Experiments with MetaTrader 5 at Discovery - page 5
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Here's another picturefor you
The previous one is not quite correct, there is a filter by volume.
See the deals, the third from above is 27.78, initiated by the buyer, the next deal - at the same price, again the buyer.
Further - the price became 27.72/27.77, and there were no deals at these prices. So the mere fact of ticking up, down does not mean that there were deals and volumes.
The first strong argument. It is true that the transaction tape allows you to see the initiator of the transaction, whether it was initiated by the seller or the buyer. But let's come at it from the other side. It is not a problem to accumulate ticks in EA during the day, it is also possible to calculate the volume per tick. Up tick is nothing else but buying on the market with the counterparty that is a limit to sell, so the up tick was initialized by the buyer. Down tick is a sale on the market with a limit bid counterparty, so the dn tick was initialized by the seller. As we can see, by analyzing ticks we can completely reconstruct the table of all deals. Further, remember that the table of all deals is stored for exactly 1 day. Therefore, the question of how to accumulate and analyze information with the table of trades is not solved. You need the same methods of information processing and storage on history as without the table of deals.
Is the up tick before the purchase or after?
Do you think that every purchase gives an up tick and every sale gives a down tick? It doesn't. Look, buy at 27.95 volume 48501. The next tick is at the same price and also a buy, volume 3833. And the bid-ask prices after the last trade - did not change, as it was 27.93/27.95, and remains so.
You are writing something wrong. It doesn't have to change when you execute a trade.
First strong argument. Indeed the trades feed allows you to see whether the trade was initiated by the seller or the buyer. But let's come at it from the other side. It is not a problem to accumulate ticks in EA during the day, calculating volume per tick is also possible. Up tick is nothing else but buying on the market with the counterparty that has become a limit to sell, so the up tick was initialized by the buyer. Down tick is a sale on the market with a limit bid counterparty, so the dn tick was initialized by the seller. As we can see, by analyzing ticks we can fully restore the table of all deals. Further, remember that the table of all deals is stored for exactly 1 day. Therefore, the question of how to accumulate and analyze information with the table of trades is not solved. We need the same methods of information processing and storage on the history as without the table of deals.
depends on whether the market entry overlaps the best buy/sell volume, if not, the next tick will stay there,
Let's say we buy, the whole offer was not covered, the offer went lower, the next purchase will be lower, i.e. the price goes down, but the actual purchase is going on (as one of the possible options)
Wouldn't it be easier just to give the raw data and let the traders decide for themselves what they want and what they don't want?
It depends on whether the market entry overlaps the best buy/sell volume, if not, the next tick will remain there,
let's say we buy, the whole offer is not covered, the offer has gone lower, the next buy will be lower, i.e. the price goes down, but in fact we are buying (as one of the possible options)
You don't have to. In this case, combine the volume of two ticks into one and assign the direction of the second tick equal to the first. By the way, I wonder if your program will find cases when two ticks on the same level are initiated by different parties? And if it finds it, what percentage of these ticks from the total volume?
By the way, I wonder if your program will find cases when two ticks on the same level will be initiated by different parties? And if it does, what percentage of these ticks are in the total volume?
You mean there was a buy at one price and a sell at the same price?
What would then those who put in limiters and form bid/ask make money on?
It happens when the spread is very narrow and the price moves in such a way that on the next tick the bid became equal to the previous ask (in this case the price moved up), like this
bid/ask 22.72/22.77, someone bought, they will sell at 22.77, price went up, bid/ask became 22.77/22.79, someone sold, they will buy at 22.77.
In general, it is a rare situation, and even if it happens, I don't see what is so remarkable about it.