Machine learning in trading: theory, models, practice and algo-trading - page 810

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Mihail Marchukajtes:

Already tired of writing. Delta volume and open interest is the reason for the price. First the preconditions for the movement are formed there, and then this movement starts.....

Unfortunately, not only the price, but also the delta is manipulated by the puppeteers.
Look at the graph of the accumulative delta.
According to the classics, if the delta is increasing (the market volume of purchases is higher than sales), the price is increasing. But sometimes there are areas when the delta increases, and the price decreases and vice versa. Owners of large money trade not with market orders, but with pending orders.
Such different delta behavior will not predict, and will only confuse the NS.
 
elibrarius:
Unfortunately for us, the puppeteers not only manipulate the price but also the delta.
Observe the accumulative delta chart...
According to the classics, if the delta is growing (the market volume of purchases is higher than sales), the price is increasing. But sometimes there are areas when the delta increases, and the price decreases and vice versa. Owners of large money trade not with market orders, but with pending orders.
Such different delta behavior will not predict, but only confuse the NS.

Especially since the futures are part of the market from the CME and these volumes can basically only influence the deviation of the contract prices.

 
revers45:

Especially since the futures are part of the market from the CME and these volumes can basically only influence the deviation of the contract prices.

Not just contracts. The prices of forex and CME, though shifted, are synchronous. I think there is a mutual redistribution of money between them, on the principle of arbitrage between brokers.
 
elibrarius:
Not just contracts. The forex and CME prices, though shifted, are synchronous. I think there is a mutual redistribution of money between them, on the principle of arbitrage between brokers.

there is no distribution there, the quote is taken from the forfeit, just like in the brokerage house and is controlled by the market maker

futures is a derivative, it does not affect anything, just like the option

why does the price always go against the delta? (in fact it doesn't always, that was invented by conspiracy theorists). Because the market absolutely does not care about it :)

or let's be naive to believe that the futures of Moscow bids have some effect on the forex quotes :D

 
Maxim Dmitrievsky:

A futures is a derivative, it has no effect on anything, just like an option

That's a bold statement. It even has an effect. Take commodes, for example - the price of commodes is tied to futures. The price movement of futures is very much tied to the OI of options.

I don't know how to apply it to ATS, but the connection is obvious.

 
Yuriy Asaulenko:

That's a bold statement. It even has an effect. Take commodes, for example - the price of commodes is tied to futures. Futures price movements are highly correlated with options OIs.

I don't know how to apply this to ATS, but the connections are obvious.

Commodities are commodities whose price is formed on the exchange (although this is not exactly true, because the market is manipulated).

What percentage of foreign exchange flows passes through the exchange? 1%? How many searches I did not find adequate information, even from OM fans and other bullshit))

 
Maxim Dmitrievsky:


What percentage of currency flows go through the exchange? 1%? I couldn't find any adequate information, even from OI fans and other bullshit)).

I have not heard about the OTC non-cash currency market - the OTC market is the exchangers.

The exchange market looks like this:



 
Maxim Dmitrievsky:

Commodities are commodities whose price is formed on the exchange (although this is also not entirely true, since the market is manipulated).

What percentage of currency flows goes through the exchange? 1%? How many searches I did not find adequate information, even from the fans of OM and other bullshit))

Currency is the same as the commode. I do not know how much % is traded on the stock exchange, but banks trade currencies at exchange prices + commission. Our native Central Bank sets the ruble exchange rate also at exchange prices.

 
SanSanych Fomenko:

I have not heard about the over-the-counter non-cash currency market - over-the-counter is the exchangers.

And the exchange market looks like this:



the supplier of quotes for fx futures for the Russian exchange Goldman Sachs, if I'm not mistaken

it was written on their website somewhere.

i.e. a benchmark quote is taken and the price is aligned by the market maker (i do not know how the technology works in details)

 
The main players in foreign exchange markets are transnational banks operating at two levels. In the retail market, they deal with customers: exporters and importers, foreign creditors and investors, foreign consignees and tourists, etc. The wholesale market is represented by the relationship of banks to each other and to central banks of issue, which are another important participant in the foreign exchange markets. Other participants include MNCs, which mainly transact through commercial banks and foreign exchange exchanges. The intermediary in the foreign exchange markets is the foreign exchange broker, which connects the seller and the buyer of the currency. The activities of brokerage firms are mainly related to the clients of commercial banks. Banks often deal directly with foreign correspondent banks.
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