High-frequency scalping, solutions to entry and exit problems - page 22
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As they say, keep it simple and people will be attracted to you (in this case, investors).
You have not understood the meaning of the Expert Advisor. You don't understand the point of this EA. If the server received this price, then at the time of opening the order it will already be in profit. It will not work on any limits.
OK, I'll continue the thought here,
any market, any execution, any protocol is ready for profit of this strategy, the question is different.
For example, large market makers have an aggregator connected to the liquidity provider using the same FIX protocol, compression, coding, resulting in decrease of pings, and if we connect directly to the provider's server with a cross, then there is no speed problem.
there is another one, it is a hedge, enter by million to buy, and you can not enter by million to sell at the same supplier, but! it would seem that everything is correct. If we work with Deutschbank, it's logical. If we bought EUR 1 000 000 for dollars and immediately give a command to sell EUR 1 000 000, then here you have reverse liquidity, everything will close in a moment. and we will lose on 0 movement commission and spread,
But let's go further and connect Dukascopi to the aggregator as a liquidity provider. In this case, we can hedge it, i.e. we buy from Deutsche Bank and sell to Dukascopi and accumulate losses and profits in one account,
i.e. if you buy from doo-cup and sell from doo-cupi, you accumulate losses and gains in one account. then if the spread spread breaks synthetically, you can try to set a Sell price in doo-cupi (say, stop loss) and go out of the market, if you choose the right direction, you are in profit in deutschbank, but if you fix it, how can you fix it?
we can't do it in mt4, because we can't buy in rwd, sell to alpari
alas,
it's possible that at the moment when I make a deal in the market there are more unsuccessful traders in dukas. of course I take away their orders and vice versa,
because the golden rule of physics has never been abolished
"Energy does not come from anywhere or go anywhere, it just goes from one state to another" I think so, correct me if I'm wrong
... if we bought 1,000,000 euros for dollars and immediately give the command to sell 1,000,000 euros, then here you have reverse liquidity, everything will close momentarily. and we will lose on 0 movement the commission and spread.
You cannot sell 1,000,000 euros for dollars if there is no such buyer at that price at that moment (exaggerating, of course, in forex 10 lots is easy). Or perhaps in a thin market you will move the price by a couple of pips. With large volumes, the formation of spikes is possible, but not the fact that you will have time to buy back your million without losing on slippage (by the order book).
We are not talking about arbitrage here at all, the function you mentioned earlier shows a different working principle of the Expert Advisor. It slips the server the prices it needs (will work on the demo; in the newly formed brokerage companies, which, in order not to torture customers with requoting, improve the conditions, up to positive slippage (in favor of the client), so you claim a guaranteed profitability of the system.
You won't be able to sell 1,000,000 euros for dollars if there is no such buyer at that price at the moment (exaggerating, of course, in forex 10 lots is easy). Or perhaps in a thin market you will move the price by a couple of pips. With large volumes, the formation of spikes is possible, but not the fact that you will have time to buy back your million without losing on slippage (by the order book).
We are not talking about arbitrage here at all, the function you mentioned earlier shows a different working principle of the Expert Advisor. It tips the server to its desired prices (will work on the demo; in the newly formed brokerage companies, which, in order not to torture customers with requoting improve conditions, up to a positive slippage (in favor of the client), so you claim a guaranteed profitability of the system.
I corrected above on the function, it did not work, it's a trivial error, + on -, not without it )))) coefficient, originally intended to replace the slip, thought to set the worst price initially myself, that would somehow reduce slippage, but still it does not work, the last line of the advisor
if (buy signal== true)
{
OrderSend(symbol, OP_BUYSTOP, Lots, Ask + OtstupS*pp, 0, priceSL, priceTP,DoubleToStr(UrSpred, 2)+"-SH-" +DoubleToStr((Ask), 5), Magic, 0,MediumBlue)
OrderSend(symbol, OP_BUYLIMIT, Lots, Ask - OtstupL*pp, 0, priceSL, priceTP,DoubleToStr(UrSpred, 2)+"-LH-" +DoubleToStr((Ask), 5), Magic, 0,MediumBlue);
OrderSend(symbol, OP_BUY, Lots,Ask, 0, 0, 0,DoubleToStr(UrSpred, 2)+"-RH-" +DoubleToStr((Ask), 5), Magic, 0,MediumBlue);
}
Excuse me, have you ever opened a stock exchange terminal? Ninja, for example? There is no spread at all in the sense of a spot (as far as trading hours are concerned), there is only a commission and a one tick difference between bid and ask (see bet) ... This is firstly... And secondly, and thirdly and further by WordProser" style="border: none !important; display: inline-block !important; text-indent: 0px !important; float: none !important; font-weight: bold !important; height: auto !important; margin: 0px !important; min-height: 0px !important; min-width: 0px !important; padding: 0px !important; text-transform: uppercase !important; text-decoration: underline !important; vertical-align: baseline !important; width: auto !important; background: transparent !important;">the stockbroker makes money on everything, on platform fees, on paid data like Level2 and Open Book, on commissions per transaction, but not on a trader's withdrawal. But because the author does not disclose the principles of the strategy, so there is no understanding whether it will work or not on futures...
Smart guy, the difference between Bid and Ask is the spread, and if you open a trade on the market, you will immediately have minus the difference between Bid and Ask + Commission!