Formalising common approaches to trading - page 22
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Does it make sense to consider an individual tick?
If we consider the tick volume as some function, it will depend on several parameters, in particular on the real volume and, let's say, "the idea".
So, if we don't consider the dependence on the "idea", we suspect that the tick volume depends on the real one logarithmically, i.e. roughly speaking Vt ~ logx(V)*F("idea").
UPD: by "idea" you mean anything other than real volume, on which the tick volume depends. And the logarithm is hardly natural.
It's a good idea to play around with ideas about finding real volumes. I'm in.
For example: do we need real volumes, or it is more important for us to find some factors (which influence the price), which are obtained on the exchange by looking at the volumes in a cup?
If so, then it is unproductive to suffer from the absence of "real" volumes, reducing our suffering to attempts to model them (the volumes).
We need to use what we have effectively. And efforts should be directed in this direction.
Even if there is such a link (which is likely to be true), it would be very difficult to derive the actual volume for a particular bar or piece of history.
It will only be possible to make an average estimate with a certain degree of reliability.
So it is possible to play around, but only if there is a need.
I have read it in part, but I am interested in a question, why there is no tick chart, although all information for its organization seems to be available? Or has anyone tried to create such a chart using programming?
In this article Tick Generation Algorithm in MetaTrader 5 Strategy Tester
and especially in the discussion you will find answers why there is no tick history in MT.
Renat's key phrase is "tick history is suicide for the platform", first people want monthly tick history, then yearly, then history for the whole period, and that is gigabytes of information that must be stored by a brokerage company and provided to the trader on demand.
Tick collectors have been created, are being created and will be created. I myself wrote such things in my time, it is still lying around somewhere.
SZY: And the replacement of quotes (for the tick chart in the tester) in MT4 is not a problem, but in MT5 the problem is, but the people dealing with MT5 have grown out of these trousers, so the problem as such is not there.
Even if there is such a link (which is likely to be true), it would be very difficult to derive the actual volume for a particular bar or piece of history.
It will be possible only to make an average estimate with a certain degree of reliability.
So it is possible to play around, but only if there is a need.
I tried to attach the tick volume to my researches.
Got some improvement ( about 10%-15%) to results of tester runs.
For the time being these exercises are put aside.
SZY: And the replacement of quotes (for the tick chart in the tester) in MT4 is not a problem, it is a problem in MT5, but people dealing with MT5 have grown out of those trousers, so the problem is not there.
Well, at least someone opened your eyes to what's going on in MT5 - the only professional traders there are. Why do you think that the development of the platform (MT4-->MT5) should not lead to an increase in the capabilities of the terminal, but to prevent the user from choosing which data to process?
ZS: a few pages ago I asked for clarification of how positions are closed, or am I inattentive or no answer https://www.mql5.com/ru/forum/134596/page16
Even if there is such a connection (which is likely to be true), it would be very difficult to derive the actual volume for a particular bar or piece of history.
It will only be possible to make an average estimate with a certain degree of reliability.
So it is possible to play around, but only if there is a need.
ZS: a few pages ago I asked for clarification on how positions are closed, either I'm inattentive or no answer https://www.mql5.com/ru/forum/134596/page16
There is no close as such, there is a reverse action.
You want to buy a car, find a good selling price (ask) press buy and buy
You have an open position (long).
You decide to close your position, look for an ad buy (buy for so much - bid)
you are happy with the price, then you hit sell. The car is sold, position is closed.
For convenience, you can make a button in the terminal - close position
There is no closure as such, there is a reverse action.
yes i understand that but i wonder what will happen in the market or in the market stack because the amount of market orders will decrease if i close a position, someone has to compensate.
I don't understand what's going to decrease. It is like in the car market. One person buys, the other sells. Some days there are a lot of people (goods), others a few.
On the radio this evening, Medvedev said something like - "As of tomorrow, it's time to change car duties.
Nobody understood anything, will they be increased or reduced? There is no information, you can think what you want, no one wants to screw up, the spread has increased manyfold. Sellers have jacked up their prices.
Buyers with bids nailed in the cup, drove them lower.
Tomorrow 5 minutes before the auto market opens, Medvedev clarified, duties will be raised by 30% .
By the opening the sellers have recalculated the correction for the rise in price and have posted new asks. Opening with a gap.