From theory to practice - page 41
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Integral quantile by Euler from three dts/brokers on minutes in yellow November 21 gmt+2(#1 is stated by liquidity provider for #2 and as a consequence for #3):
The ticks will come as the dtz/broker wishes and the dtz/broker will not say why. The "picture" will be both completely different and similar for different dts/brokers.
No need to give, show your integral/differential visually.
Can you briefly describe - what is the difference?
Just not the lines naturally, the point is of interest.
Can you briefly describe - what is the difference?
Just not the lines naturally, the point is of interest.
The point is, the substantial liquidity provider(#1) has been filtering-drawing quotes/data for a long time and has experience. This provider (as probably others), most likely (purely imho) turns off at #2 and #3 at certain times of day on some condition (perhaps this is a hidden good at certain times that allows not to use higher timeframes). I.e.:
- There is no definite regularity in the continuous flow of ticks into terminals 2 and 3: a couple of hours ticks go this way, then five hours differently, then some other way, and the sign of the change of the regularity is unknown to a user. It doesn't make sense to analyse ticks in simple aggregators of several liquidity providers.
- the found/adjusted tick pattern for #2 and #3 will not be reliable, because the error-divergence of data at certain moments reaches opposite values as -1/+1 (up/down direction).
- During a minute, the DT/broker may draw anything, as long as the final minute corresponds to something (maybe someone will go to fca), and a large DT/broker will not change tick drawing frequently, but will just send a history update (and superindicators/advisors "hang")
Recall. The "failure" at a step size of 3 (0.00003)https://www.mql5.com/ru/forum/221552/page19#comment_6167713 may well be due to the very smallness of this step. (When the sum of an even number of several close numbers falls in the middle of the rounding range,) the processor, to avoid systematic error (see below), rounds even/odd differently, for rounding to integers it looks like this: 11.5 => 12 12 12.5 => 12 13.5 => 14 14.5 => 14 15.5 => 16.
Wiki Rounding,
section"Options for rounding 0.5 to the nearest integer",
Banker's rounding- rounding for this case is to the nearest even, i.e. 2.5 → 2, 3.5 → 4.
End of quote.
When ticks from dozens of DCs are collected, in the average value we have to remember numbers up to 6 digits, i.e. the step is even smaller, and this effect can be seen on the sampling frequency plots as a saw-toothed start. After 5 up and down oscillations of the frequency the sawtooth disappears.
Meaning, a significant liquidity provider (#1)
Sorry to interject. There are no liquidity providers in forex. There is a quotation provider, which is used by the brokerage company. What the brokerage company does or does not do with them is not known.)
On Forex the quotes are purely indicative.
Sorry to interject. There are no liquidity providers in forex. There is a quotation provider, which is used by the brokerage house.
Forex quotes are purely indicative.
Meet, the point is clear, I use the term what it says at the dts/boxers, you can convince them not to use that terminology, but I agree with you.
https://yandex.ru/search/?text=dukas%20поставщики%20ликвидности&lr=193&clid=2270455&win=298
The ONLY attempt I've seen is herehttp://library.keldysh.ru/preprint.asp?id=2013-3
These people are VERY close to a solution. If they change the stationarity/non-stationarity approach a bit and understand that this process is non-Markovian, then they can solve this problem in analytical form and get a Nobel Prize deservedly.
They are not hiding like me - maybe it makes sense to contact them, to talk? I'm curious - how are they doing?
Thank you very much for the link, I love anything new :)
Integral Euler quantile from three dts/brokers on minutes in yellow
Googled "integral quantile by Euler" and couldn't find it. May I ask what you called those words?
The point is, a significant liquidity provider (#1) has been filtering-drawing quotes/data for a long time and has experience. This provider (as probably others), most likely (purely imho) is disabled at #2 and #3 at certain times of the day on some condition (perhaps a hidden good at certain times that allows not to use higher timeframes). I.e.:
- There is no definite regularity in the continuous flow of ticks into terminals 2 and 3: a couple of hours ticks go this way, then five hours differently, then some other way, and the sign of the change of the regularity is unknown to a user. It doesn't make sense to analyse ticks in simple aggregators of several liquidity providers.
- the found/adjusted tick pattern for #2 and #3 will not be reliable, because the error-divergence of data at certain moments reaches opposite values as -1/+1 (up/down direction).
- During a minute, the dt/broker may draw anything, as long as the final minute corresponds to something (maybe someone will go to fca), and a large dt/broker will not change tick drawing frequently, but will just send a history update (and superindicators/advisors "hang")
What a great post! These are the kind of things we need! After all, let's agree - how can you just work with each tick, without understanding where it's coming from?
It's no accident that I chose exponential time intervals between ticks, and even take the average value between them.
That's how I see a fairly pure t2-distribution for the returns increments. I couldn't do it any other way.
Recall. The "failure" at a step size of 3 (0.00003)https://www.mql5.com/ru/forum/221552/page19#comment_6167713 may well be due to the very smallness of this step. (When the sum of an even number of several close numbers falls in the middle of the rounding range,) the processor, to avoid systematic error (see below), rounds even/odd differently, for rounding to integers it looks like this: 11.5 => 12 12 12.5 => 12 13.5 => 14 14.5 => 14 15.5 => 16.
Wiki Rounding,
section"Options for rounding 0.5 to the nearest integer",
Banker's rounding- rounding for this case is to the nearest even, i.e. 2.5 → 2, 3.5 → 4.
End of quote.
When ticks from dozens of DCs are collected, in the average value we have to remember numbers up to 6 digits, i.e. the step is even smaller, and this effect can be seen on the sampling frequency plots as a saw-toothed start. After 5 up and down oscillations of the frequency the sawtooth disappears.
Thank you very much for the link to you, love everything new :)
Greetings Maxim, I remember you. And I read your posts on other threads. It's people like you who will split this miserable Forex market - I am convinced of it.