[Trader's Handbook] Draft articles, "out of pocket" discussions - page 20
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(thought aloud)
As much as I read the forum, I am becoming more and more convinced that only a few people really work with the Level 2 glass. There is a feeling that people can be counted on the fingers of one hand.
If most people were engaged in the study of the microstructure of the flow of volumes, they would discuss very simple ideas (for which even a mathematical education is not needed) lying on the surface and the quality is much better than any indicators that analyze various kinds of candlesticks. And in my opinion, spot volumes in Level 2 will outperform futures analysis of the same MarketDelta.
By working with 3-6 lots and properly visualizing even a little that can be deduced (superficially) from the dialer, you can steadily make good money.
In general, there are only consumers who need everything on a silver platter. Tell them what is effective, show them in pictures, plus monitoring and only THEN someone will dig something in this area. Isn't it too much?
If you make volume based forecasts, imho, at first it is important to define the sources, so that the initial information is as complete as possible and without duplication, and at Forex it is a problem, and there is no need to oppose MarketDelta, but vice versa they should be integrated, because forex trading is also directly related to price formation, and exchange T&S is more reliable.
And how can you characterise your data, if you already do such research, in terms of completeness and reliability, for example - which major liquidity providers are covered and what, at least approximately, is the daily turnover reflected in your data?
A $5 mio commission is not even uncommon for high speed independent algorithms, which HFT MM algorithms are. Trust me, it's all calculated.
Ну и если владельцем такого ММ-алгоритма является сам ECN/STP-агрегатор, то комиссия, естесственно, за использование его же LP0 нулевая. А клиент за совершение сделки еще и комиссию в полном объеме заплатит агрегатору. Т.е. фактически для такого владельца комиссия даже отрицательная.
ECN/STP aggregators always benefit from having HFT MM algorithms among their clients, as they ensure high turnover. However, for independent HFT MM algorithms, the trading costs in the form of commissions are a significant obstacle to fully exploit their capabilities. For this reason, a marketing scheme is created which may have quite a clear mathematical calculation behind it, when the HFT MM algorithm is given a negative commission. I.e. the aggregator does not charge a commission for all orders of HFT MM-algorithm that were executed at LP0, moreover, it pays him a part of the commission taken in full from the other side of the transaction - PriceTaker. A similar scheme was mentioned in passing in the description of the exchange algorithm.
PS: What you call an "ECN/STP aggregator" is popularly called a "kitchen" which has nothing to do with ECN.
I pay my broker the same as everyone else - $18 c mio. I do not use HFT MM-algorithms.
Many of the things described are not implemented by my broker at the moment. Probably will be someday. I wrote a lib, without any prejudice whatsoever.
Iused a script to calculate my turnover for the last month. It came out to exactly >10 yards. You can estimate how much the broker would have made if it had even paid a much more turnover-prone HFT MM algorithm.
I pay my broker like everyone else - $18 c mio.
Regarding HFT algorithms: I saw one of the funds put a large volume at a distance of 20 pips from the current price. As I see the point of the algorithm, when a large order comes in, it eats up the volume of orders in the stack, which is then quickly filled with small orders.
As for probing: there is a cheaper way to build two charts: one for flippers, and one for ask and bid. When a market order hits, we see a change in the chart by lust, when it is just a change from LP, no bar is built on the chart by lust. You need MT5 and an exchange broker (exchange execution) for this kind of probing
Yes, thank you, as I said, I haven't traded on exchanges at all. That's why I didn't use T&S data. Supplemented:
HFT ММ-алгоритмы: биржа vs FOREX.
На FOREX далеко не все ECN/STP-агрегаторы предоставляют T&S-данные. На то может быть сразу несколько причин. Например, скрыть обороты и не дать явно проанализировать исходящий из ECN/STP токсик. Однако, все же некоторые ECN/STP-агрегаторы такую информацию предоставляют.
На биржах T&S имеется, но данные о классификации сделок (PriceGivers или PriceTakers) далеко не всегда имеют официальное (биржевое) происхождение. Чаще всего это независимая алгоритмическая классификация.
Как в случае с биржей, так и с ECN/STP-агрегатором правильно классифицированные T&S-данные показывают, когда PriceTakers/PriceGivers проигрывают/выигрывают. В таком случае для создания независимого простейшего HFT ММ-алгоритма не требуется (при должной тех. инфраструктуре - скорость) даже зондирование и какой-либо анализ динамики Level2. Т.к. соответствующим образом преобразованные и проанализированные T&S-данные - вышеупомянутый инсайд.