Discussion of article "Developing a self-adapting algorithm (Part II): Improving efficiency" - page 6
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I've been talking to some guys, they're making an outsourced trading platform. I became interested, because you can connect to many things, even Tinkov. You can even order from them a connector to mt5. I asked about the tester and they said that their tester is slower and not as cool as mt5. The idea of their platform is cool, but apparently it is not so easy to make a good tester.
I also have a tester that consumes a lot of memory up to 12-20gb on 28 instruments. But I use minutes. And of course it takes a long time to load from the screw. I don't know how technologically it is possible to reduce memory consumption, probably everything can be done, but other budgets are needed.
In general solved the problem with memory by putting 32 gigs and nvme ssd with a speed of 3500 mb/s. So far the drive has never become a bottleneck. But I don't do any optimisation, just tests.
The trend in software is that hardware requirements are constantly growing. It is understandable, nobody will bother with optimisation as in the 80s when every kilobyte was saved. I think we should just accept it.
Regarding logic in third-party software, this I thought, and to terminals just make a connector. This is of course a universal solution. But then the question arises, isn't it better to connect via FIX api?Yes, you can do it via API, there are different solutions. It is more convenient for everyone. The problem is that there is too much unnecessary stuff. The problem with these guys is that they don't know anything about the market and they add things they don't need. But you can't explain it to them. You or I will start telling them what they need and what they don't need and they'll say fuck you. That's just the way it is. Why does one global test take a few seconds for me and 10 minutes for them? Because I have maximum working code and no extra calculations at all. Plus they are too concerned about ticks. It makes no sense to work on ticks at all. I'll tell you a secret. It's all done for profit. It is done for the end user. You buy the software, test the software, you're happy. That's how it works. No platform coder will go into the subtleties of developing automatic systems, he has done his job, everything works and go to the woods. This is the logic of coders. Although you probably know this, I just bombed, I apologise.
...one global test takes a few seconds for me and 10 minutes for them? That's because I have maximum working code and no extra calculations at all. Plus they're too concerned about ticks. There is no sense in working on ticks at all...
Eugene, I have seen your article and your "optimal" code, and especially your subjective approach to optimisation... Forgive me, but with such an approach it should be shameful to talk about optimisation and optimal things...
Aren't you, dear comrades, tired of looking for dependencies of the future from the past,
even with complex mathematical formulas and techniques?
Price(t) != Grail!
Never, digging in history you will not find the Grail - it simply cannot exist!
You canmake money only when you can calculate your profit with the simplest formula.
N-r SPOT vs. futures
F = N*S*(1+r1) - N*div*(1+r2), where
F - futures price;
N - volume of the futures contract (number of shares) ;
S - spot price of the share;
r1 - interest rate for the period from the date of conclusion of the transaction under the futures contract until its execution;
div - amount of dividends on the underlying share;
r2 - interest rate for the period from the day of closing of the shareholder register ("cut-off") until the futures contract is executed.
And when "guessing" with the help of various techniques will always be the following:
Don't get tired yet, dear comrades, of looking for dependencies of the future from the past,
even with complicated mathematical formulas and techniques?
Price(t) != Grail!
Never, digging through history you will not find the Grail - it simply cannot exist!
You canmake money only when you can calculate your profit by the simplest formula
E.g. SPOT vs. futures.
F = N*S*(1+r1) - N*div*(1+r2), where
F - futures price;
N - volume of the futures contract (number of shares) ;
S - spot price of the share;
r1 - interest rate for the period from the date of conclusion of the transaction under the futures contract until its execution;
div - amount of dividends on the underlying share;
r2 - interest rate for the period from the day of closing of the shareholder register ("cut-off") until fulfilment of the futures contract.
And when "guessing" using various techniques, the following will always be the case:
Forum on trading, automated trading systems and testing trading strategies
Discussion of the article "Development of self-adaptive algorithm (Part II): Improving efficiency"
Evgeniy Ilin, 2020.12.21 17:22
That's why one global test takes a few seconds for me and 10 minutes for them?
I don't believe it! (Stanislavsky)
Someone developed this formula for futures, it was not born. There was a specific person who did it. It is also possible to make a formula for the future from the past. It's just that no one has figured it out yet. Before the Blake Sholes model, they didn't know how to calculate the price of options, but then a man made a formula (primitive, by the way) and won the Nobel Prize. You want to know the model, according to which the price goes, and there is one. For crypto I have almost done, it remains to add the amount of money in the asset and the number of participants, then on shares I will remake, and then on currency.
Do it, but don't forget to bequeath it to your grandchildren to continue your work!
Do it, but don't forget to bequeath it to your grandchildren to carry on your work!
Eugene, I have seen your article and your "optimal" code, and especially your subjective approach to optimisation... Forgive me, but with such an approach it should be shameful to talk about optimisation and optimal things...
Omg, because of the code you don't like, which I don't care about at all, but which you remember for some reason, I have no right to write here, do you think? It's shameful to behave the way you do. And as for optimisation I have no approach at all I do not use it practically as well as the author of this article. I have less experience than the author, but this does not give you the right to say so. I can talk about anything I see fit and I am not going to ask you what you think about it. Trying to shame me here, it is better not to return to this topic at all, I do not understand such people.
Don't get tired yet, dear comrades, of looking for dependencies of the future from the past,
even with complicated mathematical formulas and techniques?
Price(t) != Grail!
Never, digging through history you will not find the Grail - it simply cannot exist!
You canmake money only when you can calculate your profit by the simplest formula
E.g. SPOT vs. futures.
F = N*S*(1+r1) - N*div*(1+r2), where
F - futures price;
N - volume of the futures contract (number of shares) ;
S - spot price of the share;
r1 - interest rate for the period from the date of conclusion of the transaction under the futures contract until its execution;
div - amount of dividends on the underlying share;
r2 - interest rate for the period from the day of closing of the shareholder register ("cut-off") until fulfilment of the futures contract.
And when "guessing" using various techniques, the following will always be the case:
In general if honestly bored )). But the grail in the minds of traders is associated more with some win-win formula. In our understanding it is certain trading indicators such as profit factor, mathematical expectation and other values. It is really hard to find something that works, but here is an example of a working algorithm, indeed it is able to earn. No one talks about more than that. You do not even need to copy the code, you can implement it yourself. The author has described everything in detail. The main thing is to understand how the algorithm works and you will get your 50-100 per cent per annum. This is a very real rate of return in fact, anything above 200 per cent is already very dangerous. The algorithm really works.