Discussion of high-frequency trading on MT5 - page 57
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The fact is not really about advertising the resource, but the fact that such technologies have been implemented and will pressurize the kitchens of brokers, who will be forced to move towards the trader.
This is just more theoretical nonsense about FX-HFT being impossible. It is also nonsense to say that FX-HFT is possible, if they are also theoretical.
No one here has tried FX-HFT in practice. I, on the other hand, have tried it, thanks to a unique and universally available darkpool, which took millions of dollars to create. I suggest you just take it and try it, as the solution is available to anyone.
For the first time, a toolkit that only banks and high-tech hedge funds could use, because the cost of creating it is huge for a physicist, not to mention the other fixed costs, has become available to the mass client.
You see FOREX from a single trader's bell, and in a highly distorted way. It so happens that I know the FOREX-industry from different sides. Somewhere very well, somewhere not enough. You would listen to the practice and just give it a try. And on the basis of the experience gained in the HFT, talk about its possibilities, rather than engage in theoretical musings "to be or not to be".
As advertising rights, I forgot to add.
There will always be a lot of people accusing me of PR and scamming, because there have always been more theoreticians than practitioners.
I will speak about things as a practitioner. Critics, do you have any FX-HFT experience? If you ask questions about the mechanics of FOREX, every single one of you would fail.
I would have failed too, when I didn't have the experience I have now. Learning all the time, improving myself in algotrading.
You see the very tip of the iceberg of the entire FOREX industry. I have great respect for Renat, for example, for what he has done and for some of the things he is implementing. I know that it is not easy. That it's a huge amount of development money, etc. And the developers in this thread respect each other in one way or another. Know the mutual pros and cons.
Completely stopped criticising Renat for MT5 once I realised the focus of this platform. MT5 will completely gobble up Quick on the Russian fund and take over the majority of that market. Already third party developers on the russian fund understand this and are sounding the alarm. Because MT5 is a head above the existing mass solutions. Not for professional traders of course. But it wasn't created for them.
You can't be a good algotrader without getting at least a superficial knowledge of the industry. Here everything is discussed from the point of view of a kitchen trader.
When will you start thinking? You do not have to answer, I know that in the masses you never will. But there are exceptions, someone will definitely break out of the gray mass of the trading meat.
There will always be plenty of people accusing me of PR and scamming, because there have always been more theorists than practitioners.
Actually, PR and scamming, and theorists and practitioners are completely unrelated things in terms of logic.
And by the way, no accusation there, just a statement of fact. PR, advertising - it's all great and sometimes even profitable, you just need a warning.
When will you start thinking? You do not have to answer, I know that in the masses will never start. But there are exceptions, someone will definitely break out of the grey mass of trading meat.
All the smart and thinking ones have long since escaped to wherever possible, to normal regulated platforms. Trading-meat is a misnomer, forex-meat is more accurate.
Not in any way a pissing contest: do you have a turnover of tens of billions and tens of thousands of FOREX trades under your belt? I am sure that compared to you when talking about exchanges, I am a total zero. But when a stockbroker, who has tasted kitchen FOREX, takes it upon himself to talk about the FOREX industry, it looks a little inadequate.
what is the forex industry? is a currency exchange in a crossroads forex? are forex kitchens forex? or are currency futures forex?
If you are claiming any kind of innovation, I assure you that everything was stolen before our time. the form changes, but the content remains.
Accusing me of PR...
If I were you I wouldn't comment on posts by dudes like Risk, m.buta etc... It's noise that should be filtered out. But your right.
To the rest. PR is primarily characterized by the effect module, not the sign, the sign is very easy to change and the module is hard to scale.
And why is advertising necessarily evil? Have you ever considered the possibility that you are simply informed about a new product or service?
No... No ... jealousy and malice will not allow you to think that way. Ok, eat your andrenochrome and cortisol and see if you get cancer soon. aaaahhhhhhhhhhhhhhhhhhh(lucifer laughs)
The posts by hrenfx here are among the select few, there are no more than 5 people on the entire resource handing out free valuable information and you can close your eyes to his sometimes inflammatory remarks and potential advertising, which as I said may be useful and not advertising for sure, but just information.
I stick to the more standard understanding that HFT is about taking advantage of technological advantages (minimal ping and supercomputers, for example) in order to squeeze a huge number of crumbs out of "suckers". "Huge numbers" means at least tens of thousands of orders per session. And that requires very serious money, which hardly any traders here have at their disposal.
Pretty vague too. We need quantitative corridors.
On the other hand, when I was doing market making on one of rotten but promising instruments (that algorithm definitely fell into the category of HFT, because it was based on very fast shifting of orders) - time of position holding was about 10 minutes, but its hedging took place within 100 milliseconds after opening. >50k orders per day, fill rate <1%. The competition is very high :(
Here's an example of specifics for stock algorithms.
It's not that I'm referring only to average position holding time, hashed and not, but about all possible major characteristics (2-3).
At the moment two are highlighted:
1)MO profits fall quickly when the quality of order execution deteriorates. (we need to quantify).
2)Average position holding time <1min. (but how much?)
The exceptions clearly exist, but they are beyond 3 sigma as they say. In this case Gaussians rule.
What is the category of strategies more capital-intensive than HFT?
I do not know if such information is available on FX. It's not a problem to get it on the stock markets (well, except technologically...).
Judging by my day R&D they don't. Level2 is even questionable, due to the very specific nature of the market and the possibility for DCs to heavily distort the data.
And HFT is primitive in terms of mathematics.
I would argue here :) Many well-known models are quite complicated to put it mildly, but not in terms of understanding the concepts, but precisely in terms of the mathematics used.
There was a time and I was engaged in development of gas dynamic and hydrodynamic simulation models, there all on spatial mathematics, on Navier-Stokes equations in basis, but because simulations are approximate calculations on computers, there is a step in time and space and it is far from "infinitesimal", or even Planck constant :) Eventually such models regress, into a sequence of blocks(solvers) solving a simple algebraic action, between data from the previous step, at a given step in space and time. And that's when I realised that theoretically "right" can give wrong results, and alchemy allows you to get a bonus at the end of the month.
It's the same with forex. There are no abstract, infinitesimal quantities, and the number of variables in a function and their "weight" are undefined. Difuras in forex, can be misleading. Matan is a must, but for general development, if you didn't pass it at uni.
who are the forex industries? is a crossroads exchanger forex? are forex kitchens forex? or are currency futures forex?
Read this resource, the leader in FOREX industry news coverage.
If you are claiming any kind of innovation, I assure you that everything was stolen before us.
A few years ago, I might have even subscribed to those words. But surprisingly, life has shown that even in such a super-liquid and seemingly super-efficient FOREX market, there are even inefficiencies unimaginable for modern exchanges. The only question is whether there is an infrastructure, which will allow to trade these inefficiencies.
Very long time ago I knew a Moscow bank, where they were trading stupid arbitrage between EBS and Barclays (there were other platforms too) mostly on strong news, like Non-Farm Payrolls. It was not super profitable, but almost risk-free. It was the bank's infrastructure. It was dumb, but still available only to the bank's algorithmic department.
Now there is a very powerful infrastructure that is much stronger in terms of organisation and technology than that bank, in particular. This is the result of a huge amount of work, which does not stop, because there is something to develop. It is not specifically aimed at retail traders. It just so happens that the retail trader is one of the first to be able to benefit from this work for free. Everyone can choose whether or not to use this opportunity. Darkpool itself is neither warm nor cold.
Read this resource - the leader in covering the news of the FOREX-industry.
That's what he is, the leader.)
Such incompetence can only fly on this forum.)
But surprisingly life has shown that even in such a super-liquid and seemingly super-efficient FOREX market, there are even inefficiencies unthinkable for modern exchanges. The only question is whether there is an infrastructure that will allow these inefficiencies to be traded.
WHATA ? ;)
you are not a millionaire then ? ;)))
the locals are on fire )))