Formalising common approaches to trading - page 11

 
Mischek:


Of course it is in the cup.

"MB and MS are in fact accomplished deals" - no, that's not true either, it's just an order that may not be honoured. It is exactly "attempts".

A market order that hasn't (won't?) been executed and therefore has not (won't) affect the market in any way, but we have taken it into account for forecasting. Is this a joke or what?

 
Avals: Price noise is a price change that is ignored by your system. You cannot take everything into consideration, and there is no sense in taking everything into account.

The price noise can be considered as everything that is unknown to us, so everything that the system cannot recognize is price noise. I think Ichor suggested working out certain moments, and these moments are noise for some people and bread for others.

paukas:That's because they understand noise differently.
Hmm, let's be frank - yes or no? is there price noise or not? with all due respect to the topic of the topic, but imho we're just pounding water in a pail. I want to define the concept of price noise, as it determines the formalization of TS for trading. I will repeat it once again - if there is price noise then there is a point in probabilistic TS and there is no need to waste time on TA. If any price movement is not noise then we need to separate the movements where there is manipulation and where there were buyers and sellers
 
Vita:

By separating in these volumes the volumes of limit and market orders we get MB+LB = MS+LS.

yes

and if there is no difference between MB and LB for the market

there is a difference. I've already written about it, but you can find out more on your own if you're interested.
 
IgorM:
Hmm, let's be honest - yes or no? is there price noise or not? with all due respect to the topic of the topic, but imho, we're just pounding the pavement. I want to define the concept of price noise, as it determines the formalization of TS for trading. I will repeat it once again - if there is price noise then there is a point in probabilistic TS and there is no need to waste time on TA. If any price movement is not noise then we need to separate the movements where there is manipulation and where there were buyers and sellers


What do you mean by "noise"? And in relation to the market - there are deals on history, or bids/aski. On what principle would you call some of them noise?
 
Avals:

What do you mean by "noise"? And in terms of the market - there are deals on history, or Bids/Asks. On what principle would you call some of them noise?

Wiki perfectly describes the concept of noise - random fluctuations of different physical nature, distinguished by the complexity of temporal and spectral structure - visually on the lower TF price movement in a thin market looks like that. To be more specific: on the M1 TF the price movement looks like noise.

 
IgorM:

Wiki perfectly describes the concept of noise - random fluctuations of different physical nature, distinguished by the complexity of temporal and spectral structure - visually on the lower TF price movement in a thin market looks like that. To be more specific: on the M1 TF, price movement looks like noise.


The randomness is relative to the knowledge of a specific observer, or a specific TS. For you the movements on M1 are chaotic, and for others maybe not.
 
IgorM, from a great height: buildings, cars, people, everything is comparable to bugs. From what height are you looking?
 
Vita:

A market order which has not (will not?) be executed and therefore has not (will not) affect the market in any way, but we have taken it into account for the forecast. Is it a joke or what?


You are using the abbreviations introduced by Slava in this thread

Avals 15.07.2011 19:04

Generally 4 forces: liquidity to sell, liquidity to buy, market buyers, market sellers. You can abbreviate them: LS, LB, MB, MS.

I.e. it's about forces. MV has huge strength and desire (secured with appropriate liquidity) to cover LS at 1.000

but the next LS is hovering at 1.020

 
Avals:

promiscuity is relative to the knowledge of a particular observer, or a particular TS. For you the movements on M1 are promiscuous, for others perhaps not.

To make the topic constructive, the topic looks like a circle of radio amateurs, who were given radio components (resistors, capacitors, transistors...) during the first classes they were told "who does what". And instead of learning to read circuits and independently assemble radio devices and further to develop independently circuits, the novice radio amateurs got carried away and began to study p-n-p junctions at a molecular level, began to saw capacitors ......

I meant that Vita correctly pointed out - it is not important who provides liquidity and how the orders are technically executed, or rather it is written about it on the first pages, however I would like to learn to formalize the approaches to trading, so I tried to make the discussion constructive - what or for what TS we may separate in terms of formalization of tasks for MTS development . Here's a bit of what I'm talking about:

"BASIC ALGORITHMIC TRADING STRATEGIES"
VWAP (VolumeWeighted AveragePrice)
The strategy aims to execute an order within a set period of time at a price better than the weighted average price for the set period.
The robot executes the main order within a specified time interval according to a schedule based on historical trading volume data. A VWAP strategy is designed to trade for the full time interval, so it must keep a portion of the order unexecuted until the end of the set period. By predetermining predicted trading volumes over the full set period, VWAP schedules order execution and is largely unresponsive to unexpected changes in current trading volume.
It works well where minimal market impact is required.
It is believed that if a trade is priced below the VWAP value, it is successful, because the value of the asset will increase in the future and it can be sold at a higher price.
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TWAP (Time Weighted Average Price)
The strategy aims to execute the main order within a set period of time by splitting and partially executing it at specified intervals.
The robot executes the order evenly over the period. Like VWAP, this strategy keeps part of the order unexecuted until the end of the period. Unlike VWAP, it schedules the order first to achieve even execution and does not take into account forecasted trading volumes. Thus, TWAP ensures equal order execution in the chosen time interval, but it has a greater risk of market impact, as it does not take into account forecasted changes in trading volumes.
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ImplementationShortfall
The strategy's goal is to execute the order with the optimal ratio of transaction costs and market impact risk.
It is designed to achieve a balance between increasing "alpha" and market impact.The schedule uses historical data, but is more sensitive to changes in order queue volumes than VWAP because this strategy has no set order execution period. This means that the strategy does not have to spread the order execution over the entire period like VWAP, but can speed up or slow down the order execution depending on market conditions. This helps I.S.-strategies achieve a balance between increasing "alpha" and market exposure.However, because this strategy relies predominantly on historical volume data, it does not react immediately to unexpected spikes in trading volumes, which has advantages and disadvantages. In other words, this strategy needs to get confirmation that the trend has changed before it reacts.
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Can work well to achieve a balance between upside 'alpha' and market action - the right level of aggressiveness of the strategy is crucial here.

PercentageofVolume
The strategy's goal is to execute an order or within the limits of the order's turnover in a set period.
Participates in the market in that percentage of the total trading volume that is selected by the user. Usually used in fast markets. Responds well to unexpected volume spikes.

 
storm:
IgorM, from a great height: buildings, cars, people, everything is comparable to bugs. From what height are you looking?
Now from the heights of price ranges on different TFs, something like fractals