From theory to practice - page 123
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Thank you for the links! I will read it tomorrow, especially the EMA, because I use SMA now and am not satisfied with it.
Also google the text (interesting resource (Owl), there's how to mold python to mql and other stuff):
The Thales core strategy is based on trading high-impact news events, in particular central bank monetary policy announcements. The strategy seeks to exploit mispricings in the currency markets, in relation to unexpected policy shifts, unexpected data, or any sort of perceived mispricing related to either one. The competitive edge lies in a unique pre-trade planning process. Every trade precedes a pre-trade plan, which contains in-depth scenario analyses on how the price action could unfold.
San Sanych, could you clarify what you mean by the word "bank-broker" in this context, for retail, not interbank, forex?
Somehow that combination sounds unusual. A broker is an agent. Insurance, customs, airline broker, stockbroker, yes. They work on the basis of agency contracts and are usually not principals in transactions, only intermediaries. Between whom are such banks intermediaries? Let us forget about the fact that in Russia it is forbidden for credit institutions to provide services to forex companies. I want to understand what you meant by that.
A broker is a financial institution licensed by the Central Bank (in the case of the RF).
A bank - broker, is a bank holding a brokerage licence and in the case of forex it is a bank with a forex division which is regulated by European norms.
It is forbidden to name it here, so private if you can.
SAR
I think I sent it.
If you add to everything else the account of non-stationarity, which SanSanych is carrying around like a hen with an egg here, in the form of the account of asymmetry coefficient of the current distribution,...
If you understood the meaning of "non-stationarity", besides you would understand that skewed distribution is not all in non-stationarity, moreover not the most important, moreover you would be at least a little bit familiar with the existing literature, which is a branch of modern mathematics, including works of Nobels, and on which millions of specialists (not physicists) also suffer from this non-stationarity, you would not use my name in a pejorative sense.
Once again: start studying, you have a base, you can learn the primitive things pretty quickly, in a couple of months. There are a lot of unresolved issues in non-stationarity, in a couple of years, maybe you will be able to say something new in non-stationarity, and then you may get an advisor. And you will start teaching young people.
A broker is a financial institution licensed by the Central Bank (in the case of the Russian Federation).
A bank - broker, is a bank holding a brokerage licence and in the case of forex, has a forex division which is regulated by European regulations.
Forbidden to name it here, so private if you can.
SAR
Seems to have been sent.
Thank you, I got it. Since the banks you are linking their Cypriot subsidiaries to turned out to be Russian, I would like to clarify:
1. Russian banks are forbidden by Federal Law 39-FZ "On the Securities Market" to operate in this area http://docs.cntd.ru/document/9018809:
Article 4_1. Activities of a forex dealer
1. The activity of a forex dealer shall be deemed to be the activity involving conclusion of transactions with individuals, not being individual entrepreneurs, on their own behalf and at their own expense, not on the basis of organized trading:
...
4. The activity of a forex dealer on conclusion of the contracts specified in Paragraph 1 of this Article is exclusive. A forex dealer may not combine his activity with any other professional activity on the securities market or with any other activity.
2. the fact that Russian banks are associated with forex companies, on the contrary, scares me off. Among just forex companies, an average of 50 a year disappear, according to my estimates. Out of more than two thousand. Now let's look at the Russian banks. Now there are 566 of them(http://www.banki.ru/banks/ratings/), at the beginning of last year there were more than 700. 20% disappeared. The rate of disappearance is characterised by these figures https://www.asv.org.ru/liquidation/
These figures give me the creeps. The connection of a brokerage company with a bank scares me much more than it attracts. Compared to DCs, where it appears to be almost totally calm - only 3% per year disappear.
Vladimir, I thought about your root of t and Schelepin's variance formula for pseudo-Markov processes. Very close to the solution to the problem... and I've already tested a new algorithm today. And my method is somewhere around here...
Question - remember we discussed that the average tick rate is about 3 sec? Is it possible to say that new ticks for all pairs will surely come in 5 sec. or not? What is the minimum limit of guaranteed tick arrival time?
Regards,
Aleksandr.
Look, here's the idea.
By all means, I need to reduce our non-Markovian process to a pseudo-Markovian one, to simplify it.
To do this I need to ensure that the time intervals between ticks are strictly exponential. Then the formula for the standard deviation of the process will be true:
S = sqrt(N*mean(|Ask(t)-Ask(t-1)|)), where N - number of ticks, mean - average value. Multiply by the root of 2 and you get the most amazing dynamic channels - I checked it today.
But, now the minimum time in my oscillator is 1 sec. and number of received ticks is still different for different pairs with significant differences, but it should be almost the same. And time intervals should be strictly exponential, so that all sorts of OPEN prices etc. are not suitable.
I really need an average minimum guaranteed time of arrival of a new tick - I'm sorry to waste time on experiments.
HELP! Please help.
Look, here's the idea.
By all means, I need to reduce our non-Markovian process to a pseudo-Markovian one, to simplify it.
To do this I need to ensure that the time intervals between ticks are strictly exponential. Then the formula for the standard deviation of the process will be true:
S = sqrt(N*mean(|Ask(t)-Ask(t-1)|)), where N - number of ticks, mean - average value. Multiply by the root of 2 and you get the most amazing dynamic channels - I checked it today.
But, now the minimum time in my oscillator is 1 sec. and number of received ticks is still different for different pairs with significant differences, but it should be almost the same. And time intervals should be strictly exponential, so that all sorts of OPEN prices etc. are not suitable.
I really need an average minimum guaranteed time of arrival of a new tick - I'm sorry to waste time on experiments.
HELP! Please help.
Yes... It's come to this. Usually looking for either average, or minimum, or guaranteed - but here all at once. Even though it doesn't make sense, I'll try to help. Refer to the information I provided a month ago in the post https://www.mql5.com/ru/forum/221552/page18#comment_6167098. Specifically, first to the paragraphs:
"At the top are statistics of the quality of quoting by different DCs. BreAllDCms=10000, BreOneDCms=60000 means that an individual break of one DC was counted if there were no ticks for 10 seconds, total break - if there were no ticks for 60 seconds from any one DC. In a trading week 120 hours = 7200 minutes = 432 thousand seconds. For the 431957 seconds when ticks were running, there are 7143 seconds when there were total disconnects, almost 2 hours. Not the best week, but bearable.
Below in yellow are the cells where less than 86400 ticks (number of seconds per day) were received during the week, which means that the ticks were not received more than once every 5 seconds on average. The record belongs to AUDNZD in 1WOR, 18890 ticks, i.e. one tick every 22-23 seconds. 8 DTs are coloured almost yellow - probably they have a 4 digit quote.
Red coloured - where more than 432000 ticks came in during the week, i.e. on average more than once per second. Again, by eye EURJPY has a maximum of 1564587 ticks in ALP, or 3.6 ticks per second. And that's on average..."
There's also a lot of real information in the figure pertaining to the issue of tick arrivals. And the frequency of quote stream breaks, and the number of breaks, and much, much more.
Yes... It's come to this. Usually one looks for either average, or minimum, or guaranteed - but here it's all at once. Even though it doesn't make sense, I'll try to help. Refer to the information I provided a month ago in the post https://www.mql5.com/ru/forum/221552/page18#comment_6167098. Specifically, first to the paragraphs:
"At the top are statistics of the quality of quoting by different DCs. BreAllDCms=10000, BreOneDCms=60000 means that an individual break of one DC was counted when there were no ticks for 10 seconds, total break - if there were no ticks for 60 seconds from any one DC. In a trading week 120 hours = 7200 minutes = 432 thousand seconds. For the 431957 seconds when ticks were running, there are 7143 seconds when there were total disconnects, almost 2 hours. Not the best week, but bearable.
Below in yellow are the cells where less than 86400 ticks (number of seconds per day) were received during the week, which means that the ticks were on average no more than once every 5 seconds. The record belongs to AUDNZD in 1WOR, 18890 ticks, i.e. one tick every 22-23 seconds. 8 DCs are coloured almost yellow - probably they have a 4 digit quote.
Red coloured - where more than 432000 ticks came in during the week, i.e. on average more than once per second. Again, by eye EURJPY has a maximum of 1564587 ticks in ALP, or 3.6 ticks per second. And that's on average..."
There's also a lot of real information in the figure pertaining to the issue of tick arrivals. And the frequency of quote stream breaks, and the number of breaks, and much, much more.
Vladimir, I thought about your root of t and Schelepin's variance formula for pseudo-Markov processes. Very close to the solution to the problem... and I've already tested a new algorithm today. And my method is somewhere around here...
Question - do you remember we discussed that the average tick rate is about 3 sec? Is it possible to say that new ticks for all pairs will surely come in 5 sec. or not? What is the minimum limit of guaranteed tick arrival time?
Regards,
Sincerely, Aleksandr.
If you started to think about ZKC, I'll clarify it. I don't have the root of t. Instead of astronomical time I often use my own, operational time, i.e. tick number or number of ticks. Sometimes something else. The greatest deviation never acts as a characteristic of the spread of fluctuations, only the average in some sense. Also, as in Reynolds' or Fourier's similarity criteria, it is "characteristic size". Nowhere is equality used, it is always about proportionality.
The spatial extent of an oscillation is proportional to the square root of its temporal extent.
Such regularities occur all over the world, don't need to call them mine. The Wiener process is only one of models, to which WCC approaches. The theory of short-term phase contact for mass transfer (Higby), diffusion in metals and alloys in the solid phase (Hertzriken), conductive drying (Crischer) and so on - in these too the SCC is valid. Even here https://www.mql5.com/ru/forum/220237/page9#comment_6129706 its applicability to the thickness of the boundary layer in aerodynamics and hydrodynamics has been found. Let me be corrected by people who are more familiar with signal theory, but in my opinion, in spectral analysis this law means the constancy of the signal power with frequency.
Yes, another significant property. The SQC is not local, it is observed on large samples. And it says nothing about how much it can be violated for small samples.
Look, here's the idea.
By all means, I need to reduce our non-Markovian process to a pseudo-Markovian one, to simplify it.
To do this I need to ensure that the time intervals between ticks are strictly exponential. Then the formula for the standard deviation of the process will be true:
S = sqrt(N*mean(|Ask(t)-Ask(t-1)|)), where N - number of ticks, mean - average value. Multiply by the root of 2 and you get the most amazing dynamic channels - I checked it today.
But, now the minimum time in my oscillator is 1 sec. and number of received ticks is still different for different pairs with significant differences, but it should be almost the same. And time intervals should be strictly exponential, so that all sorts of OPEN prices etc. are not suitable.
I really need an average minimum guaranteed time of arrival of a new tick - I'm sorry to waste time on experiments.
HELP! Please help.
Forum on trading, automated trading systems & strategy testing
From theory to practice
Alexander_K2, 2017.12.29 10:33
Well, and of course, the method of data reception. Extremely important thing!!! The most important one, I would say. Looking back now - gigantic work has been done. It's good that I'm an inspector in my company - I can do the job and go away, Vasya! If I was just an engineer I would have been fired long ago :))))))))
You're the chief engineer - giveouttasks and go, Vasya.
You shouldn'task engineers for help. You only give orders.
SO
But the Inspector in Chief... However, it does not matter...