Russian guides for the RTS - page 3

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GoVegas:
What about the MIX (MXI) - SBRF - GAZR (LKOH could be added as the fourth, but it is unlikely)? In my opinion, there will be more correlation in such a "trio" than in the one you suggest.

Explain, please.

 
prostotrader:

Explain, please.

By analogy with your statement, the behaviour of the MIX index (MXI) by more than 40% depends on the movement of three futures: SBRF, GAZR, LKOH - the weight of each of them in the index is approximately equal - 13% or more. I see no reason to analyse NOVATEK, GMK, Rosneft, Tatneft, which give another over 20% to the index in view of their wild illiquidity. Then according to the assumption of intentions: to analyse the cups of Uber, Gazprom, Lukoil and try to calculate where the Mamba will move. We could develop this topic and analyse not the cup, but a strip of deals or the balance of sell/buy orders and their volumes.

 
GoVegas:

By analogy, the MIX Index (MXI) is more than 40% dependent on the movement of three futures: SBRF, GAZR, LKOH - each of which has a roughly equal weight of 13% or more in the index. I see no reason to analyse NOVATEK, GMK, Rosneft, Tatneft, which give another over 20% to the index in view of their wild illiquidity. Then according to the assumption of intentions: to analyse cups of Uber, Gazprom, Lukoil and try to calculate where Mamba will move. We could develop this topic and analyse not the cup, but a strip of deals or the balance of sell/buy orders and their volumes.

I see.

There are 51 instruments in the MIX "line-up".

Isn't that a lot to analyse?

 

Is the target 20 pips or 20 steps? After all, 1 step equals 10 pips on the RTS.

The first thing to do is to make an indicator, which will be able to show, what makes the movement on RTS - Si or Mix move now. I think it can be done due to percentage change of price, perhaps adding coefficient, making equal force of movement. After that you can look at the chart Si/Mix and see what is the movement at the expense of - holding the movement (rollback from the level being held) or at the expense of the sharply increased demand. If the first option, it is better not to bend, if the second one, then it is important to understand the direction of the movement, because the reaction of Mix will depend on the direction. And there we will have to enter.

It is also interesting to look at the indicator, which shows bid and ask volume, especially it is interesting, when the base asset and futures have different maximal values, i.e. more buy orders for one and more sell orders for another. I think this situation could mean something, but I don't know how to collect this information.

 

At the moment the indicator shows the difference of volumes in the cup ( buy - sell yellow? -Si red MIX)

and difference of volumes of deals (light green - Si, crimson MIX)

Since transactions are not constant, the indicator "leaves" the last value


Added

It didn't count correctly updated the indicator
Files:
Stakan.mqh  24 kb
RTS_analyzer.mq5  14 kb
 
prostotrader:

At the moment the indicator shows the difference of volumes in the cup ( buy - sell yellow? -Si red MIX)

and difference of volumes of deals (light green - Si, crimson MIX)

Since transactions are not constant, the indicator "leaves" the last value


Added by

It didn't count correctly updated the indicator

It is impossible to find a pattern without history. I propose to think about the method of collecting the history, once a minute or once every 10 seconds to collect the information in a file.

 
Aleksey Vyazmikin:

You can't find patterns without history. I suggest thinking of a method of collecting history, once a minute or once every 10 seconds to collect the information into a file.

Forget about HISTORY - it's a fiction. If you do not do it, you have nothing to do on FORTS.

There is a pattern, put the indicator on RTS (update the indicator, reload it) and watch.

If the crimson line (MIX trades) and the red line (MIX volumes in the ticker) are directed downwards, then RTS necessarily goes down, the only thing left to find out

how big opposition Si MIX

SZZ Watch on the real!

Added

But these relations are for the moment scalping and it will hardly give a 20 pips profit,

I'd have to look for "deeper" dependencies... Find the dependence of the FORMATION of the trend, and for this

You need to analyze the full range of data provided by the class.

Added

Removed the "memory" of the trades for clarity

Files:
RTS_analyzer.mq5  14 kb
 

What is now done in the indicator (class) is not an analysis at all, but a primitive attempt to compare the volumes of stakes and trades

But, it works...

 

"Here we go..."

2018.08.29 17:41:59.768 RTS_analyzer (RTS-9.18,M1)      array out of range in 'Stakan.mqh' (178,31)

stakan_data.buy_data[stakan_data.buy_cnt].price = book_data[i].price;

It's advertised like this

STAKAN_ELEMENT buy_data[BOOK_DEPTH];

And the counter goes to zero every time :(

int size = ArraySize(book_data);
    if(size > 0)
    {
      ZeroMemory(temp_data);
      long max_vol = 0;
      long min_vol = 0;
      stakan_data.max_buy_index = -1;
      stakan_data.min_buy_index = -1;
      stakan_data.max_sell_index = -1;
      stakan_data.min_sell_index = -1;
      stakan_data.all_sell_volume = 0;
      stakan_data.all_buy_volume = 0;
      stakan_data.sell_cnt = 0;  
      stakan_data.buy_cnt = 0;
Worked for a few hours and suddenly... Where is the error?
 
Not enough information, you need more code. If the glass is not readable, size will be 0. And there is a condition. Without a bigger piece of code it is not visible.
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