Downloading tick data - page 4

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hrenfx:

P.S. These spreads are not the limit. Aggregation will reduce them even further.

Currenex is aggregation. Except for adding more LPs.
 

Monitoring execution is not a fad, but a 100% necessity. Therefore, everything has been done and more:

  1. Synchronized the local time with the time of the trade server.
  2. Parsed log files of all traded terminals to detect any changes in orders (opening, modifications, etc.)
  3. On the basis of the parsing, history of trades and history of quotes of the symbols being traded, statistics on redirects - when a limit order was not executed, was collected.
  4. Also, situations when the limit (and this is TakeProfit as well) was executed partially were taken into account.

Summary:

  1. Not a single case of negative slippage.
  2. The slippage increased as the order volume grew. And this is a perfectly marketable situation as the liquidity of the market inefficiency being used has a ceiling and the profit from a certain point can only go linearly, not exponentially.
  3. There are a lot of different solutions needed to fight the ceiling.
  4. MT4-server dies of pipsing is a myth (if the technicians are competent). There were about 50,000 trade orders successfully processed per day.
 
wise:
Currenex is an aggregation. Except for adding a larger number of LPs.


Currenex only aggregates LPs through Prime-Broker. There are plenty of ECN/STP pads on Currenex. So are Integral and other systems. Aggregating these ECN/STP venues is what allows you to give the best prices in the industry. Also:

For pipsqueak lovers, it is a myth that in the interbank market pipsqueak is always a good thing for the trader. Take any broker via Currenex or Integral. With pipsing it will be about the same as in the kitchens. I.e. at first everything will be great. Then the execution will start to deteriorate (redirects) and prices will deteriorate. This is not only manipulation by the broker himself, but also by his liquidity providers, who really don't like this kind of toxic flow of "orders". They are all trying to make the most profit by playing something against it, taking risks somewhere, etc.

These brokers send different prices to different clients. As a simple example, a bank can send one price to one client and a completely different price to another. It is not uncommon for these two prices to contradict each other - arbitrage. And if a clever one sees this and trades arbitrage, which the bank itself created through its own manipulation games, the bank will be punched in the head. That is why many brokers check their clients for not using arbitrage.

And everything seemed to suck with the pips. Everyone wants to f*ck up the trader. However, there is a light at the end of the tunnel - aggregation. Aggregation takes several liquidity providers at a time. If one of them starts playing with prices, their prices become simply non-competitive with the others, and the volume begins to fall for them. And it becomes unprofitable to manipulate.

The most important thing is to have as many liquidity providers in the aggregator as possible. And also that the broker himself using the aggregator runs a clean game - no manipulation. All this is already in place.

Aggregator is a super thing that protects against manipulation by the big sharks. Keeps you from identifying the specifics of your TS. No one can see your limit orders etc.

That's why you can make very decent money on pipsing (a million dollars a month is not the limit).

And the fact that the organizers of the Championship, know a mizzero (and only in theory) of what is written now - is obvious.

P.S. If your earnings on the interbank pipsqueak (at some majors on Currenex, for example) is only a few tens of $K per month, and the monthly turnover is only a few hundred mio, then you will not be disturbed because of such nonsense. The main thing is that the broker's total income from his manipulations should far exceed your profits. Just in case - it's not about the DC kitchens, but about the interbank canteen at the FIX API.

 

hrenfx:

Not a single instance of negative slippage.

And are we talking about all the ones in which the trade was tried or specifically that "green bar"? And by the way, does the "green bar" provide FIX?
 

The "green bar" was mentioned (on MT4). FIX was only mentioned to understand that it is the same everywhere with pips.

Another one on the list also definitely has no negatives at the moment, but there is no aggregation there (as with the others, though).

 

Oh, I see. You were trading in the "green band" solely with pendants, weren't you? Well, then, yes, it would be strange if they were sliding in the negative. But, in general, according to different data, the "green band" is not in the top ten (or somewhere at the very end), but, at the same time, good commission and good spreads. One could assume that they are not greedy, but, as senior comrades here tell me, on standard accounts they have conditional profit on turnover 6-8 times more. Thus, it is not clear why there is such a discount on ECN.

And the second question, by the way, how do I trade a synthetic instrument (with more than two FI) using pending orders? Is it possible to place them very close to the price?

 
wise:

Oh, I see. You've been trading the green bar exclusively with pendants, haven't you?

Limiters.

Well, then, yeah, it would be weird if they were sliding into a negative.

No, it wouldn't. In most MT4-companies the limiters are implemented through market orders, so they slide both ways.

But, generally speaking, according to various data, Green Stripe is not in the top ten (well, or somewhere at the very end) but, at the same time, good commission and good spreads. One could assume that they are not greedy, but, as senior comrades here tell me, on standard accounts they have conditional profit on turnover 6-8 times more. Thus, it is not clear, why there is such a discount on ECN accounts.

Standard accounts and ECN-accounts are different business models. Nobody for a long time hides the fact that the standard accounts of the major brokers work on the kitchen business model. The trader has the right to choose where to trade.

On ECN there are two models as well - transparent and manipulative. Manipulative model is used by almost everyone (not on MT4) and it brings immediate income much more than the transparent one.

But the transparent model has a perspective character, when due to agglomeration of all manipulators it will smother them all and bring the industry to a qualitatively new level, gathering huge turnovers and setting completely different rules of game.

A simple closed chain: more aggregation - better prices - more users - higher turnover - lower commission - more users - higher turnover (and better prices).

A simple example, HotSpot has $20 billion turnover per day. With a transparent scheme of work, achieving such figures is a matter of time.

And the second question, by the way, how can we trade a synthetic instrument (with more than two FI) using pending orders? Is it possible to place them very close to the price?

I do not advertise the specifics of my trading.

 

Maybe someone has already downloaded tick data for several currency pairs. I need ticks for 2009-2011 in "XXXXXX.CSV" format.

Share if you don't mind !

Then you don't need a download programme either ...

 
So it's all there in its original state, just the way you want it (from May 2009).
 
hrenfx:

Standard and ECN accounts are different business models.

Yes, but not everyone can afford to subsidize ECN until it starts giving profits comparable to standard. Plus, the idea of subsidizing is questionable. So, my point is that they have to get their money somewhere. Maybe with the performance march, it slips...

I don't advertise the specifics of my trading.

So the question is not about the specifics of trading, but technical, how to achieve simultaneous execution of limits on multiple FI. =)

And is that even possible.

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