From theory to practice - page 205
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what are the minus-speeds in your chart there?
Well, when the negative increment between the new quote and the old quote is divided by the time interval in which this new quote arrived.
Well, when the negative increment between the new quote and the old quote is divided by the time interval in which this new quote arrived.
what for? you said you were just measuring the time between ticks. so we've also seen time periods between ticks that are less than 1 second.
It seems to me that it will be the same. The most interesting thing about the velocities is what's going on near 0. It's as if there are still a few distributions sitting there in the background of one huge one. I don't know how to use it. I just saw it.
It seems to me that it will be the same. The most interesting thing about the velocities is what's going on near 0. It's as if there are still a few distributions sitting there in the background of one huge one. I don't know how to use it. I just saw it.
Here's what it would look like.
velocity diagram, all values taken modulo.
It would be like this.
what do you measure the time in? an excel file?
in seconds. And what is this distribution?
Modelling a random variable with a given distribution law
Alexander missed this post by the way.
The article describes a simulation for which you don't need an analytical function, an empirical distribution is sufficient.
Alexander seems to have missed this post.
The article describes a simulation for which you don't need an analytical function, an empirical distribution is sufficient.
Thanks!!!!!!!!!!
Yes, as a matter of fact, it's the GSF with such an unusual distribution that I'm interested in.
it can't be in seconds. it 's zero followed by 0.00001.
is that one hundred thousandth of a second?)
and you didn't measure ticks under a second.
It seems to me, gentlemen, that if we read quotes in time intervals according to the above distribution, no matter whether it is a real quote or a pseudo-quote (i.e. quote = quote at the previous step), then we will definitely get into the space that we must be in to see the picture of the universe.
This space is the same for all currency pairs.
And that is where the intensity of trading will be totally different, and the distributions will take their true form and everything...
Look for me there.
It seems to me, gentlemen, that if we read quotes in time intervals according to the above distribution, no matter whether it is a real quote or a pseudo-quote (i.e. quote = quote at the previous step), then we will definitely get into the space that we must be in to see the picture of the universe.
This space is the same for all currency pairs.
And that is where the trading intensity will be totally different, and the distributions will look true and all-in-all...
Look for me there.
About the "true look", however, read the link from @Novajahttps://www.mql5.com/ru/forum/221552/page204#comment_6729411, it quotes Metaquotes CEO Renat Fatkhullin https://www.mql5.com/ru/forum/102066/page9#comment_2968124:
Here is a report on the EURUSD tick stream (8000 ticks in 2 hours) with information on banks and a simple filtering by the list of preferred banks. Filtering by bank is the most basic cleaning of the information flow. Each brokerage company chooses its own suppliers, which leads to differences in quotations. In addition, brokers often change suppliers, which leads to price variations. Of course apart from the filtering by banks there are also additional filters which each broker sets for itself.
And also from the same thread, the same person's words, taken from the quote in https://www.mql5.com/ru/forum/102066/page10#comment_2968130:
Renat >> :
I say on the basis of my 7 years experience "don't get into ticks (1), don't play in noise (2), write toasty EAs (3), don't try to build strategies on anything below NN minutes (M5, M15, to your taste) (4)". But would anyone believe me? The experience of this forum suggests that they won't believe me, and every month the same questions will appear.
They won't, because it all has to be experienced on its own. So good riddance!