From theory to practice - page 1167
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It turns out that the TS successfully working at one broker, will pour at another and the Grail is impossible in principle? No, I don't think so.
I think there is a certain true quotes flow and the filters/distortions from brokerage companies are just imposed on it, what is confirmed by my histograms of increments and time intervals.
Having extracted the true stream from the junk and given the non-linearity of time in the variance calculations one should arrive at the Grail, bringing in cash from any broker - that's how the task is set.
I would put it this way
at this moment in time for one brokerage company the quote flow will be incoming and for the other - outgoing, depending on overall liquidity
one brokerage company will make profit at this moment and the other one will lose money
but this earnings will be inconsistent
If you synchronise them, it will be minutes, both there and then.
and the charts won't be different.
and you have the wrong conclusion - they are different.
and the charts won't be different.
and you have the wrong conclusion - different.
well shit. because each minute is a different number of ticks.
well, shit. because every minute is a different number of ticks.
Of course, I'm not arguing.
I've explained it all above.
;)
Well, shit. because every minute has a different number of ticks.
That's the thing to consider in the calculations. Only the number of ticks should be the same for different DCs and time-synchronized. This will be a real, uncluttered flow of events.
Of course, I'm not arguing.
I've explained it all above.
;)
of course they look like different time sections.
Only the number of ticks should be the same for different DCs and synchronised in time.
So if their number is not initially equal?
So if their number is not initially equal?
IMHO - equal. Only the DCs introduce distortions into the flows. This leads to incorrect calculations of the process variance.
IMHO - equal. Only the DCs introduce distortions into the flows. This leads to incorrect calculations of the process variance.
IMHO no, and it cannot be equal
although it can, but there must be one single broker
ha, and it will be, soon
;)
This is the thing that should be taken into account in the calculations.
If you are working with seconds data, then your chart will be similar to the one where I have minutes.
Because the second discretization is the same as the minute discretization, but stretched 60 times.
Only the number of ticks should be the same for different brokerage companies and time-synchronized.
Have you ever seen the stock market? If there are a lot of traders on the stock, it has a lot of ticks.
If this stock is traded by only a few traders - it will move sluggishly and have few ticks.
Similarly, If a broker has many liquidity providers - it has many ticks.
Look for the broker with the tightest spread, it means it has a lot of PL.
Why do you want all brokers to have the same ticks? Just choose the best broker.
It seems that there is a certain, true quotation flow
The true quote flow is at the broker with the narrowest spread.