Discussion of high-frequency trading on MT5 - page 79


No. There are laws and they define what is insider trading and what is not.

It is possible to use information about trades of a profitable algorithm for your own purposes - to take away part of the field or to stop giving money to such an algorithm.

So, all open positions of a certain period of time prior to the news, that have entered in the correct direction and gained profit, should be considered insider's ones?

How to determine, very interesting.


The presence of insider trading has been able to be detected for about fifteen years. All it takes is access to an unaggregated stream of trades. Therefore, in addition to the insiders themselves, this information can be extracted by technologically advanced traders, to their benefit and to the detriment of the bulk of traders who do not have such information.

For example, many classical algorithms of liquidity provision are based on extracting information about whether the fair price is above or below the current quotations from imbalances of buying and selling.

Of course, those who can trade profitably try not to disclose their intentions to the rest of the market. This is how the optimal execution algorithms and tricky order types appear, such as iceberg.

You are confusing cause and effect. Once again, "insider" is the cause, while the flow of orders is the consequence, you cannot accuse people with experience in insider trading only. Insider is a legal concept, it does not exist within trading algorithms, there is just a flow of data that is analyzed one way or another, with one efficiency or another. To prove an "insider", one has to prove that someone has traded on UNPUBLIC information, any kind of analysis of any public information and trading based on such analysis is not considered an insider. In other words, a trading algorithm cannot be illegitimate if it is effective in the context of given trading conditions.

If someone has so analysed any possible combination of public flows of information that he or she made an effective trading decision before the other participants based on that analysis, this is not insider trading. For it to be an insider, non-public information must necessarily be involved in the analysis.

Therefore, even a real insider is incredibly difficult to prove, it must be proven that such information was received and that it was traded.


So even a real insider is incredibly difficult to prove, there has to be proof of having received such information and of having traded it.

Now that is another matter)

The poor trader is having a hard time without the possibility of being accused of insider trading.



Below in the archive are two important articles - research under the state assignment "Science"


In any case, serious research into Level 2 processes is worth spending your time on. After all, the really working models guaranteed to extract profits have exorbitant price, say the price of $ 1 billion when valuing such an asset, is not something out of the realm of science fiction.

Ahem, the method in the articles is unimpressive - very superficial. Also, it's amusing to read about the floating-stretch window and its subsequent stretching into the market. Not scientific.

Garyka has already brought up the topic of analysing bids in a tumbler in the forum. I won't repeat it - see it, if it is interesting.

Show me at least one really familiar and working model. Well it would be helpful to have a link to such estimation.

It all sounds ringing, but empty... you know what I mean...


You make it sound as if "quants" are some kind of bad people). They differ from ordinary traders only in their level of education, lack of preconceived ideas and correct use of quantitative methods (that's why they are "quantitative") to describe processes occurring in the market.

They are "scoundrels" - my subjective opinion, as well as that of algotraders.
"Radishes" they are - my subjective opinion, as well as that of algotraders.

So is HFT possible on MT5, or to each his own fruit, and to Rediska, MT4...?


So is VHT possible on MT5, or is it possible for every vegetable to have its own fruit, and for Rediska to have his own MT4...?

NO! VChT is definitely not possible, it all gets drained on costs.
Alex bondar, don't talk nonsense.
is it possible? HFT and MT5?