From theory to practice - page 57

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Yuriy Asaulenko:

It comes to mind.

Kisa, I want to ask you, as an artist to an artist: can you draw?

Damn, Yuri, you should be laughing. My word of honour is at stake...
 
Alexander_K2:  If you take every tick, the delta T is floating. And what should it be? It is logical to assume that it should be anything. However, if I try to read ticks every 1 sec, then still REALLY received ticks will NOT have delta T =1.
Alternatively, measure time in ticks instead of seconds. Then delta T will always be equal to one.

All the "tick" traders I know take and analyse every tick, and don't bother with the method of reading them at all.

 
Alexander_K2:

Honestly, I'm already so tired of this race... After all, I need to create a TC just in time for the New Year and not one day later...

Eh...

1. I see price as a dimensionless physical quantity.

2. We have a discrete non-Markovian flow.

3. increment is difference between current and previous price, expressed in pips. It may have both positive and negative values.

4. Price movement as a non-Markovian process is described by Integro-differential equation that can be solved numerically using finite-difference methods where it is important to know the time step delta T.

If you take every tick, delta T is floating. What should it be? It is logical to assume that it should be anything. However, if I try to read ticks every 1 sec, then all the same REALLY received ticks will NOT have delta T =1.

So how do I read them correctly? Have mercy - help an old man out...

When analyzing the price, or more precisely the price supply (Bid Ask pair) one should/should consider the glass at some depth. Its boundaries adequately reflect the situation on the market. What you got in the tick bid,ask - is a technological concept (the edge of the cup) associated mainly with your counterparty. The counterparty has analyzed streams of bids and bestBid or bestAsk has gone beyond tickSize - the new tick. But it's figuratively, the principles of tick generation are not explained in much detail. And the tick itself doesn't contain any special information, it's just a synchronization point.

 
Maxim Kuznetsov:

When analysing the price, or more precisely the supply price (Bid Ask pair), one should/should look at the glass at some depth. Its borders adequately reflect the situation on the market. What you got in the tick bid, ask is a technological concept (the edge of the stack), associated mainly with your counterparty. The counterparty has analyzed streams of bids and bestBid or bestAsk has gone beyond tickSize - the new tick. But it's figuratively, the principles of tick generation are not explained in much detail. And the tick itself doesn't contain any special information, it's just a synchronization point.

So, is a tick a delta T? So, is it really necessary to work with every tick? And what if the Expert Advisor is used in another brokerage company? After all, every brokerage company has a different tick flow. Do we need to reconfigure it? So, it turns out that by this particular tick-flow I am "bound" to the selected brokerage company?
 
Alexander_K2:
So a tick is a delta T? I.e., is it still necessary to work with each tick? And what if the Expert Advisor is used in another brokerage company? After all, every brokerage company has a different tick flow. Do we need to reconfigure it? I.e., it turns out that by a certain tick-flow I am "bound" to the selected brokerage company?

Yes, a certain tick-flow is specific to the brokerage company.

This is what arbitrage dealers are built on - if two brokerage companies have different tick-flows or regular "floats", then the arbitrage deals with this

 
Maxim Kuznetsov:

Yes, a particular tick-flow is specific to a brokerage company.

This is what arbitrageurs are built on - if two brokerage companies' tick-flows diverge or "float", then the arbitrageur earns money on this

Thank you, Maxim!!!
 
Alexander_K2:
Geez, Yuri, you should all be laughing. My word of honour is at stake...

Also note that the demo has fewer ticks than the real one.

 
Alexander_K2:
So a tick is a delta T? I.e., is it still necessary to work with each tick? And what if the Expert Advisor is used in another brokerage company? After all, every brokerage company has a different tick flow. Do we need to reconfigure it? I.e., it turns out that with this particular tick flow I am sort of "bound" to the selected brokerage company?
To work with FOREX rates, and not one account of one brokerage company, we should either average streams from many brokerage companies or go to the area of oscillations with a big, non-teaky range. Besides, we should use own time of the system instead of astronomical one. For a single DT this would be the tick number, for larger amplitudes the step numbers would be, say, 20 5-digit points. Or even just lower the rate digit by rounding it down to 3 digits (steps of 100 5-digit points), which is more convenient for you. But how this will affect the ability to solve with difference schemes, no one but you can find out. Whether they retain conservatism, stability, are your questions. The grid can also be thickened in the right places or at the right moments.
 
Alexander_K2:
So a tick is a delta T? So you have to work with every tick? And what if the Expert Advisor is used in another brokerage company? After all, every brokerage company has a different tick flow. Do we need to reconfigure it? So, it turns out that by this particular tick-flow I am "bound" to the selected brokerage company?

and you pick a good ecn-broker with whom you intend to trade in the future, its ticks and investigate.

 
Alexander_K2:

OK, no deals yet - archive data is being collected for the calculation. It all starts tomorrow, tomorrow.

In the meantime, I'll list the keys to forex. Here they are:

1. An elaborate, sound methodof taking tick data- NEEDED

Can't find it... It should be a clear, unambiguous method that should work exclusively on all flows from any DC.

2. the sample size of the tick data is HOWEVER

Calculated from Chebyshev inequality so that this volume contains at least 99% of the incremental distribution

3. Selective measure of central tendency - DECLARED

In general it is a simple moving average arithmetic SMA, although I think it is a WMA

4. current variance -NONE

Calculated for the current sample size at the arrival of each new tick

5. Historical average variance -NEEDED

Calculated based on historical historical data for the current sample size.

6. Current asymmetry coefficient-NONE

Calculated for the current sample size as a nonparametric skew at each new tick

7. Historical average skewness factor -NONE

Calculated as anonparametric sk ew module based on archived historical data for the current sample size.

Regards,

Alexander.


You haven't even mastered the task to the fullest extent, and you've already got "the keys to Forex"...

You can't do without dispersions and other TV&MS stuff..."You have to have a wider outlook :)))"

Ridiculous, really...


ss

One more time, louder:

Herethe methods of mathematical statistics and probability theory are not the main toolkit. Auxiliary -- yes. But no more than that.

The forum for trading, automated trading systems and testing of trading strategies

What determines your choice of timeframe (TF) for trading? And then talk about the mathematical reasoning behind your choice of timeframe.

Oleg avtomat, 2017.11.29 11:39


I categorically disagree with this statement of yours.

In this field, the methods of mathematical statistics and probability theory are not the main toolkit. Auxiliary -- yes. But no more than that.


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