Discussion of high-frequency trading on MT5 - page 68
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https://www.youtube.com/watch?v=qM3qPJvFz2g is a libre, 8 half an hour parts. haven't watched it myself yet, except for the first 15 minutes. hate webinars.
The topic is of minimal relevance, but it is worth a look.
Financial models: why we need them and how to deal with them
Modelling models or Next Model
Models: as is or as should be? Market or structural models
Financial Hobbit: from credit to equities and back again. Capital structure models
Why trade in an efficient market? Efficiency models and predictability.
The topic is of minimal relevance, but it is worth a look.
Financial models: why we need them and how to deal with them
Modelling models or Next Model
Models: as is or as should be? Market or structural models
Financial Hobbit: from credit to equities and back again. Capital structure models
Why trade in an efficient market? Efficiency models and predictability.
Thank you. Downloaded it, will have a look at it. On cursory inspection I realised that these are more fundamental lectures than the introductory ones in the link above.
....
Interested in making trades at the price inside the Bid-Ask spread in ECN accounts. If there is such a possibility, why not take advantage of it. We are not talking about market maker style trading yet. The matter is a little bit different.
It is not a secret that many TS operate with one price for preliminary analysis, making forecasts, etc. Also we often hear the following statement"<some> TS would be at least breakeven if not for the spread ".Hypothetically constantly making transactions at a price (Bid + Ask)/2 can escape from the "spread effect" (remember the commission).
So the question is: Who has thoughts, or better empirical models about
Of course there are many additional factors, such as: current volatility, cup content and God knows what else, but I am interested specifically in this dependence (if there is no complete model) and its details. Conclusions like "the narrower is spread, the more probable is its execution " seem to be obvious. It would be desirable to detect the point when one should agree with the instant execution at Best Price, and when one should try (perhaps next time) to set a Limit order within the spread (perhaps increasing the distance to the nearest Gang).
I have not tried toget an answer on the basis of quotes from demo ECN , because there are doubts that any simulation of such a situation would be adequate to the reality. It seems to be only real.
In Opening DB the roundtrip at a ping of 8ms was 95-150ms.
The previous estimate is not quite correct at 80ms, though it takes place on instruments other than riza, due to incorrect processing of asynchronous orders. There is nothing about it in the description, and the admins are not aware of it.
Such a scatter is due to the load on the MQ server or the Plaza-2 gateway, since everything is quite stable within 100 ms by evening.
Does anyone have a result on a live BCS ?
Interested in making trades at the price inside the Bid-Ask spread in ECN accounts. If there is such a possibility, why not take advantage of it. We are not talking about market maker style trading yet. The matter is a little bit different.
It is not a secret that many TS operate with one price for preliminary analysis, making forecasts, etc. Also we often hear the following statement"<some> TS would be at least breakeven if not for the spread ".Hypothetically constantly making transactions at a price (Bid + Ask)/2 can escape from the "spread effect" (remember the commission).
So the question is: Who has thoughts, or better empirical models about
Of course there are many additional factors, such as: current volatility, cup content and God knows what else, but I am interested specifically in this dependence (if there is no complete model) and its details. Conclusions like "the narrower is spread, the more probable is its execution " seem to be obvious. It would be desirable to detect the point when one should agree with the instant execution at Best Price, and when one should try (perhaps next time) to set a Limit order within the spread (perhaps increasing the distance to the nearest Gang).
I have not tried toget an answer on the basis of quotes from demo ECN , because there are doubts that any simulation of such a situation would be adequate to the reality. It looks like there is only real.
If we talk about FOREX, ECN is impossible in practice. The best system is a combination of ECN and STP technologies - ECN/STP.
Any limit order (even long and far away), if it is executed, has been "inside the spread" before. In ECN/STP the limit will not exactly be "inside the spread" but will be one side of it. For example, the BuyLimit will be part of the best Bid Bid. Particularly for this reason, some people refer to trading via limiters in ECNs as trading "no spread", as it is executed on zero spread, or on negative spread (due to STP - positive slippage).
Depending on how many participants are able to see your limit, the problem of determining the probability of its execution is highly dependent. There is a definite correlation: the higher the intrinsic liquidity of the ECN you use, the higher the likelihood that your limit order will be executed. In other words, the more available your limit is to others, the tidier it becomes.
The task of making a deal in the most profitable way has always been relevant. It is best illustrated by an example when it is necessary to close an open position. How should this be done preferably using the market or the Limit order? The market will of course execute at the current VWAP-price (in fact, even slightly worse), while via limiters it is a bit more complicated, but there may be more profitable options. The profitability, of course, is not 100%. For example, sometimes it makes sense to trawl the limiters for a price. There are all sorts of options. It strongly depends on the volume you need and the current real liquidity (which can also be regarded as a probability function).
Basically, it is algotrading. Therefore, as of late, you are only able to talk about this topic elsewhere.
Only fools know everything. :)