Discussion of high-frequency trading on MT5 - page 48
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Trading is simply this kind of synthetic:
Synth = EURJPY^(-1/4) * USDJPY^(1/4) * EURGBP^(1/4) * GBPUSD^(1/4) - one variant of a cointegrated synthetic that has Bid and Ask prices at any given time.
Build these prices and calculate at least theoretical its potential profitability. Of course, the MT-tester is not suitable here.
Obviously, trading such synthetics requires HFT sharpening with a competent approach.
Finding prices for synthetics requires accounting for commission costs. This can be done in two ways, the simplest of which is to make each symbol a commission markup on its Bid and Ask prices before calculation. Then the calculated synthetic will also contain a markup of the additional commission.
P.S. Forget about addition and subtraction in synthetic formulas.
Here and here you can clearly see the random calculation of the VWAP for each half of the cup.
It is clear that people need to operate with some average figure, but doing it with a weighted average seems wrong to me.
Below is my version of such an average.
You have overestimated/overestimated with VWAP. VWAP prices are specified for a user-defined desired volume per trade.
In this sense, it is sometimes useful to use VWAP as a tick history filter. For example, you want to have a tick history, which would correspond to at least 1 mio of volume. Then you upload Level2-history and write VWAP-Prices instead of BestPrices on each tick.
I had the task of approximating the volatility of the symbol taking into account the tumblr.
At first, I don't touch latent and fake liquidity yet (I don't take it into account).
It is clear that relying only on Best Prices is unreasonable. But it is necessary to have some reference prices on every tick.
I naively thought that VWAP price was being used for similar purposes.
P.S. The algorithm in the post above clarified a bit
Write simply how you think the above two VWAP tumblers now count.
Better still, run each one and see it live.
Yes, I realized my mistake. VWAP shows average price of a deal at which the trade is closed for the current volume (the limiters will be removed starting with the best one until the requested volume is reached and the weighted average is calculated). This is the purpose of displaying VWAP.
For some reason I assumed that VWAP display is "informational" character a la mashki (probably because of the similarity of the calculation algorithm). In that case, the cited algorithm of average is just another average, not pretending to replace VWAP))
We have expanded the capabilities of MetaTrader 4 because it's time to expand the STP execution in the system. Now (with the new build) brokers will be able to easily overlap on any other companies, providing traders with better execution.
If it is realistic to make a reliable MT4 <-> MT4 STP bridge, it will be a huge step forward for the entire FOREX retail industry, as MT4 is a major platform player in this field.
Of course, completely remains relevant:
So facilitating the implementation of STP is closing a gap that needed a solution. And such a solution has been implemented many times by third-party developers.
in fact, nothing will change at all in the brokerage overlap area, because everything has been working for a long time.
Since no one will change the off-the-shelf solutions involved without a good reason. And it is thanks to third party developers that MT4 is connected to the real FOREX market. Therefore, if a regular STP-bridge turns out, the brokerage companies from the market-maker model can always switch to the STP-model, at least indirectly, thanks to the third-party developers.
It is clear that third-party developers (e.g., PrimeXM) will practically bury the in-house STP bridge. Since taking a third-party solution makes sense only for large brokers, because it is more profitable with a large client base and turnover without the MT4-intermediary. And there are not so many large MT4 brokers, that third-party developers can safely survive.
It's the law of life, Metaquotes let others do the hardest thing (come up with, work out a good MT4 connection to the market) and then bury their own. You can't criticise them for that. But it is fair to say that Metaquotes' desire to advance in STP stands entirely on the third-party developers created. And without them, the creation of STP-bridge MT4 <-> MT4 would be completely pointless.
I'm excited for the improvement of the FOREX industry. Good, if only for the developers' own benefit, but such phrases:
At the moment, the development of retail-FOREX is held by the product, which in its time contributed to its rapid development - the Metatrader4 platform. Now we can say that it has been used for more than its developers intended. Unfortunately, the stereotypes imposed by MT4 (once useful) are seriously outdated.
Need to be clarified.
P.S. Unusually, but as a trader, I want to thank the third-party developers who really made a revolution in FOREX retail. And I wish good luck to Metaquotes in its further progress on the way of transformation from MM-model to the market one, remembering who played what and when on this way.
P.P.S. Definitely, MT4 will live for a long time to come. The situation, as with MT3, will not repeat. The good thing is that the competitors don't doze off either.
The topic New MetaTrader 4 Client Terminal build 480 is also about HFT, so I will quote the main points:
2. Terminal: Увеличено число разрешённых параллельных торговых операций для программ MQL4 - теперь разрешено до 8 параллельных торговых запросов. Это обеспечивает бесперебойную одновременную торговлю нескольких скриптов или экспертов - это означает, что практически невозможно в нормальных условиях получить код ошибки "Trade context is busy".
4. Terminal: Disabled support of local Data Centers and manual setting of Data Centers in the tab Tools->Options->Server, now everything works automatically.
8. Terminal: Fixed update error in the list of open positions when actively trading.
9. Terminal: Reworked LiveUpdate mechanism - now, when a new version is detected, the terminal downloads it in the background. The downloaded version is updated at the next terminal start.
The 4th and 9th items raise doubts. But overall it is a step forward in the development of the stale MT4 terminal.
I also would like to see some sort of CPU usage indicator to avoid the situation when the terminal seems to run very fast but actually lags a lot (especially in light of the innovations in step 2).