Downloading tick data - page 3

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Sorento:
The volume in the cup.

Is this cup within Dukascopy?

I.e. AskVolume is the total volume of sellers, BidVolume is the total volume of buyers in Dukascopy?

 

These are not cup volumes.

AskVolume is how much volume you are supposedly willing to sell (maximum) at the current Ask price (you can buy).

BidVolume is how much volume you are currently willing to buy (maximum) at the Bid price (you can sell).

By "you" is meant any client of the broker who reaches this price first.

"Ya's" is unrealistic volume, but aggregated from several sources - liquidity providers. Their liquidity may overlap, so the volume is imaginary in some part of it, but here the aggregator broker is not deliberately lying, because he cannot identify the overlapping liquidity. The source of liquidity is also the broker's clients themselves, by placing their limit orders. The usual ECN/STP scheme. Another thing is that there are many nuances of this kind of operation where there are opportunities for legal price manipulation by the broker. And practically everyone takes advantage of that.

 
Man, it's hard to get into everything)))
Analogy:
Ask - the price at which you can "supposedly" buy

Bid - the price at which you can "allegedly" sell.

And in general, these data are real or with the prefix "allegedly". I've used some ticks from Ratedata, the Dukascopy data seems to be of better quality.

 

No, Bid and Ask are real prices. Pay no attention to the details described. It only matters to those who are hitting the liquidity ceiling by trading huge volumes.

Another thing is that the Bid and Ask could be quite different elsewhere (more favourable or vice versa). Therefore, the orientation in general to the history of quotations should be adequate.

 
hrenfx:

...

AskVolume is how much volume you would be willing to sell (maximum) currently at the Ask price (you can buy).

BidVolume is how much volume you are currently willing to buy (maximum) at the Bid price (you can sell).

...

So in the end it turns out that AskVolume and BidVolume are some kind of liquidity threshold?

In other words, if a lot that exceeds AskVolume is placed for buying, it will be split and executed at different prices (one part at the Ask price, the other exceeding AskVolume, at a higher price)?

Does the term "profiling" have roughly this meaning?
 

Yes, this is the 'threshold' for liquidity at the prices shown. If you take more volume with market orders, the limit will be executed at several levels of the cup to fill the volume.

If you fill the required volume with limit orders, the limit will be gradually filled with liquidity. And it is not certain that it will be filled - the price will go in another direction.

But the liquidity at this price can be much more than what is shown. That is, the liquidity provider gives an order, for example, for 1 mio at Ask-price. You have committed 1 mio, and then the same liquidity provider makes a new order at the same price for another 1 mio. No one in their right mind would show their intentions to make a large volume, so the liquidity may be much higher than the one shown.

There are a lot of algorithms to make large volumes as safe as possible (profitable). In particular, horizontal and sloping channels are created because of them.

 
As an aside.
 
That's all well and good, but you also have to take into account commissions and slippages. And the monitoring does not show them.
 
wise:
That's all good, but you still need to take into account commissions and slippages. And the monitors do not show them.

The commissions are also shown there. From here:

P.S. Translation of the current standard (and it's not small - $25 per $1 mio turnover) commission into pips:

1. EURUSD current commission = 5.00 pips
2. GBPUSD current commission = 5.00 pips
3. USDJPY current commission = 4.13 pips
4. USDCHF current commission = 4.53 pips
5. USDCAD current commission = 4.99 pips
6. AUDUSD current commission = 5.00 pips
7. NZDUSD current commission = 5.00 pips
8. GBPCHF current commission = 4.53 pips
9. GBPJPY current commission = 4.13 pips
10. EURAUD current commission = 4.83 pips
11. EURCHF current commission = 4.53 pips
12. EURGBP current commission = 3.14 pips
13. EURJPY current commission = 4.13 pips
14. EURCAD current commission = 4.99 pips
15. EURNOK current commission = 28.72 pips
16. EURSEK current commission = 33.32 pips
17. CHFJPY current commission = 4.13 pips
18. AUDNZD current commission = 6.13 pips
19. AUDJPY current commission = 4.13 pips
20. CADJPY current commission = 4.13 pips
21. USDSEK current commission = 33.32 pips
22. USDNOK current commission = 28.72 pips
23. AUDCAD current commission = 4.99 pips
24. AUDCHF current commission = 4.53 pips
25. CADCHF current commission = 4.53 pips
26. EURNZD current commission = 6.13 pips
27. GBPAUD current commission = 4.83 pips
28. GBPCAD current commission = 4.99 pips
29. GBPNZD current commission = 6.13 pips
30. NZDCAD current commission = 4.99 pips
31. NZDCHF current commission = 4.53 pips
32. NZDJPY current commission = 4.13 pips

Regarding slippage and regs I can only say for some of the list - there is no negative slippage for limiters, regs are the same as in the native Currenex and Integral platforms. I.e. execution at market prices (without manipulation or insurance markups on top) simply cannot be better.

P.S. These spreads are not yet the limit. Aggregation will allow them to be reduced even further.

 
I was just about to suggest going through the 52000 trade statistics with the script and seeing how much it really glides there. Would you be interested in doing that? =)
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