FLASH CRASH DIAGNOSYS BY EA - page 3
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Seyedmajid Masharian:
i can see even big brokers with decades of experience in the marketplace have made price gaps in their charts. while there isn't any price gap on smaller brokers
on that special pair at the same time.
and vice versa another times small brokerage made a gap between prices and bigger brokerage doesn't have it. (there is not an exact rule here.)
...a self calibrating system...
It will calculate what always happens, what usually happens, and what rarely happens.that's what many believe is the "stop-hunting" tricks some brokers implement to achieve profits and what not. (you know the hype, MM brokers etc.)
About the Self calibrating system :
that's what I mentioned earlier and gave you the procedure amigo. go with the statistic analysis. there's no way to achieve what it does for you, without it.
I would suggest calculating a (custom) standard deviation value, among a large collection of data you can easily collect.
to detect usual/unusual/rare/strange price gaps : your data collection will be the gaps (in points) among last N bars. (daily or whatever)
to detect usual/unusual/rare/strange price moves: your data collection will be the ATRs (period:1) of last N bars. (daily or whatever)
you can use many many many other data collection methods. (your data collection can be ATR*ADX, to give the data points a directional taste :) )
read about StdDev. (not the indicator, the statistics concept) and you'll see it's all you're looking for. though the indicator is the same almost.)
tip : you need to make a custom deviation, cause the mentioned data collections are not randomly-scattered. (adjacent data points usually tend to have close values.)
that's what many believe is the "stop-hunting" tricks some brokers implement to achieve profits and what not. (you know the hype, MM brokers etc.)
About the Self calibrating system :
that's what I mentioned earlier and gave you the procedure amigo. go with the statistic analysis. there's no way to achieve what it does for you, without it.
I would suggest calculating a (custom) standard deviation value, among a large collection of data you can easily collect.
to detect usual/unusual/rare/strange price gaps : your data collection will be the gaps (in points) among last N bars. (daily or whatever)
to detect usual/unusual/rare/strange price moves: your data collection will be the ATRs (period:1) of last N bars. (daily or whatever)
you can use many many many other data collection methods. (your data collection can be ATR*ADX, to give the data points a directional taste :) )
read about StdDev. (not the indicator, the statistics concept) and you'll see it's all you're looking for. though the indicator is the same almost.)
tip : you need to make a custom deviation, cause the mentioned data collections are not randomly-scattered. (adjacent data points usually tend to have close values.)
this job is too hard can you give me an example with numbers?
If you are afraid of the stop hunting you can also dynamically adjust your stop level when spread widens you can retract or expand your stop as well so that it moves in both directions.
However this only works with a (local) stealth stop because you have to adjust it before checking it's value so you could never do that when the stop resides on the broker sever there would not be a way to adjust the stop in time.
If you are afraid of the stop hunting you can also dynamically adjust your stop level when spread widens you can retract or expand your stop as well so that it moves in both directions.
However this only works with a (local) stealth stop because you have to adjust it before checking it's value so you could never do that when the stop resides on the broker sever there would not be a way to adjust the stop in time.
my system is a kind of hedging and dont use stop loss
here stop hunting is not our problem
my main problem is now how to code my EA to distinguish a flash crash correctly within seconds.
and can split up flash crash from a usual high volatile market...
You's first have to define the parameters for unusual high volatile market, or just max allowed movement, and for a real flash crash.
There are several questions as well.
When does it become evident that it is indeed such a rare event ?
Is there something like 'mini flash crashes' that happen on a regular basis just because some rather large orders come through ?
What do you want to do with it? For protection, or are you looking to trade such event ?
I usually use High-Low, this gives you a score for each bar, then i look at how many times a certain score is hit, this will give you a nice overview as a starting point.
You could do that for all bars, to get an average,you could also further filter it by bar time so that you end up with score per bar per hour, or day of the week, or minute..You's first have to define the parameters for unusual high volatile market, or just max allowed movement, and for a real flash crash.
There are several questions as well.
When does it become evident that it is indeed such a rare event ?
Is there something like 'mini flash crashes' that happen on a regular basis just because some rather large orders come through ?
What do you want to do with it? For protection, or are you looking to trade such event ?
I usually use High-Low, this gives you a score for each bar, then i look at how many times a certain score is hit, this will give you a nice overview as a starting point.
You could do that for all bars, to get an average,you could also further filter it by bar time so that you end up with score per bar per hour, or day of the week, or minute..give an example by using real price please .
give an example by using real price please .
Seems like a lot of comment are circling around what i was kind of saying before. Either a form of averaging previous bars, or calculating the speed of movement (still based on average bars). If you do a combination of average movement and ATR, that may help too, but it may be a pain to calibrate that vs high impact new statements. In the end, the only thing that truly worked for me on a marginal strategy was to limit the trades per day (or trades per X hours may work). I know it then turns into a pray and hold at that point..........but i am yet to see where a flash crash didnt correct itself within a day or 2.
Seems like a lot of comment are circling around what i was kind of saying before. Either a form of averaging previous bars, or calculating the speed of movement (still based on average bars). If you do a combination of average movement and ATR, that may help too, but it may be a pain to calibrate that vs high impact new statements. In the end, the only thing that truly worked for me on a marginal strategy was to limit the trades per day (or trades per X hours may work). I know it then turns into a pray and hold at that point..........but i am yet to see where a flash crash didnt correct itself within a day or 2.
i think if we can access and use the same methods big brokers are using to protect themselves against such events will be great but the problem is we don't have access to those algos.