From theory to practice - page 812

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Alexander_K:

Yes, yes, I'll have to think about it...

You should think about having your own trade simulator or use one (tester) from MQ, otherwise you are still drawing conclusions on trading periods of a week to a month. Checking on histories is a necessary stage of development. No reasoning about distributions will replace it. And how much new information is revealed by checking on the history...
 
Vladimir:
The idea would be better to have your own trade simulator or use one (tester) from MQ, because you are drawing your conclusions on trading periods of a week or a month. Checking on histories is a necessary stage of development. No reasoning about distributions will replace it. And how much new information is revealed by checking on the history...

No, no tester will do - there are different ticks and different volumes... Works solely on my tick stream, that's the problem... What I collect myself works fine on the tester as well. When I take data from Ducas, for example, it's a complete nonsense. I have to "adjust" the sample volume. It appears that the "grail" found on third-party data will not actually work in my brokerage company.

 
Alexander_K:

Yes, yes, I'll have to think about it...


Is the time between ticks used in the calculations, or is the number taken?

 
Evgeniy Chumakov:


Is the time between ticks used in the calculations, or is the quantity taken?

Only the quantity.

 
Alexander_K:

Just the quantity.


Who knows how it will work. Maybe we should skip ticks when there is no price change or take ticks if increments are above a given threshold.
 
Tell me, how does the MT4 model generate all the ticks? Randomly within a minute candle?
 
Evgeniy Chumakov:


Who knows how it will work. Maybe we should skip ticks when there was no price change or take ticks if increments are higher than the set threshold.
We should count up ticks and down ticks.
If there has been no price change, skip it.
 
Alexander_K:

Only the number.

You cannot rely on the number of ticks on FX (not the use of ticks at all is meaningless, but exactly the number), this indicator is different for different brokers, the difference can reach dozens of times. The flux density is different for various reasons, this and filtering specific to each office, and artificial adding of ticks.

Try your grail on exchange instruments.

 

I suggest that interested grail-seekers who see my results and believe that the coveted Grail has been found conduct the following experiment.

1. Write a program for gathering quotes, but not by OnTick(), but by time with a discreteness = 1 second. Record only those data, which after 1 second have changed Ask or Bid or time (Ask and Bid at this point may not change).

2. Collect data for EURUSD, for example, for a day and report the number of ticks collected in that way.

3. If the data coincides with my data, we will consider that the first step to work together has been taken.

4. Also inform me how this data collection method will be used for restoring the future TS in MQL after failures, connection interruptions, etc.

I am not in a hurry - look, assess the results of my work and do not forget to empty your pockets of dust in time.


Regards,

Schrodinger's cat.

 
Alexander_K:

I suggest that interested grail-seekers who see my results and believe that the coveted Grail has been found conduct the following experiment.

...

What results are we talking about? Where can they be seen?

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