заявки а по времени подачи?
Получаеться если моя заявка стоит дальше всех но все подали после меня то маркетмейкер обязан реализовать мою заявку,
а если извините противоположной заявки нет и никто не хочет торговать на краю стакана а хотят в средине?
как быть заявка зависнет и алгоритм поймает клина (это я вам уже как програмист говорю).
Всё зарегламентировать нельзя, и лазейка при любом регламенте найдёться.
The topic is very interesting.
Are you hoping to trace the market maker's intentions by the behaviour of the quote?
Тема очень интересная.
Вы надеетесь по поведению котира отследить намерения маркетмейкера?
For example, the so called "axe" - placing a large bid in the market, which causes the market to "run away" from it, and then catching the runaways. This order is removed.
At mamba it was like that for some time the funds were signalling each other. ))) There's a lot more to it than that. It's actually mostly not a secret - everything is in the public domain.
Привал сокрушался о тиках, считая их панацеей. По моим преедставлениям каждый таймфрей - это отдельный ВР со своими характеристиками. Вейвлет разложение - это разложение на частоты с выделение ведущих частот. Они свои на каждом таймфрейме. Но более высокие частоты, которые мы считаем шумом, являются зачатками низких частот, на которых принимаются торговые решения.
Tics are certainly not a panacea, but they are the most accurate source of BP information. You should clearly understand that switching to 1M and large timeframes (as it is done in most trading platforms) leads to an unrecoverable error.
At the first and very rough approximation, this error can be comparable to the difference (High-Low) of one bar on the selected timeframe.
У маркет-мейкеров (мм) существуют различные стратегии. (Здесь под мм подразумеваю не только техн. обеспечение коридора/ликвидности.)
Например, т.н."топор" - вывешивание в стакане большой заявки, от чего рынок начинает от нее "убегать", а затем ловля убежавших. Та заявка затем снимается.
На мамбе так одно время фонды сигналили друг другу. ))) Да много чего есть. Это, собственно, в основном не секрет - все есть в открытом доступе.
This can be seen by analysing the bids along with the ticks. There is no such information on forex. We are talking about tick analysis, is there any information on how these strategies may affect tick flow?
Oh, how interesting. What do the terms "running away" and "catching runaways" technically mean?
I take it that the first is to move one's bids away from the axe. And the second is to increase volatility in the vicinity of the axe bid?
Tics are certainly not a panacea, but they are the most accurate source of BP information. It should be clearly understood that switching to 1M and large timeframes (the way it is done in most trading platforms) leads to an unrecoverable error.
At the first and very rough approximation, this error can be comparable to the difference (High-Low) of one bar on the selected timeframe.
It is interesting to run different timeframes through the analyzer. This EURUSD M1 02/05/20000 to 01/06/2000 is 480 hours in total.
This is the same 480 hours but on timeframe H1
This work could have been avoided: time series on M1 and on H1 are different time series with different characteristics. And the fact that one is obtained from the other does not say anything (for me).
Oh, how interesting. What do the terms "running away" and "catching runaways" technically mean?
I take it that the first is to move one's bids away from the axe. And the second is to increase volatility in the vicinity of the axe bid?
There are special techniques for trading large bids. In the old days, a $10m bid for EU RAO would move the price by about 1%. There have been purchases of $50 million and $100 million with a daily turnover of several billion dollars. The challenge: how to buy and minimise price movements? I read these techniques in a book 20 years ago, but it is almost impossible to recognise large positions in a real market.
In purely practical terms, if I try to simulate the situation: I need to buy five hundred million euros.
This means that in order to realise the volume of trades, over a long period of time I need to execute purchases from the market and place orders where the asc is. The main volume of deals is mine. I do not want to let the price rise more, it is not profitable. But price will be moving up all the time, so I will have to move up for the Ask. In order not to allow the price to go up too much, I have to use part of my volumes to control the price, to bring it down to my bids.
I think I will get some kind of a corrective upward wave in the market and will have a big impact on the ticks.
In purely practical terms, if I try to simulate the situation: I need to buy five hundred million euros.
This means that in order to realise the volume of trades, over a long period of time I need to execute purchases from the market and place orders where the asc is. The main volume of deals is mine. I do not want to let the price rise more, it is not profitable. But price will be moving up all the time, so I will have to move up for the Ask. In order not to allow the price to go up too much, I have to use part of my volumes to control the price, to bring it down to my bids.
I think in this way I will get some kind of corrective rising wave in the market and I will have a strong influence on the ticks.
Exactly. But you have to make sure that your 500 million will move the market. Trading volumes are hidden from us, but the Central Bank of any country knows that.