From theory to practice - page 125
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But you can never be sure of that as there are no benchmark quotes in forex. Take two ECN accounts at different brokers/clearing houses and make sure the quotes are different. You will not find two ECNs with the same quotes.
That's right! That's why I work in exponential timescales. The transition from broker to broker will be seamless and without any changes in the model.
Besides, sooner or later I'll have to give orders for translation of my model in MQL code to the most powerful programmers here on the forum and we'll just have to communicate in the same "exponential" language :)))
That's a yes! That's why I work on an exponential timescale. The transition from broker to broker will be seamless and without any changes to the model.
Besides, sooner or later we will have to give orders for translation of my model in MQL code to the most powerful programmers here on the forum and we simply will have to communicate in the same "exponential" language :)))
Apart from the fact that ECN is an automaton.
ECN allows you to set a limit inside the spread, the spread will narrow down to the level of your limit. But it will be loaded only by clients of the brokerage company. Outside it is drawn as a market on STP.
Usually ECN accounts are connected to aggregators such as LMAX Currenex etc.
Here is a list of liquidity providers of only one ECN account
http://www.lmax.com/
http://www.currenex.com/
http://www.integral.com/
http://www.hotspotfx.com/
http://www.cfhclearing.com/
http://www.fxcm.com/
The DC acts as an aggregator of all these gateways for its clients, and it is possible to make an almost full-fledged glass based on this number of gateways. But still it will be almost. Because firstly, the client's limits will be displayed as markets on external liquidity, and secondly, nobody will show Last of each aggregator, which means that the open interest cannot be calculated even approximately. And without a tape and OM, what kind of exchange can there be?
Greetings Nikolai!
I need to explain in simple terms - can the ECN account receive knowingly distorted quotes from the brokerage companies and why do they need it? My opinion - they may, and I see it on pure ticks bar charts, that's why I work with exponential time, which is an excellent filter itself. But why do brokerage companies need it - I do not understand. What good is it for them? After all, now it is the same to them how I trade - in deficit or plus, they live on commission from trades. Why would they feed me some trash and make me fight them?
Greetings Nikolai!
I need to explain in simple terms - can the ECN account receive knowingly distorted quotes from the brokerage companies and why do they need it? My opinion - they may, and I see it on pure ticks bar charts, that's why I work with exponential time, which is an excellent filter itself. But why do brokerage companies need it - I do not understand. What good is it for them? After all, now it is the same to them how I trade - in deficit or plus, they live on commission from trades. Why would they feed me some trash and make me fight them?
Please describe the terminology, what does "misleading quotes" mean?
One will be talking about Thomas and the other about Yeroma.
... Can an ECN account knowingly receive misleading quotes from an ECN?
Of course they can. At least filtered quotes. I mentioned above execution with 90% negative slippage against me on ECN account for a reason, although slippage should be 50/50.
... Why do they need it? But why do ECNs need it - I don't understand. What good will it do them? Why would they give me some crap and force me to fight it?
To use these distortions for their own benefit. For example the same slippage goes in favor of brokerage companies. Also after opening a position the quotes may be shifted against the client.
After all, now it makes no difference to them how I trade - in deficit or plus, they live on commission from trades.
This is how they explain it for marketing purposes, but it is not the truth.
Please describe the terminology, what do you mean by "deliberately distorted quotes"?
Otherwise one will speak about Thomas and another one will speak about Yours.
It is a histogram of tickwise increments of Ask for AUDCAD pair, on data, which I take via exponent.
If I take the data simply by the arrival of each tick, there is no such beauty - there are some gaps in the histogram. I can't find the example - I posted it here on the branch, maybe I deleted it in a hurry... and now I can't get a proof - I've been working with the exponential time scale for a long time and it suits me fine.
Of course they can. At least filtered quotes. Not for nothing I wrote above about execution with 90% negative slippage against me on an ECN account even though the slippage should be 50/50.
Then I want to use these created distortions for my own selfish purposes. For example, the same slippage is used in favor of brokerage company. Also after opening a position the quotes may be shifted against the client.
This is how they explain it for marketing purposes, but it is not the truth.
How does it work for them if they bring the client to the ECN?
For them to benefit from it, they have to take the side of one of the clients. ECN is an automatic system, it does not imply that clients will have a different price in a transaction concluded between two clients. The price of the deal is the same on both sides (I checked with ECN myself when buying from different accounts).
This is the histogram of tick increments of Ask on AUDCAD pair, on the data I take now via exponent.
If I take data simply by the arrival of each tick, there is no such beauty - there are some gaps in the histogram. I can't find the example - I've posted it on a branch here, maybe I deleted it in a hurry... and now I can't find the proof - I've been working with exponential time scale for a long time and it suits me fine.
Can I have the basic statistics for this histogram?
And autocorrelation?
Can I have the basic statistics for this histogram?
And autocorrelation?
In the attached file - tick data for Ask of AUDCAD pair at exponential time intervals.
The first column is the Ask itself
The second column - the Ask increments.
If you're interested, you can calculate and look it yourself.
How does it benefit them if they are pitting client against client on ECN?
In order for them to benefit from it, they have to take the side of one of the clients themselves. ECN is an automatic system, it does not assume that clients will have a different price in a transaction made between two clients. The price of a trade is the same on both sides (I checked it when buying on ECN from myself from different accounts).
If the transaction price is the same on both sides, then there is no benefit. I did not check, so there was an assumption of profit. But then how to explain the stable negative slippage?