Discussion of high-frequency trading on MT5 - page 84
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http://smart-lab.ru/blog/143219.php - the author suggests a model potentially useful for hft. There is some example in c++/perl.
What do you think?
We think that "algotrader" should be spelled with a "k" - "alcotrader". Or cooler like - "hero-trader" or "crocodile-trader".
There is a story. A scientist decided to investigate some substance. Took it... drove off... ...and a great epiphany comes over him... Then he wakes up and doesn't remember anything. So he thinks next time I'll write it down. Next time, he prepared a notebook, a pen... Took it... ...and again he has this epiphany. He comes to his senses and reads: "You should peel the banana before eating it (instructions for people who know bananas well)".
...
There's a story. A scientist decided to investigate some substance. Took it... drove away... ...and a great epiphany comes over him... Then he wakes up and doesn't remember anything. So he thinks next time I'll write it down. Next time, he prepared a notebook, a pen... Took it... ...and again this epiphany hits. He comes to himself and reads: "You should peel the banana before eating it (instructions for people who know bananas well).
Wasn't that Albert Hoffman by any chance? :)
http://smart-lab.ru/blog/143219.php - the author suggests a model potentially useful for hft. There is some example in c++/perl.
What do you think?
http://smart-lab.ru/blog/143219.php - the author suggests a model potentially useful for hft. There is some example in c++/perl.
What do you think?
p.s. I got it, the profit is not the trader's profit, but the profit in some abstract sense, and this profit is introduced for detecting the manipulation of the rate, i.e. this condition means that if we buy and sell the same volume at different moments of time, these deals will move the rate in the same way, if it is not manipulated.
p.s. I finally understood everything. The man wasn't writing from a trader's point of view, but from the liquidity provider's point of view. That is, from the liquidity provider's point of view, any profit from market players' strategies must be negative.
p.s. The formalisation is very good. Will come in handy in the near future.
This is how I understood it, given the unexamined case (analysis in terms of no loss for the liquidity provider).
On the one hand, liquidity consumers should not be able to make money. On the other hand, they should not have to give their money to liquidity providers, otherwise everyone would have an interest in being a liquidity provider.
On the other hand, liquidity providers should have a profit margin tending towards zero. I.e. in the equitable case both parties should be losing out on commissions ;)
Also, the model does not take into account the fact that the maximum position of liquidity providers is limited. Consequently, if they accumulate a large position, they will be forced to move the price more, thus allowing for the possibility of manipulation and incurring losses.
It would be good to know if the author is interested in outside opinions?
I will assume that this article was posted for the purpose of discussion.
So valuable and useful, the discussion is just boiling, bubbling and bubbling. Liquidity is good, but don't forget about aggregation. Why don't we invite DaddyClass? Once he puts his mind to it, everything will move at once.
If anyone has done something like this and recognised it, they will understand the beauty of it.
The nucleation of an upward price movement.
Works time after time, predicting 5-10 seconds before the actual move.
I beg your pardon?
Interpret what kind of data was visualised, why such radial paremetrization is needed, what coordinates mean what?
Is this a metatrader, or a 90's screen saver? Indicators are a beginner's topic, the real guys only trade price action with numbers, I think all these graphical contrivances are for diversion. Hypnosis.
Level 2
How the upside movement (EUR\USD) is born.
The red one is the part of the cup that Ask, the green one is the part of the cup that Bid.
Behind this "abstraction", there is an insane amount of mathematics.
Curious...
Great!
I also love the custom graphical representations of the tumblr and various market data transformations.
Nanex are a beauty in this respect in general.