Derivatives market quotes in MT5 - page 7

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fxsaber #:

Let's imagine that HFT puts inside the spread and immediately removes the limit, doing this several times every millisecond. Then not only the cup, but also the bid/ask flow would be overwhelmed with traffic. To prevent this from happening, the broker does snapshots for quotes.

Finally some sound judgement has gone in ;). Moreover, the "stack" (or rather the book of all orders) may change25000 times per second. No broker can (and doesn't need to) broadcast this gigantic volume to every terminal. That's why the technology of captures is used. If you need the fullorder book and all of its changes (full orderlog), then you connect to the exchange directly.

P.S. The table given by simpletrader just describes the fields. Full orderlog (once again - the book of all orders and all changes to this book) is only available when you connect directly to the exchange.

 

Read the documentation on the Derivatives Market before presenting anything.

Posting for the 101st time

Files:
p2gate_ru_6.12.zip  1965 kb
 
prostotrader #:

I have posted documents on the futures market 100 times already, but of course nobody reads them.

So the broker does not chop anything up!!!

Is this a document from the stock exchange?

 
prostotrader #:

Read the documentation on the Derivatives Market before presenting anything.

I'm putting it out there for the 101st time.

Perfect. This is the document you will need when you want to connect to the exchange directly.

 
fxsaber #:

Is this a document from the stock exchange?

Yes

Included in the Plaza II SDK (CGate)

http://ftp.moex.ru/pub/ClientsAPI/Spectra/CGate/prod/setup_SpectraCGate_x64_v6.12.0.228.exe

3.2.2. Торговая информация
Торговая информация включает в себя:
• Агрегированные стаканы
Формируются на основе системных заявок пользователей путем суммирования объёма для каждого инструмента, ценового уров-
ня и направления заявки. Обновляются в режиме он-лайн и являются основным способом получения информации о текущих
ценах и объёмах. Пользователь может выбрать желаемую глубину стакана из вариантов 5, 20 или 50 ценовых уровней в каждом
из направлений; данный выбор осуществляется при конфигурировании логина и не может быть изменен в ходе торговой сессии.
Стаканы транслируются несколькими потоками репликации Plaza-2: FORTS_AGGR5_REPL, FORTS_AGGR20_REPL и
FORTS_AGGR50_REPL.

Is that clearer, Doctor?

Above updated the archive to the latest version

 
prostotrader #:

Yes

Then it has nothing to do with the Broker<->Client interaction.

This document deals only with the Broker<-> Exchange interaction, as it is written for exchange clients. The broker is a client of the exchange, the broker's client is not.

 
fxsaber #:

Then it has nothing to do with the Broker<->Client interaction.

This document concerns only the Broker<-> Exchange interaction, as it is written for exchange clients. The broker is a client of the exchange, the broker's client is not.

Anyone, based on this document, can write their software and connect to the exchange, BUT

via FORTS Broker's gateway.

I have already made an excerpt from the document:

3.2.2. Торговая информация
Торговая информация включает в себя:
• Агрегированные стаканы
Формируются на основе системных заявок пользователей путем суммирования объёма для каждого инструмента, ценового уров-
ня и направления заявки. Обновляются в режиме он-лайн и являются основным способом получения информации о текущих
ценах и объёмах. Пользователь может выбрать желаемую глубину стакана из вариантов 5, 20 или 50 ценовых уровней в каждом
из направлений; данный выбор осуществляется при конфигурировании логина и не может быть изменен в ходе торговой сессии.
Стаканы транслируются  несколькими потоками репликации Plaza-2: FORTS_AGGR5_REPL, FORTS_AGGR20_REPL и
FORTS_AGGR50_REPL.

The broker does not do anything with the stakes.

The MT5 server receives the rates and forwards them to us.

Anyway, this is how it should be!

MT5 server works according to this document

Here is the exchange information

The MT5 server connects to the FORTS Broker gateway

and works according to the protocol specified in this document.
 
prostotrader #:

Yes

Included in Plaza II SDK (CGate)

http://ftp.moex.ru/pub/ClientsAPI/Spectra/CGate/prod/setup_SpectraCGate_x64_v6.12.0.228.exe

Is that clearer, Doctor?

Above updated archive to the latest version

I and fxsaber are trying to make you understand a simple idea: you raised the documents for direct connection to the exchange. That's how brokers connect. You can, bypassing the broker (the broker will only be a settlement agent), connect directly to the exchange and get an orderlog. You have to write your own software or use a ready-made one (e.g. StockSharp, Os.Engine). Client terminals (MT5, QUIK) are not able to connect directly to the exchange and use only limited exchange information. Only the table of all deals is transmitted in full.

 
prostotrader #:

Anyway, that's the way it should be!

Ask a general question on some smartlab as to whether or not brokers do snapshots of quotes for their clients without a direct connection.
 
Доктор #:

The two of us with fxsaber are already trying to get the unsophisticated message across: you have raised the documents on direct connection to the stock exchange. This is how brokers are connected. You can, bypassing the broker (the broker will only be a settlement agent), connect directly to the exchange and get an orderlog. You have to write your own software or use a ready-made one (e.g. StockSharp, Os.Engine). Client terminals (MT5, QUIK) are not able to connect directly to the exchange and use only limited exchange information. Only the table of all deals is completely transmitted.

Do not blame fxsaber (a) he thinks, unlike you!

And, sometimes, reads documents :)
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