Fins in the glass - trying to understand what happened by the ticks - page 13

 

Let me give you a little insight))

And in addition to the three types of orders, there are four types of orders on the FORTS.

 
Vasiliy Sokolov:


This is a very possible situation. In highly competitive markets, bids come in dozens per second, so it is not strange that two bids matched before forming Ask/Bid levels.

Quite right. We only see the stack (ask/bid)

as the exchange "gives" it to us. This is not a real-time stream.

Unfortunately, MT5 does not broadcast an impersonal bid stream,

so it's impossible to reconstruct the full exchange history and

to find out exactly how trades were executed in the exchange core.

In Plaza 2 there are two possibilities of forming a market rate.

1. the exchange sends SRES of current orders (aggregate cup, what we see in the terminal).

2. We can form the block from the stream of impersonal orders.

The second variant makes no sense at our speed (that is probably why MT5 does not transmit orders (Orders log).

 

It is clear that the hypothesis of super fast convergence of orders and one-time sending sounds plausible as a result, however I think colleagues will agree that such convergence of orders should occur with a certain frequency and not randomly.

For example in the file attached to the first post we can find the following fragment

<DATE> <TIME> <BID> <ASK> <LAST> <VOLUME>
03.04.2019 13:00:00.007 65805 65808
03.04.2019 13:00:00.013 65807
03.04.2019 13:00:00.083 65805 4
03.04.2019 13:00:00.228 65805 9
03.04.2019 13:00:00.323 65807 1
03.04.2019 13:00:00.341 65805 7
03.04.2019 13:00:00.445 65806
03.04.2019 13:00:00.603 65805 2
03.04.2019 13:00:00.699 65805 1
03.04.2019 13:00:00.856 65805 12
03.04.2019 13:00:00.856 65805 2
03.04.2019 13:00:00.856 65805 48
03.04.2019 13:00:00.856 65805 12
03.04.2019 13:00:00.916 65805 1
03.04.2019 13:00:01.092 65806 4
03.04.2019 13:00:01.092 65806 2
03.04.2019 13:00:01.095 65808
03.04.2019 13:00:01.103 65805 1
03.04.2019 13:00:01.118 65807
03.04.2019 13:00:01.437 65805 1
03.04.2019 13:00:01.452 65805 4
03.04.2019 13:00:01.453 65805 3
03.04.2019 13:00:01.456 65805 1
03.04.2019 13:00:01.456 65805 1
03.04.2019 13:00:01.465 65805 2
03.04.2019 13:00:01.471 65805 1
03.04.2019 13:00:01.936 65805 5
03.04.2019 13:00:01.949 65805 5
03.04.2019 13:00:02.006 65805 7
03.04.2019 13:00:02.037 65805 1
03.04.2019 13:00:02.068 65805 2
03.04.2019 13:00:02.084 65805 1
03.04.2019 13:00:02.099 65805 1
03.04.2019 13:00:02.115 65805 1
03.04.2019 13:00:02.131 65805 4
03.04.2019 13:00:02.162 65805 1
03.04.2019 13:00:02.692 65807 1
03.04.2019 13:00:04.021 65805 418
03.04.2019 13:00:04.021 65805 54
03.04.2019 13:00:04.021 65804 1
03.04.2019 13:00:04.021 65804 5
03.04.2019 13:00:04.021 65804 3
03.04.2019 13:00:04.021 65804 1
03.04.2019 13:00:04.021 65803 1
03.04.2019 13:00:04.021 65803 5
03.04.2019 13:00:04.021 65803 1
03.04.2019 13:00:04.021 65803 1
03.04.2019 13:00:04.021 65803 3
03.04.2019 13:00:04.021 65803 5
03.04.2019 13:00:04.023 65800 65803


here we see at the very beginning, that deals were added from 13:00:00.013 to 13:00:00.341, at that new Ask appeared only at 13:00:00.445 , it turns out that addition was longer than the number of deals, let's assume it is a window, which is 432 thousandths of a second.

But, what we see next - the next window for trades was open from 13:00:00.603 to 13:00:01.095 and was 492 000 seconds - well, let it be, the deviation is not big.

Let's look at the next time slot from 13:00:01.437 to 13:00:04.023 and it was, attention, 2905 thousandths of a second, that is almost three seconds!!!

Therefore, the hypothesis of matting does not seem to hold - probably the actual values of Ask and Bid broadcast by the exchange are being missed!

 
Aleksey Vyazmikin:


Therefore, the matting hypothesis seems to be invalid - probably in fact the Ask and Bid values broadcast by the exchange are being missed!

You stubbornly operate with incomplete data, without a tape of bids all assumptions are null and void!

 
prostotrader:

You stubbornly operate on not FULL data, with no tape of applications - all assumptions are null and void!

Justify, please. We have information on consolidated transactions.

And how does the tape of orders help? What exactly do you mean by that - a complete cast of the cup?

 
Aleksey Vyazmikin:

Justify, please. We have information on consolidated transactions.

And, how does this bid tape help here? What exactly do you mean by it - a complete cast of the glass?

Alexey!

It is very simple!

The exchange receives requests (3 types)

They are assigned an arrival time and stored in the cache until the

The auction, at which the bids are summed, rejected or entered into the cup.

The auction does not take place in real time, but in portions.

The bids are piled up, e.g. 100 bids or on a timer (I can't say for sure).

Then, the filled cup (SRES) is transferred to us.

From the tape of bids, which goes practically in real time, the cup and from the tape of deals,

which is transmitted after the auction, we can see the full picture of the trade.

Without the tape of bids - the picture is not complete (bids at the auction are summed up or rejected without generating an ask/bid)

we have arrived at the tumblr and the tape of trades that were formed AFTER the auction.

Is it clear now?

 
Is this application tape even necessary?
If it does not actually change anything and does not affect anything, then do not take it into account.
There is a glass and the deals sliver after it. That is what we have to work with.
prostotrader:

an auction in which bids are consolidated, rejected or put into a tumbler.


And then there is this. It turns out that bids can be consolidated apart from the cup.
Is there such a thing?

I will add.
Suppose we have information without the sliver.
Then I have a question. Does the volume of such information appear somewhere?
In any reports.
 
I'm not trying to be clever. Just putting together a picture for myself.
 
Andrey Gladyshev:
Do you need this feed at all?
If it actually does not change anything and does not affect anything, then it should not be taken into account.
There is a market and after it - the deals feed. That is what we have to work with.

And then there's this. It turns out that applications can be consolidated apart from the glass.
Does that happen?

I will add.
Suppose we have information without the sliver.
Then I have a question. Does the volume of such information appear somewhere?
In any reports.

I will allow myself to answer. It's simple: what's in the cup is supply, what's aimed at making a deal is demand. In its turn, the demand may be satisfied, in this case it is a deal that is displayed in the strip, or it may be unsatisfied (for example, because of the lack of volume), in this case it is not reflected in the "index information" and in the strip. Above, it was said that the exchange aggregates the order/order information. This is likely to be the case, as all actions are discrete. By what criteria - do not know.

P.S. There are no "order tapes" in open exchange information. On professional exchange platforms you can take it into account by fixing changes in supply volume at certain levels. But in my experience - it will not give you much.

 
Andrey Gladyshev:
Is this sliver of orders necessary at all?
If it actually does not change anything and does not affect anything, we should not take it into account.
There is a glass and the deals sliver after it. That is what we have to work with.

And also this. It turns out that the bids can be summed up apart from the cup.
Is it possible?

I will add.
Suppose we have information without the sliver.
Then I have a question. Does the volume of such information appear somewhere?
In any reports.

Applications are received by the exchange (3 types)

They are assigned an arrival time and stored in the cache until the

Auction, where bids are summed up, rejected or put into the cup.

The auction does not take place in real time, but in portions.

The bids are piled up, e.g. 100 bids, or on a timer (I can't say for sure).

Then, the filled cup (SRES) is transferred to us.

From the tape of bids, which goes practically in real time, the cup and from the tape of deals,

which is transmittedafter the auction, we can see the full picture of the trade.

Without the tape of bids - the picture is not complete (bids at the auction are summed up or rejected without generating an ask/bid)

we have arrived at the tumblr and the tape of trades that were formedAFTER the auction.

Is it clear now?