From theory to practice - page 22

 

Pay attention to this week's increases in EURJPY for Ask

About the same comes for Bid.

And this is data from a real NDD/ECN account!!! Still, it becomes obvious that the DCs are applying some kind of filters on the output to broadcast tick quotes.

So how to fight this? The answer is with the simplest input filters.

For example, we take the average value between two successive quotes, we obtain for the same dataset:


I am now addressing to the "doers" from DC - that's how it is, uncles, nothing will help you! :)))))) I don't think you understand either that "memory" in non-Markovian processes is not easy to destroy. Your school knowledge of physics is not enough for that!

 
Nikolay Demko:

Sounds like "I will not do it because according to the second law of dermodynamics we will all die the thermal death of the universe anyway" )))

The first thing to do is to write a grail, and then to think with what methods to squeeze our own money out of DC. For example, we may set a grail in a few brokerage companies where they may pay out a bit, take a bit from each, etc. There are lots of strategies.

What traders call "grail" - this is a property of the process non-marking. It hasn't been researched much. It's an integro-differential equation, not just anything! Actually, the person, who will understand how to use archival-historical tick data - how to use this huge database on the current calculation step - will find it. That's actually what we're doing here, isn't it? :))))
 
Alexander_K2:
What traders call the Grail is a property of the non-marking nature of the process. It has been little researched. It's an integro-differential equation, not just anything! Actually, the person, who will understand how to use archival-historical tick data - how to use this huge database on the current calculation step - will find it. That's actually what we're doing here, isn't it? :))))
Totally in the hole... :-)
 
Alexander_K2:

Note what the EURJPY Ask increments are coming in this week

About the same comes for Bid.

And this data is from a real NDD/ECN account! All the same, it becomes obvious that DCs are applying some filters on the output to broadcast tick quotes.

So how to fight this? The answer is with the simplest input filters.

For example, we take the average value between two successive quotes, we obtain for the same dataset:


I am now addressing to the "doers" from DC - that's how it is, uncles, nothing will help you! :)))))) I don't think you understand either that "memory" in non-Markovian processes is not easy to destroy. Your school knowledge of physics is not enough for that!


Good day! Did you mean averaging over the last two ticks, or over the last two seconds?

 
Yury Kirillov:

Good afternoon! Do you mean averaging over the last two ticks, or over the last two seconds?

Hello Yuri, I now work this way - with a period of 1 second I send a request to read tick quotes. If there's a new tick - I send its value to buffer FIFO for calculations, if there is no new tick - the buffer is not changed. I.e. I don't take every tick and not every price value in 1 second, but exactly like that.
 
I don't get it - it's K1 or K2. I would like to find out if TC has started to have a split personality or is it two completely different people?
 
Yuriy Asaulenko:
I don't get it - it's K1 or K2. I'd like to find out if TC is having a split personality or is it two completely different people?

They are twin brothers).

 
Vitaly Muzichenko:

They are twin brothers)

Got it, C. Marx and F. Engels are not husband and wife at all, but three completely different people.

 
Yuriy Asaulenko:
I don't understand a word of it, it's K1 or K2. I would like to find out if TC has started to have a split personality, or is it two completely different people?

That's kind of who I am. Well, like Schrodinger's cat and in Hilbert space (read - in the forum) :)))))

 
Alexander_K2:

That's kind of who I am. Well, like Schrodinger's cat and in Hilbert space (read: forum) :)))))

Actually, masquerading is not accepted here. And it's not welcome. As far as I know.
Reason: