The future of automated trading: round two - page 18
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Who said that? I just downloaded Eurodollar tics from eSignal for the sake of experiment. Three days - 150 meg.
And this is the day before yesterday. 47 megs.
Mischek: Ну во первых Тимбо писал про last а у тебя бид и аск , во вторых они обрезаны до четырехзнака ( грубо умножай на 10 ), в третих речь шла не про пару евродоллар а про весь рынок
Well, if the euro only takes up 60 meg, how much does the whole market take up? - A lot more.
Well if euro takes up only 60 meg, how much does the whole market take up? - A lot more. Well that's not the point. I agree that any amount of information can be processed with current capabilities, but processing costs increase with more information, that's undeniable. And since there is no certainty that when you process tick information the profit increases significantly more than when you process a regular hourly chart, why spend more resources and time if the result will be approximately the same?
When I asked about technical calculations of tick volumes to give out to traders, Prival did not answer anything. Apparently, this is a trifle compared to the importance of the "right" idea.
I think timbo hasn't seen much reality either, and is only operating on general speculation. "150 gigs a day" - is possible if you count them as well packed data.
By the way, while zip compresses bar history approximately 1:3, our own specialized algorithm for bar bit-packing gives us a ratio of 1:10-1:13 which allows us to pack 10 years of a minute history into a 10-12 megabyte archive.
And since there is no certainty that processing tick information will significantly increase profits than processing a normal hourly chart, why spend more resources and time if the result is roughly the same?
How much land could a farmer in the early 19th century plough? And how much land does the modern American farmer plough? How many peasants are out of work as mechanisation has developed? They have been rendered redundant in this field. Similarly, the "human creative talents" working for the big companies, who can obviously afford to employ the best of the best, will leave many individual farmers without bread from the financial markets, armed with the most advanced mechanisation.
The strategy is not being killed, it is just being used by too many people and its profitability goes down the drain. The question is who are these many? Today a significant number of them are robots, because one robot can replace a crowd of individuals. In other words, the strategy fading cycle is getting faster, because it does not need to be used by thousands of traders to decrease its profitability as it used to be before, one robot is enough. The life time of strategies becomes shorter, and the number of strategists, at best, remains at the same level. What do we get in the end? - An efficient market where systematic speculative earning is impossible.
Perhaps I do not understand the peasant analogy, because I would not dare to suggest that individual traders (manual or autobot) have become or are becoming fewer as a result of mechanisation. It seems to me to be the opposite. And products like MT lower the barrier to entry and make individuals closer to the market.
But for robots from big company talent to take away the individual's bread and butter in his field, these robots need to trade the same strategy as the individual. I doubt that happens. But even assuming that the robot decoded or the company's talent found your strategy, it begs the question - why kill the hen that lays the golden eggs? Why breed robots that will reduce the company's profits to zero? To drive an individual out of the field? The field is such, that if you survive - you will not sow it, if you can sow it, the individual is there again - he found it and invented it. Everything is much more prosaic - there are no robot decryptors or cryptologists' talents or intentional flushing out of your strategy from the market, there is trivial copying of your orders. I remember, even during the Championship someone was copying Bettor's deals (by the way, it was effective, unlike trying to crack the algorithm), and he even offered to share the profit afterwards.
I see that the profit on arbitrage is the profit of large companies, it is easy to "guard and hide" from individuals. But the fact that a large company, if it gets hold of your non-arbitrage algorithm, will immediately rush to destroy its profitability is very doubtful. Most likely, it will try to make a profit out of it, which is not an obstacle for an individual.
When I asked about technical calculations of tick volumes for traders, Prival didn't answer anything. Apparently, it's a trifle compared to the importance of getting the idea "right".
...
Answered and more than once. There are other trading platforms that give tick history and tick chart. Do you want pictures of the tick chart with links to the TP? or will you believe it?
I.e. they can, but you can't. and it's Privalych's fault, his "ideas" are wrong ...
here is the number of ticks you have. What gigabytes from where ? No, it's hard for you, in real life everything is OK. Ticks are coming to the terminal, no problem. But as soon as you get a history, bam, no ticks. Minutes = hospital average.
How hard can it be. Give the same story that comes into the terminal. Exactly the same, not compressed into minutes.
Mischek: " Для стирки Миша использует дорогой порошок , а Саша Досю ............................а если не видно разницы , зачем платить больше "
Answered and more than once. There are other trading platforms that give tick history and tick chart. Do you want pictures of the tick chart with links to the TP? or will you believe it?
I.e. they can, but you can't. and it's Privalych's fault, his "ideas" are wrong ...
here is the number of ticks you have. What gigabytes from where ? No, it's hard for you, in real life everything is OK. Ticks are coming to the terminal, no problem. But as soon as you get a history, bam, no ticks. Minutes = hospital average.
How hard can it be. Give the same story that comes into the terminal. Exactly the same, not compressed into minutes.