Formalising common approaches to trading - page 16
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even if it's volume and time and price and ... Even if it's "devils in striped swimming costumes", my purpose of the discussion is to learn to distinguish in price movements manipulation, and demand/supply
and also density ))))
I am well aware that volumes move the price, but, imho, the liquidity of the markets nowadays is enormous, and volumes can only be seen on history...
Each tick has the following information: time, price, volume, ECN. I don't think there is anything less historical in the market?
The last two parameters just characterise the type of Trader: as large and smaller players "manipulate" (work) with certain volumes and through certain ECNs (i.e. routes and handling strategies). In contrast to the tumblr, Time and Sales displays all trades, even those that were not at market price, regardless of whether they were hidden (Dark pools) or "staked". Roughly speaking, the level structure of limit orders is displayed with correction for the hidden order volume, and the T&S frame displays dynamics of execution of volumes of all market orders. The T&S chart is probably the most accurate chart of the symbol with the most complete information on the executed volumes.
Only then, imho, is it possible to talk about formalisation of approaches.
Where can we get the history of the tape?
By the way, I forgot about position closing, i.e. opening is described, but the total position of market orders is zero, i.e. it is clear, but what happens when a large order (or a group of orders) closes a position - who will ensure overlapping of positions of opposite orders?
where do I get the history of the tape?
Each tick has the following information: time, price, volume, ECN. I don't think there is anything less historical in the market?
The last two parameters just characterise the type of Trader: as large and smaller players "manipulate" (work) certain volumes and via certain ECNs (i.e. routes and handling strategies). Unlike the tumbler in the feed, the Time and Sales shows all trades, even those that were not at market price, regardless of whether they were hidden (black pools) or "staked". Roughly speaking, the level structure of limit orders is displayed, corrected for the amount of hidden orders, and the T&S frame displays dynamics of execution of volumes of all market orders. The T&S chart is probably the most accurate chart of the symbol with the most complete information on the executed volumes.
Only then, imho, is it possible to talk about formalisation of approaches.
Yes, T&S gives the most complete description of the trading history. And for those who know how to use it, it's not noise :) I just started the classification not by the information needed for the trading method, but by the general idea behind it. And T&S information can be used in different methods.
Yes, T&S gives the most complete description of the trading history. And for those who know how to use it, it's not noise :) I just started the classification not by the information needed for the trading method, but by the general idea behind it. And T&S information can be used in different methods.
Perhaps if we are trying to formalise, we should start with a paradigm from which to build.
I can suggest the following one out of the many non-contradictory ones:
Market and information. The market is a mechanism for determining the current value of an asset. In the modern economic society this task is more than actual, there is a constant growth of requirements for the accuracy of estimation in time and in price. The value of an asset is determined by a body of information about it. Usually information is determined relative to other objects (or over an empty set of such objects, an "axiom"). Information has a horizon of influence and a function of degree of influence over time, "buy the rumour, sell the fact".
Trader. In common parlance, a trader is nothing other than an appraiser. The profession of appraiser has always been necessary. The task of each Trader is to assess the real (fair) value of goods. He voices his estimation with the help of his positions, the weight of his opinion is determined by the size of the position. The sum of all Traders' opinions, weighted by the size of their positions, ultimately determines the current value of the asset. Good appraisers get bonuses - profit from trades, bad appraisers get penalties - losses, bad appraisers eventually leave the trade, they are replaced by new ones.
Efficiency. Over time, the rate at which information affects the market is steadily increasing. This is due to the growth of technology and the globalisation of the economy. Any valuation strategy, (even more so if it is effective) is in turn information which is absorbed by the market over a period of time, or "there are no permanently profitable strategies, i.e. grails". Any historical pattern is also information, which is absorbed by the market in a certain period of time, thus destroying any hint of stationarity.
PS. One consequence of such a paradigm, a good (profitable) trader benefits the economic society in proportion to the size of his positions. :)
before I had time to ask you, you yourself touched on the subject of information. I remember I studied "Fundamentals of Information Transfer Theory" - the stupidest discipline, as I thought at the time - and this discipline believed that information has several qualitative properties: objectivity, reliability, completeness, accuracy, relevance, usefulness, value, timeliness
The same tape mentioned above, to what extent does it meet the properties I've highlighted? Don't you think that increasing the information data (I mean the tape), can lead to deception/self-deception, as historical OHLC data they cannot be unreliable in most cases, as there are many sources of historical OHLC, but volumes and tape are a "select category" - and this information simply cannot be cross-checked. I do not remember where I saw a document, I think it was a dissertation, there was an analysis of Forex market data from different sources and the conclusion was that the main supplier of information was Bloomberg and Reuters, and it seems that Reuters is a supplier of quotes and they (Reuters) confirm that some quotes are filtered.before I had time to ask you, you yourself touched on the subject of information, I remember I studied "Fundamentals of Information Transfer Theory" - the stupidest discipline, as I thought at the time, so this discipline believed that information has several qualitative properties: objectivity, reliability, completeness, accuracy, relevance, usefulness, value, timeliness
Does the same tape correspond to the properties I mentioned? Don't you think that increasing the information data (I mean the tape), can lead to deception/self-deception, because the historical OHLC data they cannot be unreliable in most cases, as there are many sources of historical OHLC, but the volumes and the tape are a "select category" - and this information simply cannot be cross-checked. I do not remember where I saw a document, I think it was a dissertation, there was an analysis of Forex market data from different sources and the conclusion was that the main supplier of information was Bloomberg and Reuters, and it seems that Reuters is a supplier of quotes and they (Reuters) confirm that some quotes are filtered.Yes you are right, there are several "Information Theories", in computer science, neuro-physiology, genetics, cryptography and data transmission, game theory, mathematical logic, etc.
The paradigm uses notion of information close to game theory and mathematical logic, where it is very well formalized. For example, information which is not "realized" in the system (theory) has no object, i.e. an element of the system it satisfies (for the theory, not deductible from it), or else, it is false for the system (contradictory for the theory).
Deception or self-deception are very subjective concepts in this context. The effectiveness of solutions depends directly on the amount and value of information processed, taking into account the cost of processing. The tape carries 4 components of the tick: time, price, its volume and execution route (strategy). A typical retail forex tick chart has only time and price.
The availability of exchange information, it is already a rhetorical (or rather technical) question, and has no influence in the formalisation of approaches. It is appropriate to remind that Forex is a closed market, unlike other markets, in terms of participants and information.
Every Trader's job is to estimate the real (fair) value of the commodity.
PS. One consequence of this paradigm, a good (profitable) trader benefits the economic society in proportion to the size of his positions. :)
What is the "real (fair) value of a commodity"?
And exactly what benefit does a profitable trader bring to society?