Discussion of high-frequency trading on MT5 - page 61
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Alex_Bondar
...
I'm sorry, I probably didn't understand you completely.
What do you mean by "averaging the stack by minutes" and"with un-traded orders including"...?
I download the history from Dukas, it's not empty and bids and asks separately, as well as their volumes, from tick and above, all in one file per symbol (bid(ask)).
I don't know much about non-trading (if you mean phantom orders on level2).
I'm sorry, I probably didn't fully understand you.
What do you mean by "averaging the stack by minutes" and"with un-traded orders including"...?
I download the history from Dukas, it's not empty with outputs and bids and asks separately, as well as their volumes, from tick and above, all in one file per symbol (bid(ask)).
I don't know much about non-tradability (if you mean phantom orders on level2).
Alex_Bondar,
I wondered if somebody took hrenfx's advice and added a way to save the history in FDK itself, so it would be saved as in Dukas in one file and not in a bunch of small archives.
If I'm not mistaken, on Dukas you can only download tick history for a day? There used to be "from" and "to" tabs.
On the STP/signals topic touched upon in passing:
Already on every corner.
Signals are a slow, systematic drain if only because of the implementation of everything via the marketplaces (the reasons are deeper). But the problem for clients isn't even that, it's something else:
Качественный управляющий там, где лучшие условия. Более того, это большая удача, когда качественный и опытный трейдер готов открыть ПАММ. Почему? Потому, что у них достаточно собственных средств и лишние обязательства просто ненужны. Некоторые системы требуют большой ликвидности, иногда её не хватает на себя, не говоря уже про дополнительные средства, с которых надо ещё и делится. Я очень пессимистически отношусь к тому, что трейдер имеющий несколько мио КУ будет выбирать площадку, где много мелких Клиентов не обращая внимания на торговые условия, регуляцию и так далее. К сожалению, огромная часть управляющих ищут площадки с большой партнёкой, что говорит лишь о неуверенности в собственных торговых талантах (так и есть на самом деле). Сейчас появилось столько чудо-трейдеров с миллионами в КУ и все торгуют исключительно в одной какой-то Компании, раньше нигде не торговали, но неожиданно открыли в себе трейдерский талант))
PAMM is the only true scheme for an investor and that for the time being:
If the client is adequate - understands the cost of his strategy, he will not go for a partnership. They will simply open a PAMM account and they will quickly put the required amount under management. As soon as he feels the liquidity ceiling, he will stop trading on the PAMM account and will only trade on his own.
A branch of p...t.
Total roundtrip
- at the opening on MT5 80 ms,
- through FIX 30 ms.
- through Plaza ~15 ms.
Let's consider that HFT on MT5 is over, no miracle happened.
Let's consider HFT on MT5 finished, no miracle.
what does MT5 have to do with it.
HFT will not work on LP either. there execution time from their side is up to 40 ms. so HFT is out of the question even in LP's local network :))
this is a completely different technology.
I read the thread with interest as I have some thoughts on a close subject where I need to work with tics.
I used to be with Int. Brokers, then switched completely to forex and changed many brokers. Now I have MT5 ECN account opened. On ECN I get on average 2 ticks per second. On Int. Brokers had 5-10 and practically no delay, i.e. even price movement on news was gradual (relatively) and could be tracked and traded, which was a big plus.
So I was interested in the tick statistics provided by HrenFX. I opened a demo account and came across the long forgotten delights of MT4: order execution is noticeably sluggish even by eye compared to MT5, orders and positions are processed sequentially. How can I talk about high-frequency trading in such conditions? And if we take into account that arbitrage requires the execution of thousands of orders, which translate into hundreds of positions that need to be processed on every tick, and all this against the background of unpredictable waiting time of server's responses, then we get a hot pan oil painting.
It is like trying to hit a supersonic fighter jet with an onion. Roulette is more reliable. By the way, at a certain level of prize money, it makes sense to play the lottery. Bet on all the combinations and you win. And there's no tax on winnings in Canada.
But if anyone is seriously interested in HFT, here's a link to people who do it and share their knowledge and results.
http://epchan.blogspot.ca/2012/03/high-frequency-trading-in-foreign.html
As was to be expected, the topic of the MT4 <-> MT4 STP-bridge, which was also casually touched upon by traders, could not leave other participants in the FOREX industry unaffected: A Major Server Side Metaquotes Build Threatens Third Party Eco-System.
So I was interested in the tick statistics provided by HrenFX. I opened a demo account and came across long forgotten charms of MT4: order execution is noticeably slower even by eye compared to MT5, orders and positions are processed sequentially. How can I talk about high-frequency trading in such conditions? And if we consider that arbitrage requires the execution of thousands of orders that translate into hundreds of positions, which must be processed at every tick, and all this against the background of unpredictable waiting time of server's responses, we get a hot frying pan.
Here is another resource, although in English
http://www.meetup.com/quant-finance/messages/boards/
They have online presentations and discussions. Recent topics:
FIX 8 presentation
Ernie Chan's Pitfall to Backtesting
Got questions on building this C++ HFT platform or my model or strategy development R scripts?
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Another website
http://quantlabs.net/blog/category/hft-high-frequency-trading/
Good luck to all