You need an indicator that reflects the price in operating time.
That's how science works at times. If something is unclear, a new term is coined.
I have tried not to invent a term "operating time" which I don't like either, but I have to use it in order to be understood. Do you have any idea how to create such an indicator?
Prival, how are you going to count m.o. and variance? If you treat the tick process as a random process, then in theory it has different realisations. There are, roughly speaking, two kinds of statistics relating to a random process. They are statistics with averaging over realisations and statistics with averaging over time.
As for realizations: Where will you get information about different ticks thatbelong to different realizations at the same moment in time? From different brokerage companies? Then how will you determine to what time they belong? I.e. how are you going to synchronise?
Or are you going to estimate m.o. and variance from several consecutive ticks which came at different times? This is a different averaging, by time, and how it is better than ordinary bars - is not clear yet.
In general, several people are trying to create an indicator of equivolume bars - based on different ideas. At least this should be done in the beginning.
I'm talking about artificial tics. What's that? I haven't seen any.
Here is more details about it in 'Charts without 'holes'. Let's try to explain: let's say the market is very calm, there are no deals for 5 minutes. A deal appears (a tick has come). To close the hole on the chart, it is necessary to build 4 bars of the minute. We form 4 ticks and build 4 bars with Open= Close. In other words, there were no real deals, but the bars (ticks) appeared.
Prival, 'Charts without 'holes'' is komposter's article with a solution to the hole problem, not an official article from metaquotes. To be honest, I personally have no reason to fill those holes (and there are holes up to half an hour - by ginger, say), but someone needs it.
Prival, how are you going to count m.o. and variance? If you treat the tick process as a random process, then in theory it has different realisations. There are, roughly speaking, two kinds of statistics relating to a random process. They are statistics with averaging over realisations and statistics with averaging over time.
As for realizations: Where will you get information about different ticks thatbelong to different realizations at the same moment in time? From different brokerage companies? Then how will you determine to what time they belong? I.e. how are you going to synchronise?
Or are you going to estimate m.o. and variance from several consecutive ticks coming in at different times? This is a different averaging, by time, and how it is better than ordinary bars - is not clear yet.
In general, several people are trying to create an indicator of equity bars - based on various ideas. At least do this at first.
If we have this 'Standard fallacies in attempts to trade in noise (there was a 'Nightmare on MT4')', we may build it. Yes that's exactly what I'd like to do 'estimate m.o. and variance from several consecutive ticks coming in at different times', but will it work. Does it give an improvement in accuracy. On the Y-axis this point is +- the confidence interval (not H and L). Just imagine what this graph would look like. We gather 50 ticks, 45 of them are equal in price, and 5 have significant deviations. And on the X-axis it is also a point, but not at fixed points in time at the beginning of each minute, but more precisely, naturally +- the confidence interval on this axis.
In military terms it is impossible to hit the left eye of the pilot (mathematical probability of hitting the point), but it is possible to plot the impact area where this eye lies with the probability 0.97 :-). And it should be exactly the area (ellipse), and not a segment OHLC built at the point. And it would be nice to regulate the number of ticks to be analyzed.
And here's how to implement it practically, please help me
If there was an artificial bar to close the hole in time, its open price would be equal to the close price of the previous bar, but it is not so in the picture.
I agree, it isn't pure form, it is a real tick. 2, 3 and 4 ticks appeared almost simultaneously. The bar appeared at the 2nd tick, so I cannot say if it is an artificial or real tick. Most probably it was a real tick, because time interval was more than one minute before appearance of these 3 ticks.
Prival, 'Charts without 'holes'' is komposter's article with a solution to the hole problem, not an official article from metaquotes. To be honest, I personally have no reason to fill those holes (and there are holes up to half an hour - by ginger, say), but someone needs it.
And I have no reason to, on the contrary, they get in the way. In terms of my approach to the analysis of this curve, these are false measurements and should be avoided by all means.
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
You agree to website policy and terms of use
We need an indicator which collects real ticks and displays price evaluation. (let it be an average value of the price for 5 ticks with the accuracy of 8 digits). And it displays this estimation as a point on the screen with the confidence interval of this estimation.
I decided to take Rosh ticks indicator as a base.
Here is its description
http://www.alpari-idc.ru/ru/articles_mql4/18.html
Can be downloaded from
http://forum.alpari-idc.ru/showthread.php?p=420838#post420838
But I have encountered problems with 'false ticks' (false measurements) you may call artificial ticks. As I understood from this material 'Charts without 'holes''
Previously MT4 would skip bars if there were no trades (which is what I need now, to collect only real ticks). But the problem was that the number of one-minute bars in an hour could not be equal to 60. Apparently, the developers have decided to solve the problem and have done as described in the article: ".... that even if there hasn't been any price change, a bar must be drawn with the open price equal to the close price of the previous bar".
I sat down with a stopwatch in my hands and started checking how it all worked and came across a strange effect of lagging and "artificial ticks". I will explain it in the picture.
I am looking at my monitor, I see calm market GBPUSD 2:12 Moscow time, quotes from the Championship. I'm timing the market. I am at point 1. Over a minute passes and almost immediately three ticks are formed (numbers 2, 3 and 4). Correspondingly, two minute bars are formed. Probably, tick 2 is artificial, though I may be wrong, but it seems to be so.
So, the task is to build an indicator, ideally it should collect all ticks at RC's input and output it on the monitor as described above, regardless of price changes or not. The main thing that at this price somewhere in the world a deal was made (a real tick). There are 10 real ticks - at least it is possible to show MOS and dispersion.
Therefore I ask for help as on filtered data, in the presence of artificial ticks, to do at least something similar. I realise it won't be perfect, because DC won't give us what it has on the input. But at least it will remove artificial ticks. To build a price chart in operational time. Something like 'The principle of substitution of time in intraday trading' but without reference to the historical average.
Thanks for the help.