Discussion of high-frequency trading on MT5 - page 41

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Heroix:
What does this have to do with decentralised Forex? Or isn't that what we're talking about now?

What difference does it make. If you need good data to catch fleas there, you will probably have to collect it yourself. The idea is very simple. Apart from having an unfiltered stream of data. There is also the problem of communication, of the Internet. Internet, as many are finding out is not quite what you need for those levels of speed. And it is not the bandwidth, but the latency and the constancy at the level of this latency. Plus the packet retention. In short, if we are talking about real HFT there everything is more complicated than many imagine. That is why everything is expensive and resource-intensive, although the algorithms there are completely dumb, mostly.

[GaryKa]

A bit of formulae from Quantum, on estimating the probability of price changes taking into account hidden liquidity

[ProstoTak]

DenisFXO:

are now making One Click, which contains a glass. It should be posted on Friday.

How can One Click help with high-frequency trading?

Even in scalping it is doubtful that it will help traders in any way by eye.

By the way, a couple of pictures from the stream (once made as a memory) of the company in question.

There you can see that there are moments when for some reason the players show real volume (billion-dollar positions)

The unit of measure is in millions of dollars in the pictures.

[hrenfx]

ProstoTak:

How can One Click help with high-frequency trading?

Don't be like some personalities here. That was never the point at all. Moreover, One Click has nothing to do with the Level2 story. Read carefully what the source wrote, not the interpretations of those who have written hereafter.

By the way, a couple of pictures from the stream (once made for memory) of the company in question.

There you can see that there are times when, for whatever reason players shine with real volume (we are talking about billion-dollar positions)

The unit of measure is in millions of dollars in the pictures.

I decided to compare the data from your picture on EURUSD with the corresponding Level2 history. I didn't know your time zone (GMT+N), but I compared prices. As a result, I didn't find anything close to billions of volumes. Most likely you have a technical error, or it's an error on the LP side, which is not uncommon.

P.S. On hotspot on the worst gangs you can sometimes see billion dollar volumes. Still assume it's a technical error, or phantom bids, since when the bestband approaches them, the volume flies away. And according to your statistics it is unlikely you will see very high volume on the bestband. I have not analyzed the effect of Level2 misalignments on subsequent price movement.

[ProstoTak]

hrenfx:

Don't be like some personalities here. This was not even talked about at all. Moreover, One Click doesn't even have anything to do with the Level2 story. Read carefully what the source has written, not the interpretations of those who have written hereafter.

I decided to compare the data from your picture on EURUSD with the corresponding Level2 history. Didn't know your timezone (GMT+N), but compared prices. As a result, I didn't find anything close to billions of volumes. Most likely you have a technical error, or it's an error on the LP side, which is not uncommon.

P.S. On hotspot on the worst gangs you can sometimes see billion dollar volumes. Still assume it's a technical error, or phantom bids, since when the bestband approaches them, the volume flies away. And according to your statistics it is unlikely you will see very high volume on the bestband. I haven't done an analysis of the effect of Level2's skewness on subsequent price movement.

There is no error.

I write the history myself, although it is possible to download from the server of this company.

At those moments, was in the market, observed everything.

By the time of terminal fx+++n plus 2 hours (plus or minus a couple of minutes).

Billion dollar volumes were at a better price. My theory, probably a mistake by the operators, who usually do not shine a light on the real volumes driving the market. The phenomena themselves are 1-5 minutes in duration.

[hrenfx]

Found it:

2012.12.11 16:58:32.564 ask     1.2992  200000  1.29922 2200000 1.29923 3000000 1.29924 7200000 1.29925 518550000
2012.12.11 16:58:32.591 ask     1.2992  200000  1.29922 2200000 1.29923 3000000 1.29924 7200000 1.29925 518550000
2012.12.11 16:58:32.615 ask     1.2992  200000  1.29922 2200000 1.29923 3000000 1.29924 7200000 1.29925 518550000
2012.12.11 16:58:32.647 ask     1.29922 2400000 1.29923 6200000 1.29924 12500000        1.29925 522050000       1.29926 1001500000
2012.12.11 16:58:32.672 ask     1.29922 1500000 1.29923 6200000 1.29924 12900000        1.29925 522050000       1.29926 1002500000
2012.12.11 16:58:32.696 ask     1.29922 501500000       1.29923 1006400000      1.29924 2012700000      1.29925 3022750000      1.29926 5500000
2012.12.11 16:58:32.716 ask     1.29922 501500000       1.29923 1006400000      1.29924 2012700000      1.29925 3022750000      1.29926 5500000
2012.12.11 16:58:32.746 ask     1.2992  200000  1.29921 500000  1.29922 502700000       1.29923 1007700000      1.29924 2012500000
2012.12.11 16:58:32.767 ask     1.2992  200000  1.29921 1500000 1.29922 502700000       1.29923 1007700000      1.29924 2011500000

Whether it is an error or not, I can't say for sure. On the grey lines, I'm leaning towards error - unrealistic total volume.

P.S. Sometimes you have to pay for mistakes.

[Алёша]

I'm really sorry for being so dumb, but I can't get anything to download.

I tried many combinations of "FXOpen-ECN Demo Server - FXOpen Investments Inc." and simply "FXOpen-ECN Demo Server".

Just crash and nothing happens.

What do I have to enter in the "Adres:" Username:" Password:"? I on the basis of banal logic entered the server name and its demo identifiers.

PS: What is the"One Click" ??? from the terminal dragndrop option or what? I apologise again, but a lot of time is spent on some nonsense. Words, words, words... Where's the glass?

[Igor Konyashin]

Alex_Bondar:

I entered the server name and my demo identifiers based on trivial logic.

IP is probably needed. How will the software know the server names and their corresponding IPs?

[Алёша]

i_logic:
The IP is probably needed. How will the software know the names of the servers and their corresponding IPs?

Which one?

[Igor Konyashin]

Alex_Bondar:
Which one?

You can look it uphere.

Or google it.

Or ask your broker's support team.