[Trader's Handbook] Draft articles, "out of pocket" discussions - page 27
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It seems to be a misunderstanding with ticks, I clarified it for myself.
Question: How should a trader interpret an onTick event coming from ESN/STP pad?
My answer: As an atomic change in Level2_0 (placing/executing/deleting one client's order) + regular snapshot (with specified frequency) of Level2 from external LP aggregator.
It follows, that a tick is not an atomic event, and one should not rely on ticks when analyzing price (to use them as a timeline). In this sense ticks then remind bars drawn by astronomical time.
Regarding the part about STP
What is Vector_Ask[0]?
On ticks, it may be worth writing a separate post. A simple example:
По количеству тиков не ориентировался бы. Стоит любому выставить лимитник внутрь спреда и убрать, как тут же сразу два тика появятся. Т.е. очень искусственный показатель
Well done! One of the few (others, apparently, just keep quiet) who seems to have worked out how and what works.
I have no idea if anyone understands the posts in the main thread. It's already unrealistic to describe general things - I've said almost everything.
P.S. I think I'll finish my introduction. It turned out more than I thought at first. If someone helped me - you can unsubscribe. At least I will know that it was not in vain.
Forum on trading, automated trading systems and trading strategy testing
Traders Guide: Orders, Prices, Deposits, Funds, Currencies
hrenfx, 2013.07.15 22:13
.....Tics of the aggregator's clients.
The aggregator, as written above, has a very serious technical infrastructure. Even if it wanted to, it would not be able to send every client Level2_All through normal Internet communication channels. Moreover, even if it could, each client would also have to have a powerful system to receive and process such a high flow of data. Therefore, the way out in such a case is to use snapshots - a condition that, when triggered, sends the generated Level2 to the client (to the public pricing system). The number of gangs in Level2 may also be reduced to reduce the load.
Despite many such tricks, client Level2 frequencies can be measured in hundreds of Hertz.
Virtual aggregator tics.
Here it is also simple: any change in synthetic Level2 is a new tick.
Did a small and axe research on tick accumulation in MT4. Collected them via EA and via script (with RefreshRates & MarketInfo in 10ms). I did not bother with WinApi and started manually first the Expert Advisor, then the script with a difference of ~1-2 seconds.
When the required number of different Ask's has been reached, the alert is displayed.
I don't know the reason why, but the script gets more ticks in less time. Now I repeated it to make a screenshot:
Forum on trading, automated trading systems and trading strategy testing
Traders Guide: Orders, Prices, Deposits, Funds, Currencies
hrenfx, 2013.07.15 23:14
.....When adaptive markup is enabled, the aggregator will markup the fake LP until the quality of its performance reaches an average level.
Thus such a markup is a good tool against manipulative LP actions.
.....
P.S. I think I'm going to finish this lesson. It's more than I thought it would be. If it helped anyone, please let me know. At least I'll know I'm not wasting my time.
Yeah, it's helping me. It's getting better organized in my head. I follow both threads closely, reread them occasionally.
If you have important special cases (especially about ECN/STP) - write too, we will work it out... :)
Forum on trading, automated trading systems and trading strategy testing
Traders Guide: Orders, Prices, Deposits, Funds, Currencies
hrenfx, 2013.07.17 02:14
PriceTakers vs PriceGivers.When the T&S data has a classification by direction, we can talk about general trade performance of PriceTakers, or PriceGivers.
Let us further assume that the mentioned direction refers to PriceTakers. This is a convention in fact, as PriceGivers-directions are just with a reverse sign.
Let us recall that each element of the T&S-sequence represents data on a trade executed by one of the PriceTakers: price, volume and its direction.
It means that we are quite capable of constructing the dynamics of total Equity of all PriceTakers for each symbol individually and, accordingly, for any aggregate of symbols. Moreover, in FOREX, looking at all the crosses and majors simultaneously, we can plot the dynamics of changes in the total currency profile of PriceTakers: how much of what currency PriceTakers "hold".
I wondered if the author has implemented this idea in his own company? More precisely, what new ideas have emerged after collecting statistics on the dynamics of the overall "currency profile", share?
I had a glimpse of this "guide"... What can I say... Calling it a handbook doesn't sound serious. It's more a set of thoughts that expresses the author's subjective view of the market. At least the part written by comrade hrenfx. I'm certainly not against the fact that someone wants to share his thoughts with others, but if the section is positioned as a guide, then everything should be strict, clear, well-reasoned.
Much is taken from the ceiling, with no indication of the source of information. For example, the classification on "alt-traders" and "clickers". Where did it come from? How can a broker classify a trader in this way if the broker has no idea if the trader trades by hand or by robot. The broker can only indirectly determine this by the frequency of trades and position holding time. There are well established definitions for these categories: scalper(a pipser) andpositioner. And the scalper may be "manual" and not just automatic. So why introduce your own classifications/concepts and pass them off as common? By the way, this is the first time I hear the term "clicker" (in terms of trading), despite the fact that I have been in the exchange trading environment for many years. Probably, the author uses this jargon in his narrow circle, but does it really belong in a reference book? And it is not clear why all of a sudden "the competition for clickers is high". The broker is interested in the one who makes a big turnover, and it makes no difference whether he is a clicker or a ***ker. And the biggest turnover is made by pipsari robots, not clickers.
One more thing that immediately caught my eye:
На биржах во время торговой сессии заранее выставленный лимитник исполняется в 99% случаев точно по цене - без проскальзываний
Why only 99%? Where is the other 1%? Then it's not an exchange, but a kitchen. Or it's not a limit.
But this is all minor matters. I am more surprised about something else. Although the theme is called "trader's guide ...", but in fact everything still revolves only around Forex. Of course, there are some references to exchanges, but it all reminds me of a phrase aptly said by someone here on the forum: "Forex traders gathered together to talk about the exchange market" :)
After all, all these ECN, aggregators / shmaggregators, etc. - this is essentially the same gondola, just with a more human face. You have to move away from this chaos, rather than strive for it. There are normal civilized and transparent markets with an abundance of various trading instruments, not just a casino of a few currencies. The metaquotes have even adapted everyone's favourite metatrader for this purpose. But as you can see, the more you feed a forexist, the more he looks at forex)).