Formalising common approaches to trading - page 25

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BLACK_BOX:
I'd better give you a link, because the battery on my laptop is running low and there's no power outlet nearby. I'm afraid I won't have time to tell you myself )

Thanks
 
Mischek:

If you are aware and not lazy, tell us about MM liquidity provision in your own words.

Two limit orders of the same volume are placed in the cup. The goal is to "make the spread" as often as possible (i.e. make sure that both bids are executed, but remain neutral to the market). If a position is accumulated - it is hedged, price and/or order volume incentives are applied, etc.

IgorM:
seems to be this


Rules - this is the volume of limit orders, spread and percentage of time during which MM must not keep the spread above the specified one. And you cited a model for some reason.

IgorM:
it's true but the spread doesn't widen out to infinity. Who compensates for keeping the spread within certain limits?


The spread describes the uncertainty of liquidity providers (LSPs) about the "fair" value of the price.

In order for the bids of the market providers to be executed - they must be close to the best prices, not in the middle of the market (we must have a good idea about the "fair" price, for example based on the volume of buying and selling). When the bids are filled, the bull takes a profit. If another BC will hold a lower spread (with the same quality of fair price tracking) - it will eat some of the profit of the first BC.

Now the PPL can be any "Vasya", who can put limit orders into the betting market and move them quickly enough.

 
IgorM:

Well, at least someone opened their eyes to what's going on in MT5 - the only professional traders there are. Why do you think that the development of the platform (MT4-->MT5) should not lead to an increase in the capabilities of the terminal, but to close the user's choice of what data to process?

ZS: a few pages ago I asked for clarification on how positions are closed, either I am inattentive or no answer https://www.mql5.com/ru/forum/134596/page16

You can't go back to the Fifth Forum and you don't need a programmer to do that. I like it better than in this mess. That's why I'm a rare guest here. The fifth forum is where people deal with practical problems, not just chattering.

On the development of the platform, I did not give my opinion, but only stated the opinion of the developers of the platform.

With regard to short trousers (this is my opinion), I see that this topic has been raised (by the way, I participated on the side of the opposition), clarified and return to it I do not see the point.

I did not take part so the question is not for me. Although if you are interested in what I think, if enough large positions are closed and the market maker cannot provide liquidity (buy back this closure) then trading should be stopped.

 
Urain:

At the fifth forum there are programmers, not traders. And in contrast to this farce I like it better. That's why I'm a rare guest here. In the fifth forum people deal with practical problems, not just chit-chat.

To Caesar the Caesar, practical tasks are different.

But, imho, hungry to be a programmer - I tried my luck in this profession, for clicking mice in a warm office does not pay much, with few exceptions.

anonymous:

And in order for the PL's bids to be executed - they must be not in the depths of the cup, but close to the best prices (i.e. you must have a good idea of the fair price value, calculating it, for example, based on the volumes of buys and sales). When the bids are filled, the bull takes a profit. If the other PI keeps a smaller spread (with the same quality of tracking the fair price) - it will eat some of the profit of the first PI.

Here we go again - more details, or links, who is "eating who" there, and the concept of best prices is also interesting, and to whom it is interesting - I just remembered that in the market overview besides Bids and Asks there are columns maximum and minimum
 
Market makers can be compared to a barrage unit. They stand off to either side of the Last price at some small distance, providing a good volume of limit sell and buy orders. Until their artificial supply and demand are met, the price won't go down or up further. I.e. thanks to mm the price becomes more stable as it becomes difficult to break through the glass in any direction.
 
C-4:
Market makers can be compared to a roadblock. They will be placed a little to either side of Last at some distance from the price, providing a good volume of limit orders to buy and sell. Until their artificial supply and demand are met, the price won't go down or go up further. I.e. thanks to mm the price becomes more stable as it becomes difficult to break through the glass in any direction.

Can you back up what you are saying with references, very interesting. In support of your words I will quote:

timbo:

Forex is not a stock exchange, everyone does not trade with everyone there, everyone trades with a market maker.

Client A wants to buy 100 lemons, he sends a request to the market maker. The market maker looks at the Market Maker's Market and calculates how much he can trade for these 100 lemons. There are 10 clients who have applied for 10 lemons each. Each subsequent client is one pip more greedy than the previous one, starting from the current price of P0. Accordingly, the market maker gives to client A a price that is 5 points higher than the current/last trade price - (P0+5). That's it, the system has passed the tick.

Then two variants are possible:

1. Client A has agreed, the deal has passed, the volume is fixed, the price has really increased by 5 points (P0+5) and there is a reserve for further growth, because all the "cheap" currency has been bought at this moment. Subsequent price will depend on the supply/demand ratio, but it will start from the level of new price/price of this last deal. The terminals will show a price increase.

2. Customer A thought about it and did not buy, i.e. there was no deal and no volume emerged. The next client B wants to buy only 10 lemons and his order is fully satisfied at P0, i.e. the next tick will be at P0, and trading will continue from this level. A spike is visible on all terminals.

A very large bid is not necessary for a spike to occur, a bid larger than the current offer is sufficient. Clearly, this happens more often during periods of low trading activity, i.e. at night. Nobody will do it on purpose, because it is not very gentlemanly, they quickly become friends with such person and disconnect him from the system, he will buy on the secondary market with 100% prepayment.

The VC on MT is a casino taking bets at old prices, at prices that were in the past, the VC hopes that the real prices will not go far away from what it gives. This forces the brokerage company to apply filtering in order to average trading noise. The brokerage company introduces a spread, sometimes a large one, to cover the risk of price movements. In the interbank market during periods of activity, the spread can easily become 0.

but timbo's words are also words, I have not yet found confirmation
 
IgorM:

There you go again - more details, or links, as to who is "eating" who...

Market makers...
Files:
specialist.zip  217 kb
 
Bids and Asks are the backbone of all trading and the key to determining the price level


Ask - (highest price) bid at a given level.
- it is the best price for those wishing to
1. go short (to open a short position)
2. exit a long position ( close a long position)


bid - (the lowest price) - is the demand at this level
- it is the best price for those who want to buy
1. buy long ( open long position)
2. get out of the short position (close the short position)


this is the scheme used by market makers; they always have the possibility to remain in profit at this level and earn on the spread
market makers will earn even if the price stands at the same level where there is supply and demand

1. to enter a long position, you need to buy (bid price)
2. to exit a long position, you need to sell (ask price)
3. buy to enter short (ask price)
4. buy to exit a short position ( bid price)




this is how trades on the other side work if market orders are used
in this case, the trade always starts with a loss for the investor; the price is always too high.

1. the investor needs to buy to enter a long position quickly, so the buyer agrees to the high price in this case ( the ask price)
2. it is necessary to sell to exit a long position quickly and the buyer agrees to an underpriced position ( bid price)
3. to enter short quickly, it is necessary to sell and the buyer agrees to an underpriced position (ask price)
4. buy to exit a short position quickly and the buyer agrees to an underpricing (ask price)


That means at a certain level there are more Ask's than Bids, the price is likely to break and go down.
If you look at it from the market maker's point of view, they go long and go short.
If there are more bids than ask prices, the market makers will go long and exit short, and the price is likely to move up.
 
Looks like it's time to stock up on the microscope.
 
C-4:
Market makers can be compared to a barrage unit. They stand off to either side of the Last price at some small distance, providing a good volume of limit sell and buy orders. Until their artificial supply and demand are met, the price won't go down or up further. I.e. thanks to mm the price becomes more stable as it becomes difficult to break through the glass in any direction.

This is the price coming from a consortium, a conglomerate of banks, a super.maths comp etc., and this price will draw what they want. And where is the crowd moving the market? There isn't one. Right?
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