Experiments with MetaTrader 5 at Discovery - page 14

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sanderz:

Thank you! Please tell us a little - how were the periods stitched together on the quarterly expirations?

Thank you!


Looked at the history - up to September 2012 - totally illiquid:

http://clip2net.com/s/4PjEOc

Well you will be finishing it, won't you?

Why wouldn't we? Of course we will. It just takes some time. We need to figure out how to translate transactions from FTP exchange into the format understandable for MT5 and upload them to MT5 server.
 
OpenBroker:

Colleagues!

We have added 2 glued futures to the battle server: RI (RTS index futures) and Si (rouble-dollar futures). These instruments can be displayed by selecting RTS Splice and Si Splice in the Symbols. The Si Splice chart will start moving tomorrow with the start of trading. The RTS Splice tool is already available for analysis. The history so far is not very deep (since 14.03.2012), in the future we will add the history for earlier periods.

We will gladly accept feedback and suggestions on this service.

Tell me, why not just turn on the option of downloading the history, and whoever needs it will be able to upload it in any depth?
 
OpenBroker:

Colleagues!

We have added 2 glued futures to the battle server: RI (RTS index futures) and Si (rouble-dollar futures). These instruments can be displayed by selecting RTS Splice and Si Splice in the Symbols. The Si Splice chart will start moving tomorrow with the start of trading. The RTS Splice tool is already available for analysis. The history so far is not very deep (since 14.03.2012), in the future we will add the history for earlier periods.

We will gladly accept feedback and suggestions on this service.

What a nonsense with your gluing. I have been testing on RTS Splice since September 2012. At first there were trades in logs, then there were only requotes. Not a single trade in the report based on the results. Is the testing working on it at all?
 
pronych:

what do you mean by "dangling" bids?

Your code:
book_med=(best_ask+best_bid) /2;
if (last > book_med) { last_direct = buy;}
if (last < book_med) { last_direct = sell;}

Let's say a hypothetical glass of the form (numbers are price, not volume):


10

9
8

4

and here someone by a trade (sell) takes the whole bid at 8. besk_ask = 9, best_bid = 4, book_med = 6.5 -> last_direct = buy, although there was a sell.

And I call "pending" the orders which are "far" from the next one

 
notused:
Your code:

Let's assume a hypothetical glass of the form (numbers are price, not volume):


10

9
8

4

and here someone by a trade (sell) takes the whole bid at 8. besk_ask = 9, best_bid = 4, book_med = 6.5 -> last_direct = buy, although there was a sell.

And I call "pending" the orders which are "far" from the next one

Makes sense. So we need to somehow determine if the beech is up to date when the flipper arrives. i.e. know what came first. This complicates the algorithm somewhat. Let's take it into account.
 

Unfortunately, there is still a very big problem with the history until about 15 February for all the major instruments:

SBRF, RTS, Si, GAZR 6.13 - periodically turn into holes even on higher timeframes, not to mention Splice instruments. (I'm talking about a real account)

Dear representatives of Otkritie broker, please correct the problem. It is very difficult to test trading algorithms without a correct history :)


 
sanderz:

Unfortunately, there is still a very big problem with the history until about 15 February for all the major instruments:

SBRF, RTS, Si, GAZR 6.13 - periodically turn into holes even on higher timeframes, not to mention Splice instruments. (I'm talking about a real account)

Dear representatives of Otkritie broker, please correct the problem. It is very difficult to test trading algorithms without a correct history :)


Probably no mistake here, these contracts were illiquid while the old one was going around, can't remember when it was expiring. Compare with data from other sources.
 
I've traded in the new betting window, what can I say, already much better and thanks for doing it, minuses: on price movement it's not realistic to hit the cross. Why not use the area of the order itself and place orders one left click+shift and remove right click+shift. No cancellation of all limiters, would also like to have such a "panic" button))). Limiters are not always dragged, seems to depend on where the SL and TP are. I don't know why I tried to place the order and I was wondering why I didn't try to close it. I've been working on this for a long time and I've missed it, I need to add an option to history and "broker's commission" report. Now there is only the exchange fee and I have to recalculate the orders taking into account the commission.
 
Y_e_g_o_r:
Probably no mistake here, these contracts were illiquid while the old one was running, can't remember when it was expired. Compare with data from other sources.

Yes indeed, checked - you are right.

But there are still problems with Splice tool.

 

1. I think Metatrader lacks an instrument classifier so that instruments can be grouped together, otherwise it creates a big list, a mess, i.e. there should be several market overviews to be able to separate different exchanges in the future.

2 I expect brokers to add instruments from other MICEX exchanges, e.g. when?

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