Algo-Sniffing
A little introduction.
In any market there is always a liquidity limit at a particular point in time. It is very important for market participants operating with large volumes not to move the market against themselves, which often happens when large orders are placed abruptly.
To prevent or mitigate the effect of such developments, special algorithms for entry, exit and position correction are used, such as the simplest of them: TWAP, VWAP etc. (execution algorithms ref ).These algorithms are in fact adaptive mechanisms "smearing" trading activity in a given range of prices and time, with certain goals, and with a good control of the risk of exceeding permissible limits of deviations.
There is an opinion that many of the often observed channels both horizontal and ascending/descending are in fact "traces" of rough exequation algorithms.
The process ofrevealing of the current work of such algorithms, and their identification is called "algo-sniffing" (algo-sniffing ref). Inthis regard, this topic can be interesting not only for those whose income depends entirely on the efficiency of "exploitation" of trading features of large market participants(professional hunters), but also for those who build their trading systems, taking into account forecasts of financial instruments and those interested in unusual methods of MoneyManagementa.
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The purpose of this topic - to collect in a branch more relevant information, materials and links. I would also like to hear about the experience of those who actually practiced anything in this area and in general about the possibility of using algo-sniffing in FOREX "small trader".
P.S. The topic topic topic starters does not own, "I only know myself.
- en.wikipedia.org
Hmm, from the title I thought it was going to be a "how to figure out the algorithm on trades" kind of thing. :)
No, it's not. Let's see.
I personally do not believe that any one financial institution or institution (or even in collusion with others) can create a global forex channel. How much money should be poured into it to move the trend in the direction you want. IMHO.
By the way Renat announced that in the future there will be CME certification, does this mean that options and futures will appear in MT?
The question is understandably for MQ, if any of the admins appear in this thread.
By the way Renat announced that in the future there will be certification on the CME, does this mean that options and futures will appear in MT?
In theory yes.
If the MC has access to the pricefeeds of that exchange and they buy the stories.
In theory yes.
if MKs have access to this exchange's pricefeeds and buy up the stories.
To solve this issue is harder than it seems, the presentation format of options is different from forex quoting.
Options are essentially insurance policies, and at one point in time can have a different price with a different delta. In fact, at each moment a table similar to the market would be required.
I don't know how to represent all this graphically, and those platforms that exist are very different from MT, so there is no way to simply copy them.
This must be a question for the brokers.
Somehow Broco provides access to CFD on futures, although there is no certification on CME.
I understand that this is a list of brokers (USA) with access to CME.
Once the MT5 platform is certified for CME and if brokers want to use it, they will be able to work with CME for futures.
http://www.cmegroup.com/tools-information/find-a-broker/broker-directory-na.html
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