Fins in the glass - trying to understand what happened by the ticks - page 8

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Vasiliy Sokolov:

Yes, you really can't see it. That's odd...

That's something we can deal with.

@Renat Fatkhullin, @Slava, who can check the tick sequence?

 
prostotrader:

There are three options for dividend accounting.

...

Thank you, very interesting.

And changing dividend expectations and rescheduling through expirations doesn't make the profitability of your strategy much worse?

 
Andrey Khatimlianskii:

This is something we can deal with.

@Renat Fatkhullin, @Slava, who can check the tick sequence?

Why call the jedi when you can do it yourself. 1) Download tics in finam. 2) Download ticks from MT5. 3) Compare ticks. That's it.

 
Vasiliy Sokolov:

Why call the jedi when you can do it yourself. 1) Download ticks in finam. 2) Download ticks from MT5. 3) Compare ticks. That's it.

Where is Finam's Ask and Bid?

And the pro-trading is the same.

Files:
Fin_Si.zip  30 kb
 
Neither Finam nor other brokers/sources have any bid/ask in the tick-tape of trades(time&sake) to begin with. The subtlety here is that ticks are a sequence of trades, i.e. aggregated bids, while bil-aks are 'quotes' of NOT aggregated limits.
In general I don't understand what you don't understand here, and why such discussion of usual for exchange business: after the big bid price has risen and reached its peak, it is visible on the 11th second, but the exchange continued to receive limit orders from usual participants, who were still guided by old price order around 65800, well, all these limits at 65825 and so on were blocked by hft-traders by counterlimits with the same price. Yes, they didn't get into the cup, they didn't generate bid/ask, but this may be surprising only to those who are not familiar with hft-trading via dma-interfaces.
 
Sergey Lebedev:
Neither Finam nor any other broker/source has any bid/ask in the tick feed of trades(time&sake). The subtlety here is that ticks are a sequence of trades, i.e. aggregated bids, while bil-axes are 'quotes' of NOT aggregated limits.
In general I don't understand what you don't understand here, and why such a discussion about usual for exchange business: after the big bid price has soared and reached the peak, it can be seen on the 11th second, but the exchange continued to receive limit orders from ordinary participants, who focused on the old price order around 65800, well, all these limits at 65825 and others were blocked by hft-traders with counterlimits with the same price. Yes, they didn't get to the cup, they didn't generate bid/ask, but it can only be surprising for those who are not familiar with hft-trading via dma-interfaces.

Since you are a connoisseur of hft, enlighten me. I know that bids are processed in frames, i.e., the exchange has a frequency of information, all bids hit for example in 0.01 seconds are brought together, after that information about this fact is broadcasted and Ask and Bid after this operation. As I understand, FIFO method is used for consolidation (by price, not by time), then how can a request get into this frame out of order, if the frame is closed for reception? Or is the retransmission of Ask and Bid an error on the part of the MT5 server?

I assume that it was MM who put the bids into this frame on the fact of redeeming the bet, and then filled the gap with his limits, which he removed afterwards.
 
Ilya Baranov:

Thank you, very interesting.

And changing dividend expectations and rescheduling through expirations doesn't make the profitability of your strategy much worse?

:) This is not my strategy.

It appeared as soon as futures came into existence.

If no dividends are assigned, the dividends posted (counted) tend to exceed the real ones,

so there is simply no entry into the market (but the market doesn't "go on the rails", there are, not often, that there are breakdowns).

And profitability depends on market participants assessing the situation correctly.

I always put an entry into the market 3-5% above the bank deposit offer.

I always trade 56 pairs of instruments, someone always "takes a shot".

Added

I don't trade now at all, I'm all out on MOEX

 
In detail: The arrival of a limit order from a non-hft-connected market maker to sell at 65822 was detected by the market analysis hft strategy, and a counter limit order was generated, which led to this trade being noted and registered in the first frame of the 12th second. Without entering it in the market! That is the essence of hft-strategies: prediction of the real close price, and buying out of 'lagging' bids. That is, theft strategy evaluated the volume traded at the 11th second and 'knowing' that after such volume, the market price is in the 65870/65880 area, it generated counter limits for all 'cheap' sales. And then re-sold them at a fair 'market' price, which the strategy promptly valued. The other market participants did not see these bids in the cup at all. This is, in a nutshell, the essence of hft trading.
P.s.: 'knew'/'evaluated' should be understood as the result of neural networks.
 
Sergey Lebedev:
In details: the limit order of the participant, who does not use hft-connection for the operative analysis of t&s, coming to the exchange for sale with the price 65822 was noticed by hft-strategy, which analyzes the market, and under it the counter limit order was generated, which led to the registration of this transaction in the first frame of the 12th second. Without entering it in the market! That is the essence of hft-strategies: prediction of the real close price, and buying out of 'lagging' bids. That is, theft strategy evaluated the volume traded at the 11th second and 'knowing' that after such volume, the market price is in the 65870/65880 area, it generated counter limits for all 'cheap' sales. And then re-sold them at a fair 'market' price, which the strategy promptly valued. The other market participants did not see these bids in the cup at all. This is, in a nutshell, the essence of hft trading.
P.s.: By 'knew'/'evaluated' you mean the result of the neural networks.

By your logic, did two different participants make transactions at the same time (with minimal difference) or did they do it consecutively? If they did it simultaneously, how could the second participant learn about the actions of the first, if the actions of the first have not yet been broadcast by the exchange to all bidders?

If the first redeemed the cup, then someone put a limit, and only then it was redeemed by someone else, i.e. it turns out even three participants.

It is necessary to read the rules to understand how bids are summed up in the frame.

 
Sergey Lebedev:
Neither Finam nor other brokers/sources have any bid/ask in the tick-tape of trades(time&sake) to begin with. The subtlety here is that ticks are a sequence of trades, i.e. aggregated orders, while bil-aks are 'quotes' of NOT aggregated limits.
In general I don't understand what you don't understand here, and why such a discussion about usual for exchange business: after the big bid price has soared and reached the peak, it can be seen on the 11th second, but the exchange continued to receive limit orders from ordinary participants, who focused on the old price order around 65800, well, all these limits at 65825 and others were blocked by hft-traders with counterlimits with the same price. Yes, they didn't get into the cup and didn't generate any bid/ask, but this may be surprising only to those who are not familiar with hft-trading via dma-interfaces.

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