Discussion of high-frequency trading on MT5 - page 20

[Andrew Petras]

Gentlemen, can I have a broker in private, if you don't mind.

[hrenfx]

TheXpert:
Can you elaborate on that here? The mechanism itself? And what is MC? Market execution?

MC - Margin Call (invisible SL).

Virtual Markets are executed as Limiters at a price lower than the current price by a certain amount. Virtual SL and stop orders are executed the same way as virtual markets.

P.S. The point is that if in LP the SellLimit comes at 1.32105, and at the time of coming to LP the price is 1.32112, then LP will execute at the price (if there is enough volume etc.) of 1.32112, i.e. with a 7 pips slip. For this reason the stop orders may well have a positive slippage. And in fact due to the peculiarities of STP-technology your limiters are almost always limiters at the price worse than the current one. For this reason, limiters are full of positive slippage, which saves significantly on costs (commission).

[Lev Ilyukov]

hrenfx:
Suppose that you want to make a SELL on GBPJPY right now. And it turns out, that at the moment Bid(GBPUSD * USDJPY) > Bid(GBPJPY) + 5 pips. Given the risk of slippage, which opening option would be preferable? And is the broker's sharpening for HFT important in such a situation?

I dabbled in synthetics about two years ago. I got about 20% per annum in the long term. Suitable for people who have a lot of money, just to get a guarantee interest above bank interest.

The strategy was simple - I took positions in different proportions on different pairs. At a drawdown there was a reversal. And thus the most banal strategy gave a stable annual interest.

[hrenfx]

lordlev:
I dabbled in synthetics about two years ago. I got about 20% per annum in the long term. Suitable for people who have a lot of money, just to get a guarantee interest higher than bank interest.

And if you increase/decrease the load by half, three times, ...? The FV (recovery factor = Profit / MaxDD) would still be more informative.

[Lev Ilyukov]

hrenfx:
What if the load is increased/decreased by a factor of two, three, ...? The recovery factor (recovery factor = Profit / MaxDD) would still be more informative.

In general, the idea from the beginning was to create a synthetic and a tool to manipulate the rate of such synthetic. I.e. I wanted to create a horizontal synthetic that fluctuates in a certain interval and trade it from the channel )))) But I refused the idea for now. There was no interbank market at that time. Or rather, it wasn't available to mere mortals. And now I plan to return to the idea.

[hrenfx]

In fact, getting, for example, $1 mio for a CU with good indicators is not a difficult task. The decisive factor is the reputation of the person who assesses these indicators.

[Андрей]

Synthetics is a very interesting topic, but the question of "cooking" such is open, it would be interesting to do an overview of the space of algorithms for such cooking. Obviously, weighted sums contain more information than weighted products and functions from them, where information is highly compressed.

I for example use a more brutal logic, using as a guide the normalised value, the weighted average of the currency to brooms and some other resources, the logic of the weights so far is purely empirical. The divergence of the correlation of such weights for different major currencies is used as a sign, which I think everyone understands...

The distribution of weights is an artistic task so far.

But such 'arbitrage' if it may be called that, works at least for fluctuations of the order of one hour (IMHO). On minute scales such forces have values of the order of noise and do not greatly increase the MO of profit above 0.

[hrenfx]

gunia:

Synthetics is a very interesting topic, but the question of "cooking" such is open, it would be interesting to do an overview of the space of algorithms for such cooking. Obviously weighted sums contain more information than weighted products and functions from them, in which information is highly compressed.

Completely disagree. It is in synthetics, as derivatives of weighted products, that the physical meaning of weights lies:

The weighting factor is the part of the capital that is invested in the relevant FI. The sign of the weighting factor is the direction of the capital. Roughly speaking, plus - the capital is put into the growth of the FI, minus - the fall.

[Андрей]

hrenfx:

Completely disagree. It is in the synthetics, as derivatives of weighted products, that the physical meaning of the weights lies:

Very interesting article thank you. I confess to being partially overconvinced. I do not understand a little about minimum of dispersion and what this indicator is, if it is not difficult to explain, or poke on a material please.

PS: You write about difficulties of working with synthetics more than 2 instruments, do you mean strictly mathematical difficulties or that such calculations are difficult to do numerically approximate?

[hrenfx]

This is an ancient post of one thread. At that time, the implementation of the calculations had already been posted. The next step was to continue with very specific research.