Russian guides for the RTS - page 7
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The idea is interesting, of course. Despite the fact that the scalpers themselves said that scalping on MOEX in its usual form has stopped for several years now. But I think they are deceiving.
As for the matter - I think we need a better visualization. It is necessary to monitor in real time with our own eyes, to see the correlations, tick-plots, marks, some alerts on them, and to visually compare and determine who rules the ball in the RTS Stock more often and faster - C \ Br \ Mix?
Why such skepticism about the study of historical data? If MT5 allows writing all data of different instruments in a file accurate to microseconds, which is essentially like a table of all deals in Quicksilver, then it can be presented later as a chart and see who gives the kick earlier and earlier to whom - Brent SBS or Mixes RTS. I think that this relationship between Brent CY and Mixes should be considered as something complex. I could be wrong of course.
It seems to me that the important thing is the analysis of eating a large level in the cup, i.e. when someone places a real position, for example 5000 lots in Si, and they are eaten in 5-10 seconds, then one can expect an impulse of 50-100 points, and then there can be a sharp reversal. It is especially relevant when the intraday one-minute trend is going on for a long time. As a result, there may be different behavior in the market at different technical levels/situations and this should also be taken into account.
The question is how to automate this) There has to be a simple clear logic. I.e. from your proposal we can set a condition, for example - if in the last 5-10 seconds we have bought 5000 contracts at one price, then we enter at the rebound with a short stop, expecting a bounce, but if we have eaten, then we immediately roll over, expecting a continuation. Right? Only to know what is the norm of "consumption" in a 5-10 second timeframe, one needs statistics and historical data, and the author doesn't consider it. And observing the cup I see that they put large Limits, and then take them off when the price approaches or move around the spread, and those Limits don't really participate in trading, they just create the "mood".
The question is how to automate it) There has to be a simple clear logic.
I think that ticks analysis by ZZ indicator built by points with volumes large at extremum would be suitable here, it would look like a saw with small fluctuation, with peaks being flat because of large number of ticks at the limit level.
I.e. from your suggestion we can set a condition, for example - if in the last 5-10 seconds we have bought 5000 contracts at one price, then we enter the rebound with a short stop, expecting a bounce, but if we have eaten it, we immediately roll over, expecting a continuation. Right?
Not exactly - we enter the rebound, but higher/lower by 100-150 points after the large limit breakthrough, and there should be a trend on the minutes which is at least 100 bars long. I.e. there should be a potential for a correction.
Only to know what is the norm of "consumption" in 5-10 seconds in a glass one needs statistics and historical data, and the author doesn't consider it. For my part, watching the cup lately I see how large limits are set, and then they are removed when the price approaches or moves around the spread, and these limits don't really participate in trading, they just create the "mood".
Tick data is available in the terminal, the question is in the visualisation of events for analysis. Of course, open interest can also be viewed and the number of bids in the cup - this requires an additional tool for collecting information.
New versions of the analiser
Been watching the indicator for a few days, but haven't found anything interesting :(
I did some digging on this topic, but on a longer timeframe. I got that RTS = Si + Mx, Mx = Si + RTS and Si = Mx + RTS. I.e. if to express RTS through a two-factor regression equation RTS = ka * Si + kb * Mx + z, then we will obtain an exact copy of RTS accurate to the spread. The same is true for any other combination of the three. That is, if we have two of the three instruments, we no longer need the third, its values are known analytically.
The difference between the analytical and the actual value is negligible, and if it can be traded as some sort of arbitrage, then only within HFT, with all the associated infrastructure requirements.
I wanted to do it on M1, because I thought there would be time to enter the trend, and the entry is clearly
I could see it, but I had a problem with the exit...
The MT5 does not have many world indices available, but I would like to try scalping
I'd like to try scalping on RTS, what forex instruments can be used as guides to
as guides for RTS?
It turns out that RTS (Ri) has no guides, RTS is on its own mind and can be a guide for all others
What a daring flying in and a smooth straight line descent, beauty!