Discussion of high-frequency trading on MT5 - page 23
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Um, what's the problem? On a normal ECN/STP, even 0.1 lot inside the spread will already narrow the spread.
I wanted to draw my brand on quotes yesterday, they wouldn't let me, bastards :)
There's no problem. I'm sure that half of those who are discussing this do not even want to lift a finger. They keep saying "let's choose the leader" and "write it again", but they don't want to do it themselves. That's what I want to make sure of. I also want to encourage someone to do something.
Maybe I'm not doing it right. But in my opinion, there is no other way either.
p.s. It's wildly corny, but sitting your pants/pants in front of a monitor expecting someone out there to do everything for you is stupid self-deception.
I've read Platforms and Trading Advantages and have a specific question for hrenfx:
Is it theoretically possible to implement your current VFT strategies on MT5? Or is it technically impossible? I am asking you to implement it, not to develop it. That is, how did you find market inefficiencies, using what research tools is not important in this case. But the algorithm itself will work on MT5? Or only on MT4 and OC API?
Thank you in advance.
Are your current HFT strategies theoretically feasible on MT5?
It doesn't just depend on the platform. But MT5 is unlikely to be better in this respect than 4.
HFT will not work on MT4 (or rather the efficiency will be close to zero). On MT5 the efficiency will be much better because of better speeds (according to the developers) and asynchrony. But it will not be the optimal solution either:
Любая платформа - это доп. прокладка между трейдером и рынком. Поэтому использование MT5, в частности, просто расточительно в отношении HFT
If you are serious about HFT, in this case there is only one choice - broker's API.
P.S. Entering any platform - is to write in API (not trader's, but server) the broker bridge to this platform. And this is unacceptable braking for HFT.
On the MT5 the efficiency will be much better because of better speeds (according to the developers) and asynchrony. But it will also be far from an optimal solution:
Speed is far from certain. You have to look at the specifics of the implementation.
The asynchrony is essentially a lure, it gives a gain only when placing a big pack of orders and the speed of market execution.
So, imho, this is a bit of a mouthful.
Are you working with API or MT4 terminal?
HFT will not work on MT4 (or rather the efficiency will be close to zero). On MT5 the efficiency will be much better because of better speeds (according to the developers) and asynchrony. But it will not be the optimal solution either:
If you are serious about HFT, in this case there is only one choice - broker's API.
P.S. Entering any platform - is to write in API (not trader's, but server) the broker bridge to this platform. And this is unacceptable braking for HFT.
I meant not a hypothetical HFT, but your algorithms, which, as I understand it, are implemented mainly on MT4, or am I wrong?
The factors shown in the table are similar to custom quotes, they are research advantages/disadvantages while research and testing can be performed using third-party tools.
But will the algorithm work on MT5 or not?
Asynchrony is very much needed. For example, the aggregator runs completely asynchronously. Otherwise it would be quite bad with execution. Basically asynchrony is needed (not necessarily HFT) when trading multiple FIs simultaneously. I agree that it depends a lot on bridge implementation and other factors. It will be possible to talk about it only when it will be possible to compare.
Do you work with API or MT4 terminal?
I have alreadytold you:
I use only MT4 and API of my broker for trading and getting history.
Told you before:
At the moment almost all trading is done through MT4 on "classic". Only experimental trading + gaining experience via API (no official announcement has been made yet).
Since I work only with preliminarily set limits in MT4, rewriting a strategy for API will not give me advantages because of independent limiters implementation:
В MT4 попадают (платформа не успевает) далеко не все тики. Благо, есть решения, отвязанные от MT4: можно из MT4 немного заранее (хотя бы за секунду) отправить лимитный приказ, который будет уже акцептироваться без участия MT4, т.е. максимально быстро. В частности, и по этой причине торгую только через лимитники на данный момент. Но это верно, конечно, если технологии брокера позволяют.
However, in the case of using limiters at a price worse than the current one, the results of the TS will definitely improve.
Of course any TS using market orders will give more profit when rewritten to API, because it will catch the more profitable prices.
You could hypothetically rewrite the "classics" you are using on MT5. But it will be through one place because of serious rake. There is only netting implemented in API at the moment, that's why it has similar problems.
For now the best and most convenient way to control and implement "classics" is using MT4 (looped Expert Advisor with permanent questioning of Bid and Ask symbols).