Trying to distinguish between real currency mark-up and illusory currency mark-up and recognising the simultaneity of the pairs' moves. - page 2

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For the beginning I try to look at the separate perception of positive and negative ticks by calculating MA for example from increments separately for positive and negative ticks... Someone makes (1+1+0+0+1+1)/6, but more correctly (1+1+0+0+1+1)/4, that is, the averaging period is floating...
 

Well, from what I understand, I think it's all for naught. It's not gonna do anything. How the fuck does it matter how many trades there were? Did small or large speculators make that volume? It has little correlation with ticks. It does not correlate with real volumes either, but at least they tell us something.

"Simultaneous movement of pairs", by the way, is another phrase. Probably something like arbitrage is brewing in your head. But yes it's a bicycle, with square wheels and a bearded cyclist, not about our honour either. The only thing that seems sensible to me in your reasoning is trying to capture the bigger picture of the movement of instruments. Some people can't see the forest for the trees. After all, what is essentially the movement of any instrument? It is a certain sum of two movements, for example the price of oil, it is the movement of the oil itself (dictated by demand, production levels, seasonality, etc.) and the change of what it is quoted in, e.g. the dollar. Obviously, for example on the forex market, it would be a good idea to buy EUR/USD when the eu is getting stronger, the dollar is getting weaker, then even if a trend change of one of the currencies will not result in a loss. The movements of currency indexes are more predictable than those of currency pairs. What a Captain Obviousness I am)

The market participants may use arbitrage and ticks, because they have already made many mistakes. The holes there are darned faster than we have time to thread the needle.

 
trol222:

I would argue here... I think there is a difference between the one who made a volume or a lot of speculators ..... the one who makes infusions is counting on a movement that cannot end quickly.... about ticks .... everybody thinks the tick volume should be used directly, it is wrong..... one has to consider a sequence of impulses, even if not evenly timed and unidirectional.
I absolutely agree about arbitrage, it is not applicable .... but why is it not applicable ....


Are you going to analyse ticks in MT?

Then answer - ticks are generated by the brokerage company itself.

And their intensity - depends on volatility of a primary feed and filters settings...

So you will get a trivial correlation with "volatility".

I once posted the intensity of ticks for two majors and their crosses by days of the week and trading hours.

And the number of ticks (someone counts its volume) was more per time unit with the cross.

It is impossible to comprehend.
;)

 
avatara:

Are you going to analyse ticks in MT?

Then I will answer - ticks are generated by DT itself.

And their intensity - depends on the volatility of the primary feed and the setting of filters...

So you will get a trivial correlation with "volatility".

I once posted the intensity of ticks for two majors and their crossover by days of the week and trading hours.

And the number of ticks (someone counts its volume) was more per time unit with the cross.

It is impossible to comprehend.
;)


it is clear that the filters .... When a sharp movement of a currency pair, for example EUR/USD, the spike in tickwise flow will naturally increase for a low liquid pair, say Eur/DKK or USD/DKK or both; but I believe that on a low liquid pair the spike should be abnormally bigger, otherwise there will be arbitrage situations.
 
The ticks on the pairs for the analysis were taken from the ducas.
 
trol222:

it's clear that the filters .... When there is a sharp price movement e.g. EUR/USD, the spike in tickwise flow naturally increases for low liquidity pair Eur/DKK or USD/DKK or both, but I think that on low liquidity pair the spike should be abnormally bigger, otherwise arbitrage situations will occur.

You can analyse it yourself.

 
avatara:

You can analyse it yourself.


What is it and does it work on the five digits?
 
I agree a hundred percent about the bearded bicycle with square wheels. As for the number of posts, really a little strained. Just until the idea develops into an idea, it is difficult to perceive. As for the question of the presence of specific traders in the market, for that there is an SOT. As for counting ticks, there's a lot of finger pointing. No offense, but it reminds me: I think the tank is buried here, on this field.And where exactly and how deep it is unknown.
 

Let's deal with ticks.

A tick, as far as I understand it, is the fact of a price change nothing more.

A price change can happen even without any trades being made,

for example, if no one wants to sell an instrument at the current price, a higher price is set, etc.

Ticks provide information about the price change, the number of price changes, but not the volumes. Full stop.

Like it or not, that's the way it is.

P.s.

If by volume we mean the number of ticks? Why volume? Is there a barrel?

I can imagine. Taking a handful of ticks from the barrel or adding to it.

 
avatara:

So the number of ticks (someone counts it as a volume) on the cross was greater per unit time.

It's a stretch.

This is normal. Each pair simply has its own number of ticks ("volatility"), it is useless to compare them.

Not so long ago I calculated a volume for currency indexes using data of the pairs. The results were quite unexpected - the volumes of indexes for the dollar are among the smallest. And it doesn't mean that the quid has low volatility.

Figar0:

Well, from what I understand it seems to me that this is all for naught. It's not gonna do anything. How the fuck does it matter how many trades there were? Small or big speculators made that volume? It has little correlation with ticks. It doesn't correlate with real volumes either, but at least they tell us something.

It will. Of course it will. If this information is obtained from somewhere :). Also tick volumes may give some information. But it's hard.

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