Machine learning in trading: theory, models, practice and algo-trading - page 2900
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I want to try to pass the combine in the prop.
I took the platform with CME.
Today I traded two markets CME and forex and one pair of euro, the same TS, the same inputs....
The result is interesting, sad and I do not understand...
I enter by orders, by limit, from levels.
And here's what happens, where at Forex I had an entry, at CME the price did not reach 1-2p and I was not taken away.
like here for example - although you can see that the price on forex not only reached but also went lower, on CME the order did not reach 1p.
the same was here, the price on CME also did not reach 1p to my entry.
And it would seem to be nothing, if you correct your SME inputs by 1p, but no, it happens that on the contrary, at Forex the price has not reached the order yet and is far away, but at SME I have triggered the order....
The price dances as it wants. If someone thinks that I put limits at different levels, it is excluded....
I don't know what's going on.
The day today is disgusting in trading, I got +- 0 on forex, but on CME I got a huge minus, good entries are all proyo... but the stops are all collected....
I can't understand what it is and how to treat it.
So it's such a mess, it turns out to be easier on forex)))))
Today is a disgusting day in trading, on forex I got +- 0 , but on SME a huge minus, good inputs all proyo... but the stops are collected all....
There are different prices on SME and Forex. But the movements and charts are almost synchronous. They're just offset. And the candlestick spread may be slightly different. I think it is possible to synchronise not by price, but by the moment of entry/exit, i.e. to transfer the signal from one to the other.
CME and forex have different prices. But the movements and charts are almost synchronous.
I understand it perfectly well, I don't synchronise by price
synchronise not by price, but by the moment of entry/exit, i.e. transfer the signal from one to the other.
Interesting idea
It should work, but if you do it by hand it is a wild hemmorhage, and programmatically - you need to buy a good platform
So it's such a mess, it turns out it's easier on the forehand.)
There is also a stack and transactions are not necessarily FIFO (there may be variants when the size affects the order). It's not a matter of fact, but there are enough subtleties there compared to retail forex.
There's also a stack and aggregation of trades is not necessarily FIFO (there may be variants where size affects the ordering). It's not a matter of fact, but there are certainly enough subtleties there compared to retail forex.
I don't know how FIFO can affect a spread of a few points, arbitrageurs should be able to slug such spreads at once, and with market orders....
I don't know.
I think it is possible to synchronise not by price but by input/output timing, i.e. transfer the signal from one to the other.
Geometric mean - multiply the array in a loop and then convert to a degree inverse to the length of the array - pow() function. The main thing is not to confuse double with integer: the exponent of the degree is 1.0/n, not 1/n, where n is the length of the array.
So in the beginning we consider the index for each month (formula 2.2.1) by the number of calendar days, and then we consider the same geometric mean for months by cumulative total - I'll try it, thanks! Because they drew roots in the methodology and I didn't understand anything :(
There is still a nuance - how the rate for the day is determined - they write that they take the weighted average rate up to 15:30 from 10:00.
The Bank of Russia sets the official rates of the U.S. dollar, euro and yuan against the ruble based on the Moscow Exchange data on the weighted average rates of these currencies to the ruble on transactions concluded from 10:00 to 15:30 Moscow time.
The official rates of other foreign currencies against the rouble are set on the basis of data on the official exchange rate of the US dollar against the rouble and quotations of these currencies against the US dollar posted on the official websites of central banks.
In the absence of data from the Moscow Exchange, the official rates of the US dollar, euro and yuan against the rouble are set based on the data of bank reports on the weighted average rates of these currencies against the rouble on transactions concluded during the current day before 15:30 Moscow time.
If there is no data from Moscow Exchange and bank reports, the official rates of the US dollar, euro and yuan against the rouble are set on the basis of data from digital platforms of OTC trading on the weighted average rates of these currencies against the rouble for transactions concluded during the current day before 15:30 Moscow time.
If it is impossible to calculate official rates on the basis of the above sources, the rates are set equal to the values of the previous day.
And this is what happens, where at Forex I had an entry, at CME the price did not reach 1-2p and I was not taken away.
like here for example - although you can see that the price on forex not only reached but also went lower, on CME the order did not reach 1p.
the same was here, the price on CME also did not reach 1p to my entry.
CME has a futures contract, which includes the discount rate, hence the difference can be. And the same situation happens on Moex.
My question is different, is there a lag between DC forex and CME?
On the CME a futures contract that has a discount rate embedded in it, hence the difference can be.
Does the discount rate change every n-minutes?
My question is different, is there a lag between DC forex and CME?
Of course not, because of low liquidity futures sometimes lags behind forex, but this is an illusion.
Thank you! Very good advice, I've already figured out how to do it with little blood.
You're welcome. The idea is similar to the local signal service. But it will not be possible to use them directly, because the names of instruments are probably different. But you can write something of your own by analogy.