Discussion of article "An Example of Developing a Spread Strategy for Moscow Exchange Futures" - page 2
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It would be cooler on tics, like steroids. Maybe someone will try it.
It's gonna be rubbish, isn't it?
When I see the word "low-liquidity", I imagine the second or even third echelon of stocks. And now you are talking about temporary lack of liquidity.
I don't know what is going on and how to trade the spread, if on Si trades are going on, but on RTS there are no changes for 5-10 minutes (I have seen this often).
I don't know what is going on and how to trade the spread, if on Si trades are going on, but on RTS there are no changes for 5-10 minutes (I have seen this often).
Bars are built by flippers. It is normal when the stack is full and ready for any trading requests. Just no one dares to make a trade sometimes for a long time, so there are no bars. And limit orders in the stack are just waiting and live their life. But this life does not affect the bars in any way. The flipper bars are a silly tribute to "historically developed". A tail being pulled from the past. Just like Bid bars in forex. Nonsense, but you have been pulling and pulling it for 16 years.
When spread trading what do you need to know? - flipper, bid or ask?
What is DEAL_TIME_MSC - stock exchange time or MT5 trading server time? And to what extent are these two times synchronised with each other?
Through CopyTicks time_msc - similar question.
When I see the word "low-liquidity", I imagine the second or even third echelon of stocks. And now you are talking about temporary lack of liquidity.
I don't know what is going on and how to trade the spread, if on Si trades are going on, and on RTS there are no changes for 5-10 minutes (I have seen such cases often).
In general, in a good way, just for such cases including, it is necessary to synchronise the last Ask long leg with the last Bid short leg. What does it give?
- Real prices of actual synthetics
- At every moment there is always some liquidity, but there may be no bars at all, but it does not mean that there are no opportunities for entry.
- The frequency of the experiment is close to the benchmark.
The second aspect: it is common to quote a less liquid leg with a limit, and when it fills up, to hit the other leg with a market. This reduces costs and makes it possible to trade in thin markets.When I see the word "low-liquidity", I imagine the second or even third echelon of stocks. And now you are talking about temporary lack of liquidity.
I don't know what is going on and how to trade the spread, if on Si trades are going on, and on RTS there are no changes for 5-10 minutes (I have seen it often).
I was not talking about low liquidity, but about different liquidity. Accordingly, different activity of deals. If we take SI as a benchmark of liquidity (there are practically no missed bars on M1), the picture will be like this:
These are fully synchronised charts (missed bars are displayed in grey). The spread/CC is calculated and traded quite normally here. The fact that there are no trades does not mean that there is no liquidity in the stack at all.
If you do the same without synchronisation, you can miss the optimal entry/exit on such combinations of instruments. Actually, these are all obvious things, IMHO.
The second aspect: it is common to quote a less liquid leg with a limit, and when it fills up, to hit the other leg with a market. This reduces costs and makes it possible to trade on thin markets.
Yes, really. Such subtleties come with experience:)
Thanks
These are fully synchronised charts(missing bars are shown in grey). There is quite normal spread/CC calculation and trading here. The fact that there are no trades does not mean that there is no liquidity in the stack at all.
In general, it is good to synchronise the last Ask of a long leg with the last Bid of a short leg. What does this do?