Discussion of high-frequency trading on MT5 - page 71

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Heroix:

In my opinion, this is inter-dealing arbitrage. I.e. trading on a lagged quote from one of the NDCs. Fair enough, right?

If we are talking about HFT arbitrage within one DC, the equity curve will be more broken, but at almost the same angle until a certain point (liquidity exhaustion, application of "special" rules to you, etc.). I can give you an example if anyone is interested.

Wrong, it all depends on the particular TS. For me, let's say an unrealistic 1:1000 leverage and maximum deposit load is a boon. As you see it from one angle, from your point of view, that is not true for everyone.

Sometimes I look at it from one angle and it is not true for all. Of course everyone has his own view on trading, for example I am a big overestimator, what can I do with such a disadvantage in Forex.

Even in relation to HFT, on this thread I am more interested in motivation than in useful technical information...

Now about the inter-dealing arbitrage - I wrote that there really is such a component, and it's on the script in the engine itself m.b. purely implemented, but besides it there are also EAs under MT4 with neural networks and a set of filters.
All of this works together and interacts via a set of objects such as terminals, EAs, symbols, orders, bars, etc. that are created in the engine and their properties and methods are available in MQL and from the engine scripts, though objects can also be managed manually.
I took screenshots of what it looks like, the stages - collecting patterns, training, trading...


 
lohhft:

I've been asked in private, and I've outlined the basic components I use to create what I think are HFT strategies:

1. Filtering and decomposition of frequencies, HF component traded relative to LF.

2. Arbitrage and quotation profiling onmulti-term price streams.

3. Adaptation, pattern recognition, clustering and neural network training.

There are a lot of specific implementations, I use special engine...clearly the last two points are not realistic to do under bare MT4. Here's the link __http://hlaiman.com - they are a little known neuro generator and many more gimmicks, but weak advertisement and docs...

I am very sorry ... I haven't read everything here ... but what is a multi-terminal price flow? And how can I use it in Expert Advisors? And pattern recognition is like ZUP in on*x? I understand arbitrage. I see the frequencies. And how do you determine the time when you want to attach your EA to the chart for 10 minutes?
 
newdigital:
I'm very sorry ... I haven't read everything here ... What is a multi-terminal price flow?
I understand selecting the best price to open a trade out of the many submitted. It's essentially the same as arbitrage, only not as an end in itself, but as an auxiliary tool.
 
TheXpert:
I understand selecting the best price to open a position out of the many submitted. Essentially the same arbitrage, only not as an end in itself, but as an auxiliary tool.

Did he invent a ready-made platform? All the achievements of the world in 1 ... 2 ... 3 ... :) Not a word about neural networks ...

The main question is how he defines when he wants to start trading and when he wants to finish it. Because I've understood that it is determined in advance. I'm a very long and long been trading martingale scalpers (from 1 year to 3 years on one account) ... the main thing is how it determines when there is exactly the right time to start trading. Because the rest of the above is all known in the world.

And on a real account, opening-closingposition in 2 or 5 seconds will not work (there's a statement one or two pages back) ... maybe - he was trading inside the spread ...

 
newdigital:

And on a real account opening-closinga position in 2 or 5 seconds won't work (there's a statement a page or two ago) ... maybe - he was trading inside the spread ...

You bet. I don't know about 2, 5 or more lots, 1 lot is not an issue. Although, with market execution the issue is more about slippage than execution time, because time can be measured in fractions of a second.
 

It won't work. I randomly downloaded his statement (he has several of them in the zip) - start of trade at 15.42, end at 15.53. Total number of open positions - 91. That's 8 open/close positions per minute. That's 8 closes with openings per minute. That is - 16 transactions for a metatrader per minute. That's 60 divided by 16 .... one transaction in almost 4 seconds ... That's at least "trade context is busy" ... There are such Expert Advisors. But the important thing is how it determines those 8 minutes a day ... not at 12.34 ... not at 08.21... but exactly 15.42 exactly on this day. Because we understand that if you leave this EA for a week or a month, it will sell everything.

 
newdigital:

It's at least a "trade context is busy" ...

And that's where I'm going to disappoint you. The latest versions of MT4 allow sending several orders simultaneously, I don't remember the exact figure, under 10 I think. So it will be difficult to catch an error in trading context.

newdigital:

Because we understand - if you leave this EA for a week or a month - it will sell everything.

I don't know. This trade is very different from the way you trade, for example. It's not a martin, it's a higher matter.


 
Still ... one operation in 4 seconds ... ...on different pairs... plus there's something else going on in there - not just orders opening as I see them... he listed it item by item ... The Expert Advisor does not decide what to do for a week at weekend (like me), but on the fly. That is, there are more than 10 at a time, and at news time (when spread is higher and broker's metatrader is more sluggish).
 
newdigital:
Still... one operation in 4 seconds... on different pairs... plus there's something else going on in there, not just orders being opened as I see it... he listed it item by item ... The Expert Advisor does not decide what to do for a week at weekend (as I do), but on the fly. That is, there are more than 10 at a time, and at news time (when spread is higher and broker's metatrader is more slow).

I haven't checked it on real (sorry), but on demo MT5 it hits 100 orders per second.

So, in this sense, the technique rules, and the data analysis using an intelligently optimized algorithm is also not weeks. Array search is more than one million reads per second. The power allows now.

In MT5 there is no "trade context is busy", I just send orders to the server and get answers after a while in OnTrade. If the orders are for many pairs (i.e. independent), you can get the average execution of 1 order per 4 seconds even in a very slow broker's execution.

 
Urain:

I haven't checked it on real (sorry), but on demo MT5 it hits 100 orders per second.

So, in this sense, the technique rules, and the data analysis using an intelligently optimized algorithm is also not weeks. Array search is more than one million reads per second. The power allows it now.

In MT5 there is no "trade context is busy", I just send orders to the server and get answers after a while in OnTrade. If the orders are for many pairs (i.e. independent), you can get an average execution of 1 order per 4 seconds, even with a very slow broker's execution.

I agree ... I may be behind on metatrader ... on MT4 I was trading tick multi timeframe scalpers (10 second) ... on s*ftlayer the server got stuck with 11 metatrader :)

I'm not talking about metatrader. I meant his Expert Advisor in the comment (I'm still working on it).

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