Discussion of high-frequency trading on MT5 - page 54

already told.

Dick was already blown on page 30. No fish or fry.

Yes, he's been getting information, yes, he's got a bigger brain than most people.

Now he's just trying to be manipulative. But as a result, the actual amateurism in all aspects of things he allegedly knows is shining through.

You are talking about the most primitive strategy to use aggregation negative spread - almost classic arbitrage.

You can find answers to such questions in my writing(one of the sources), but I'll write a little here as well.

Such a TS is the very classic toxic flow, which if an aggregator uses a prime scheme, is elementary calculated at least by the prime itself.

That is, at a minimum, the aggregator should act independently of the prime. To be a kind of prime itself. My broker's aggregator and the private non-universal aggregators of some banks and high-tech hedge funds are just that. Algorithmic departments are based in such entities, which also deal with classical arbitrage, among other things. For this TS it is highly desirable that the liquidity traded is not from large market makers but from other market participants. That is, for arbitrage to pour money out of the pockets of not the strongest market participants.

Zero latency with wide aggregation is fabulous. That is, classical arbitrage is not a risk-free strategy in practice. However, with HFT sharpening (the fastest execution) and this strategy comes down to positive MO.

One thing all HFT strategies have in common is that they require uncompromisingly low time delays to work. This is what I think hrenfx is talking about. I get the impression from the discussion that some people don't understand that... True, I don't agree that if a strategy needs low latency - it becomes HFT from that.

Is the problem on Dedicated Servers hushed up :)?

It's not a hush-hush. Everything is innocuously described, it is the job of the developers to react in a certain way, or not. Renat reacted in the way he knows how to do it. I don't think anyone was surprised.

For example, on this MT4 update which is planned now:

I have written several times on forums and even in Service Desk (almost a year ago):

Wrote and provided a methodology to reproduce the bug 100% (I checked on several machines and some traders at my request - all succeeded). However, I was stubbornly told that they couldn't reproduce the bug. And after long silent pauses to my questions about the bug after each release of a new build, they just closed the request to Service Desk. And I was pleasantly mortified, having read p.8 above. So that's how the "blackness" and "another lie" gets glossed over.

Waaaah! What a viral topic this is turning out to be!

By the way, the epidemiology of forum topic popularity is quite similar to autocorrelation/ trend formation in the markets, a trend breeds a trend, and a flat is a flat... Just like YouTube videos and many socially disseminated information blasts, reflexive to people's herd instincts, in the form of the number of views and likes. Everyone wants to be part of an avalanche process, to be part of a larger force, it gives an illusion of security. The main thing is that there is value in the information extracted from the participants, who spit it out little by little to increase their credibility (unknowingly), when the topic is high-profile information can be extracted more than when there is no interest in the subject. Well, it's just so ... lyricismDemagogy.

Point me in the right direction, because I am a sinner. I'm completely confused what the term HFT means now ,especiallyFX-HFT???

What are the parameters of this category? I was completely confused by the statement of a reputable member pro, HFT with hourly trades.

Before, I had exclusively attributed to this category the parameter of frequency of trades per unit of time. For example 100-1000 trades per second, for a stock HFT with 1000-10000000 orders. SupposeFX-HFTis more conservative, but what are the criteria for belonging to the category? From 10 trades per second and 100 orders? Or from 10 000 deals per day? Or what is the TC type? Forex traders and etc? OrFX-HFTcan be considered as any type of trading, on ECN\STP, with a certain execution speed? Or maybe the use of Level2 allows us to consider the TS and the trading itself as belonging to this honourable category? We have to figure it out.

Some kind of vortex comes out otherwise.

I would like to formalise into a concise definition, and agree with the other gentlemen.

So:

Term 1:

Term 2:

To summarise, here are a couple of options:

1) FX-HFT is a class of trading strategies, for trading in the FOREX market, the main distinguishing feature of whichis, sensitivity to the quality of execution of trade orders.

2) ............, the correlation of MO profits with the speed of trade order execution is ~1.

Does everyone agree with that?

I mean the exclusion of the "velocity" factor. Or do you need a logical И?

The definition is clearly incomplete, I think we need to clarify, by many И.

At least give an approximate range of trade density and specifics of the TS.

You are trying to put precise wording where there can be none. It's the same as giving a definition to scalping, pipsing. And then bluntly reducing everything to a "spirit of understanding".

FX-HFT is HFT in FOREX. It's not about the term, but a clear understanding of the importance of execution quality.

The whole task of the algotrader comes down to this: to make the historical tester reproduce the result as close as possible to the real one.

That is, the task is to make the tester almost indistinguishable from the real one. And the less difference, the more opportunities to analyze the market using algorithmic methods.

Obviously, the less restrictions imposed by the real, the more opportunities such a tester has.

With HFT-infrastructures the tester gives the possibility to investigate the market with the largest number of regularities in it.

When the real is overloaded (problems with execution), the amount of regularities decreases. If the tester loads at all (artificial ticks on the basis of OHLCV-bars), then it allows to investigate the market with almost the least amount of market regularities. In other words, it is just a question of defining an acceptable level of roughness of the real representation as an indicator of limiting the amount of potential market patterns to be detected.

Some people like to trade on the H1 timeframe. At the M1 timeframe all the possible patterns that could be found on H1 are also included to M1. Plus there are plenty of other regularities. The question is where and why to limit yourself. And if there is a possibility, is it worth limiting oneself at all.

I didn't say anything about accuracy, and I didn't say anything about a "spirit of understanding". You have me confused with someone else. You need to define the main characteristics of belonging to a class. One characteristic as "quality of performance is important" is not enough, because then all strategies would fit into the category of HFT. And having set quantitatively, at least approximately, the measure of this "importance", we can come to important conclusions concerning other characteristics.

For example, if profit MO of max\min depends on execution delay in the range of 0,001-1 sec, then we can logically state that trades are on the average of 1 second, if some of them stretch for an hour, then it's statistically insignificant. If a delay at the border of 0.1sec makes the MO of profit zero, then deals of less than 0.1sec live on the average, the main part of them.

Knowing average life time of a trade we can estimate order of their density. This will at least specify the situation.

For example, in scalping and pipsing, the average deal takes ~5 minutes, i.e. there are hundreds of deals a day. If we say that the deal was closed in one hour, we exclude it from the scalper category.

FX-HFT in this way means thousands of trades per day, or am I wrong? For example, a mid-term deal, say a week, can also be HFT?