FORTS: Strategies and how to implement them - page 6
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Maybe the HFT broker is in charge ? ))
By the way... Client frontrunning by the broker...also an interesting question.
What if the broker has server-side settings for frontrunning ?) Unlikely though, as it can be calculated...
By the way... frontrunning a client by a broker...also an interesting question.
What if? What if the broker has server-side settings for frontrunning?) Though, hardly, as it is possible to calculate...
I have settings, I have no doubt about it. There are a lot of settings in MT5 server.
But does he use these settings or not, the question?
P.S. How can you tell?
The settings are there, I have no doubt about that. The MT5 server is packed with all sorts of settings.
But does he use these settings or not, the question is?
P.S. How can you tell?
Don't be ridiculous, guys.
Frontrunning only makes sense for the "Angels", we don't count!
And then... It's only "good for" this strategy!
Guys, don't be ridiculous...
Frontranning only makes sense for "ACULs", we don't count!
But, in principle, even on ordinary users, it's quite realistic to steal a bit of cash on the sly. A good addition to the commissions.
Although, the moex is punished with fierce punishment if the broker is spotted. And your reputation immediately goes to zero. It's a risky business.
P.S. How to calculate?
Well, ... I think, if you hit the market with volume - then the broker can buy in front of you and close against you - it's easy to calculate, when you constantly get slippage, exceeding the calculated by the putter before the deal. But in point to point limiter fighting the broker will not cause slippage....
In short, it's all nonsense. )
I'll try again next week and see what happens.
I tried it a long time ago, when the delays were many times greater, and CopyTick was nowhere to be seen.
I'll try again next week and see what happens.
I tried it a long time ago, when the delays were many times greater, and CopyTick was nowhere to be seen.
CopyTicks() hasn't been "brought up to speed" yet, that's what the CD told me
It's already in the help, I'm going to experiment.
I have some ideas, but it's very tedious to experiment in real life.
Do you think I'm being rude?
It's just that the formula is so obvious (from the strategy description)...
But if that's how it was perceived, I apologise!
You were very correct, and it was you who apologised if my posts looked (perceived) that way. I stopped talking because I went to sleep, it was late (first hour of the night) + I had a task to think about.
Good morning all, and they say morning is wiser ))
So the problem was for thinking.
We have two tools to trade (A and B). We want to trade arbitrage between them. For this purpose we need to build a delta (spread is not quite the right name, because the spread is ask - bid in one instrument, just to avoid confusion in terminology).
Mikalas suggested a simple difference. I replied that it is incorrect.
Edic is using the A/B ratio. Not accurate from my point of view either.
Serj_Che has pointed out that bid/ask has to be considered, and asTheXpert, who I know, said long time ago, the devil is in the details (I see he has posted in this thread too).
I do not seem to forget anyone )))).
So the question how to do division by difference (combine the essence of what offered Mikalas andEdic in one formula). What is this mathematical transformation (studied in grade 10-11) and what it gives us.
Answer. I'll post more information and everything will fall into place. You'll know how to "correctly" build a calendar arbitration between BR-4.15 and BR-5.15 (pictures already prepared).
What is the right way?
I agree with Mikalas and I also think that for calendar arbitrage the best way to calculate the spread is the difference in futures.
In that case, we can see how much (rubles) the difference between the two futures is and we can buy or sell that difference.
The calculation of the spread by the ratio of one futures to another is more suitable for paired trading (by the way, it is also an arbitrage strategy).