From theory to practice - page 9
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I'm going to say a more redemptive thought, treat it as an untested hypothesis: you have to analyse Last from exchange-traded currency futures, because market makers (this is my hypothesis) look at futures as a guide. Thus analyzing one flow it will be possible to apply the results of the analysis on any DC, because forex pricing (imho) is an echo of pricing on exchanges.
I will even say more, the futures themselves are traded with an eye on options. I don't know what the mechanism is, maybe futures traders are options traders at the same time, but there are real battles unfolding before options levels to hold or break one or the other.
That's right. Options are market expectations, futures either win back those expectations or challenge them. The model in action....
I'll say a more redemptive thought, treat it as an untested hypothesis: you have to analyse Last from exchange-traded currency futures, because market makers (this is my hypothesis) look at futures as a guide. Thus analyzing one flow it will be possible to apply the results of analysis on any DC, because forex pricing (imho) is an echo of pricing on exchanges.
Nikolai, do not pollute the physicist`s head with Lastami\Futures\Feeds, or he will be offended :-))
Alexander, I am more than sure that the leading brokers, due to competition, have roughly the same quotes. I'll take the time to check this over the next few days.
In general, since the project is public, you have to take 1 data source, let it be MetaQuotes demo server.
I'm going to say a more redemptive thought, treat it as an untested hypothesis: you have to analyse Last from exchange-traded currency futures, because market makers (this is my hypothesis) look at futures as a guide. Thus analyzing one flow it will be possible to apply the results of the analysis on any DC, because forex pricing (imho) is an echo of pricing on exchanges.
I will even say more, the futures themselves are traded with an eye on options. I don't know what the mechanism is, maybe the futures traders are also options traders, but there are real battles unfolding in front of options levels to hold or break one or the other.
Does that mean, Nicholas, that I have to take Last prices from some third party provider and use them to trade with my broker??? GENIALLY!!!! And how and where to find such a supplier???
Nikolay, don't fill the physics head with Lastys/Futures/Feeds, or it will offend :-))
Alexander, I am more than sure that the leading brokers, due to competition, have the same quotes. I undertake to check it within a few days.
If the project is public, it should be done with 1 data source, let it be MetaQuotes demo server.
I agree that if the system is robust it will not depend on small changes in different datacenter, especially since, yes, with fierce competition there is not much of a difference.
We don't know if the changes are important or not, it means the system is raw.
The only thing is that MQ has no tick history, you can build it, but there is no ready-made datafeed.
Does that mean, Nikolai, that I have to take Last prices from some third party provider and use them to trade with my broker??? GENIALLY!!!! And how and where to find such a supplier???
CME
I agree that if the system is robust then it will not depend on small changes in different DCs, especially since, yes, with fierce competition there is not much difference.
We don't know if the changes are important or not, it means the system is raw.
We have no tick history, you can build it, but there is no ready-made datafeed.
The system is not crude. I've already tested it, double-checked it and theorized it. Now I'm preparing to run it on a real account for 18 pairs at once. This is an important moment. That's why I am checking some technical points with professionals.
What is important is not the differences in specific quotes values - with a large sample size they won't have a significant impact on WMA - this expected value is stable enough. What is important is the NUMBER of quotes. For if I take 1000 ticks in 1 hour and you take 10 000 ticks, then how can I or you recommend me a certain sampling volume?
CME
Yes, that would be a REAL solution to the problem of traders communicating from different DCs.
Thank you Nikolay!
I'm going to say a more redemptive thought, treat it as an untested hypothesis: you have to analyse Last from exchange-traded currency futures, because market makers (this is my hypothesis) look at futures as a guide. Thus analyzing one flow it will be possible to apply the results of the analysis on any DC, because forex pricing (imho) is an echo of pricing on exchanges.
I will even say more, the futures themselves are traded with an eye on options. I don't know what the mechanism is, maybe the futures traders are also options traders, but there are real battles to hold or break one level or the other before the options levels.
Generally speaking, futures and options are directives (derivatives) of the prices of currency pairs formed by forex transactions. For example, a bank carries out a currency exchange transaction on the forex market by carrying out an order of a client. In this case the bank is not a speculator and does not look back on futures or options. He simply executes the client's order. Another example: the regulator (Central Bank) carries out currency intervention, it also does not look at futures/options.
IMHO for analysis you should take the tick source of a regulated forex ECN/STP broker, preferably a real server.
The system is not crude. I have already checked and rechecked it and theoretically justified it. Now I'm preparing to run it on a real account for 18 pairs at once. This is an important moment. That's why I am checking some technical points with the professionals.
What is important is not the differences in specific quotes values - with a large sample size they won't have a significant impact on WMA - this expected value is stable enough. What is important is the NUMBER of quotes. For if I take 1000 ticks in 1 hour, and you take 10 000 ticks, then how can I or you recommend me these or those sample sizes?
Ahhhhh, now I understand why binding to 1sec, well, experimentally derive how much time in that DC you use 5000 ticks on average, and bind to this number of timing.
For example, it is 4 hours. That is, write: probability density is calculated using tick data on time lag of 4 hours.
Ahaaaaaaah, now I understand why the binding to 1sec, well then experimentally derive how much time in that brokerage company, for which everything is designed, turns out on average 5000 ticks, and go ahead, bind it to this figure of timing.
For example, it is 4 hours. That is, we write: probability density is calculated using tick data on the time lag of 4 hours.