Derivatives market quotes in MT5 - page 4
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What's to come up with?
If you find even one difference between BCS-CopyTicks and Opening-CopyTicks on history, that's a good reason to turn to MQ.
TSLab?
On their forum, ask for bid/ask/last history for any day that is not ancient.
The Exchange and the Openreach do not give an orderlog.
It turns out that we need to find a broker with gateway quotes (not KVIC)
Oh man, that's a problem...
There's no particular problem, and apparently there's no bug.
It's all about the technology to collate the bids on the exchange and disseminate that information to all interested parties.
On the MOEX futures market, the peak number of transactions per second can be as high as 25,000 tr./s (up to 150,000 tr./s in load tests). It is not possible to transmit 25,000 stacks per second to all consumers. Therefore every broker takes snapshots (snapshots) of the stock from the full order book at a reasonable rate, for example 100 ms, and sends them to QUIK or to MT5. Each broker has its own slices of the cup, which is what you actually discovered. As for "trades outside the cup", it is clear that not every state of the cup is visualized in the terminal.
There is no particular problem, and apparently there is no bug.
It's all about the technology of the exchange and the dissemination of that information to all interested parties.
On the MOEX futures market, the peak number of transactions per second can be as high as 25,000 tr./s (and in load tests up to 150,000 tr./s). It is not possible to transmit 25,000 stacks per second to all consumers. Therefore every broker takes snapshots (snapshots) of the stock from the full order book at a reasonable rate, for example 100 ms, and sends them to QUIK or to MT5. Each broker has its own slices of the cup, which is what you actually discovered. As for "trades outside the cup", it is clear that not every state of the cup is visualized in the terminal.
Treat someone else!
Started for health, ended for health.
Indeed, the Exchange broadcasts snapshots, but the Broker does not have to do anything with them, but just pass them on to the user!
If you find even one difference between BCS-CopyTicks and Opening-CopyTicks on history - that's a good reason to contact MQ.
On their forum ask for bid/ask/last history for any day that is not ancient.
Everything is as I thought MT5 is missing quotes (ASK/BID).
The trades are displayed correctly.
On the left side Open, on the right side BKS
ZIP file contains code, code results and resulting file
Just as I thought MT5 was missing quotes (ASK/BID)
On the left side Open, on the right side BKS
In the ZIP file code, code results and the resulting file
It was crazy hard for me to look at the screenshots, but I saw the problem.
Attach text files of tick exports via CTRL+U.
It was maddening for me to look at the screenshots, but I saw the problem.
Attach text files of tick exports via CTRL+U.
Ok
OK
There you go.
There you go.
Made by
It is very beautiful here in general.
Either the flags are mixed up or the quotes of both brokers are skipped (the time is the same)
Apparently the FORTS gateway promserver at Otkryvashka and BKS has the same one, so they share the quotes between them :)
flags are mixed up
bid/ask flags are generated by MT5 itself by comparing the current and previous ticks.