Discussion of high-frequency trading on MT5 - page 4
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I'm just a bit 'into it'. Quants and stuff like that might be needed in ultra-liquid markets. And there aren't that many of them. The vast majority of markets don't require all that.
I am just a bit "in the loop". All sorts of "quants" and other crap may be needed in super liquid markets. There aren't that many of them. The vast majority of markets don't require all that.
If so, give us a hint as to what you think is not "bullshit". Why throw in negative emotional classifications without justification and offering nothing in return. Offer your interpretation of HFT on FOREX, there will be much more trust and gratitude to me and participants of the discussion, than just groundless denial.
Isn't FOREX an ultra liquid market?
Isn't FOREX a super liquid market?
Where is it, "forex"? There isn't one. There is only a collective name for a bunch of venues. HFT applies to a specific trading floor and moreover - to a specific instrument.
And to understand what is what you can begin to analyze the HFT algorithms. Conditionally, we can distinguish two classes (there are more): a) elimination of imperfection (arbitrage); b) prediction algorithms (following the wormhole, quantitative and statistical methods, whatever comes to mind).
To the first we may refer all kinds of spread trading (it does not reach HFT), equilibrium near-futures-long-futures, synthetic futures-futures, synthetic call-call option, synthetic put-put option (with "synthetic" we may already speak about full-fledged HFT, because one can follow many strikes), volatility smile spread trading, volatility smile slope spread trading, etc.
The second would include a variety of "ticks" and "volume" algorithms (cup analysis, slab lookup), gov't tracking, analysis of large trades. I would also include various statistical algorithms of which there are a lot.
In many algorithms, you have the choice between "riding", i.e. limiting, or "cutting off the shoulder", i.e. hitting the market. The speed is of course very important, but for the "limit" strategies, the speed requirements may be lower.
P. S. There are a lot of other methods, but first - I do not know them all, and second - you should start with a simple one.
P. P. S. At the Ukrainian Exchange (UX), sometimes by minutes no deals. There, you can just organize a normal high-frequency robot through Quik and put it at home. There is no point in having it on the floor of the Exchange
The average HFT-er with funds will not go into FOREX. The differences are too steep.
The principle of HFT is not about high frequency, but about quickness. Being able to catch and trade is the basis of HFT.
The high frequency is just a consequence of the fact that in the fund there are a lot of such situations when you need to catch up.
This is not the case in FOREX. Of course, FX-HFT is not limited to one platform, the trading is carried out in an established independent darkpool, which is a centralization of a significant slice of the decentralized FOREX market. I wrote more about it here.
This text only answers simple questions about the MT5:
Why there is no custom history option.
A pro algotrader always bases his/her choice ONLY on trading conditions:
торговые условия - цены, ликвидность, latency, исполнение, модель ценообразования, комиссии, маржинальные требования, API, надежность сохранности денежных средств, собственная техническая устойчивость брокера, устойчивость к манипуляционным и техническим нюансам провайдеров ликвидности, юридическая защита от возможных проблем с STP-участниками рынка и защищенность (анонимность в общем потоке) торгового потока от токсичного статуса.
MQL5 is in particular a trading (in the broad sense) API. So this API is very limited. I'm not saying this is a bad thing. In terms of business and popularity, it may even be the best API. But from the point of view of a competent algotrader this API is a weak link of trading conditions.
Note that the quote above doesn't say anything about the tester, historical data, etc. Yes, it's important, but for a professional algotrader it's only an accompanying component that he can implement himself in one way or another. On MT5 there is really a lot to implement. But if the question arises as to where it is easier, more convenient and faster for a certain class of strategies, then MT5 is sadly not the case.
So MT5 has its own niche - the mass market, and that's a lot of money. And speaking of prof. usability, as a direction of platform development for algotrading, this direction is a tenth issue for developers.
P.S. Once again, for those who don't understand. MT5 is an excellent platform for mass users. For a professional algotrader it is not even an option. And it was all about HFT (which I practice a bit).
Where is it, "forex"? There isn't one. There is only a collective name for a bunch of platforms. HFT applies to a specific platform and moreover to a specific instrument.
+5 !
And it would be interesting to hear a detailed opinion of knowledgeable people on a more or less reliable scheme of forex in its current form (not the old kitchens, but taking into account the emergence of NDD brokers, ECN accounts, etc.).
+5 !
And it would be interesting to hear a detailed opinion from knowledgeable people on a more or less reliable scheme of forex as it is now (not the old kitchens, but with the emergence of NDD brokers, ECN accounts, etc.).