Missing Bid-Ask levels - page 2
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A question probably for the developers.
Often the trades in the feed are at the wrong Bid and Ask levels.
That is, purchases are made at the Bid level, but sales are made at the Ask level.
It appears as if the rendering is lagging. But the same data
is in the feed. When full data is saved, Bid-Ask fluctuations are available along with
trades and everything is the same there. Some deals hang
in the air. I need undistorted data in the indicator.
Where is this data distorted and can it be corrected?
Here I have finished what it should be. Incorrect data spoils the whole picture.
It works fine on MOEX
However, if you look closely, it is possible that the limit orders, thrown into the spread, have converged there, and you can see that the last trade in this millisecond is a sell, i.e. as if there was no reason to change Asc, not sure if it's correct).
Orders are correctly consolidated in any case. A limit order thrown into the spread changes the best price.
It's not like it's just filling a void in the spread, as if floating in it. These moments should be visible.
The picture is just for understanding.
Everything works fine on MOEX
Are there symbols there with the same spread as I showed above?
That is no more than two ticks.
Can I have a screenshot with a tick from some instrument.
Similar to this one.
Orders are correctly matched either way. A limit order thrown into the spread changes the best price.
It's not like it's just filling a void in the spread, as if floating in it. These moments should be visible.
The picture is just for understanding.
I understand what you mean and I know the basics of execution in both stock and forex (although I do not remember their nuances thoroughly). I am just trying to understand the reasons.
1. If sell trades are executed at Bid price and Buy Limit.
2. at which time a buy market comes in and simultaneously a Sell limit at the Bid price, they will immediately converge.
3. And then a couple more Market Sells eat up the remainder of the Buy Limit.
Your log looks like this order of events.
At point 2, the Ask price should change on the Sell limit, but a) it doesn't, because the limit is not in the queue and is executed immediately. b) it shouldn't, because there are some rules. b) there's a glitch somewhere.
Yes, I know what you mean and I know the basics of execution in both the stock market and the forex market (although I do not remember their nuances in detail). I am just trying to think of the reasons for it.
1. If sell trades are executed at Bid price and Buy Limit.
2. at which time a buy market comes in and simultaneously a Sell limit at the Bid price, they immediately converge.
3. And then a couple more Market Sells eat up the remainder of the Buy Limit.
Your log looks like this order of events.
In point 2, the Ask price should change on the Sell Limit, but a) it doesn't have time because the Limit is not in the queue and is executed immediately. b) it shouldn't, because there are some rules. c) somewhere there is a glitch.
And I think that at some point the best price change data just gets "oiled" (not in the oil sense)),
but as if there isn't enough time for it and those brief moments of change are simply thrown out of the data.
We see the trades where they are supposed to be, but the bids and offers are not.
A question probably for the developers.
Often the trades in the feed are at the wrong Bid and Ask levels.
That is, purchases are made at the Bid level, but sales are made at the Ask level.
It appears as if the rendering is lagging. But the same data
is in the feed. When full data is saved, Bid-Ask fluctuations are available along with
trades and everything is the same there. Some deals hang
in the air. I need undistorted data in the indicator.
Where is this data distorted and can it be corrected?
Here I have finished what it should be. Incorrect data spoils the whole picture.
Transaction data and quotes come from the exchange trading system in separate streams.
And on the MT server side they are combined into a single stream. We do not know how it is implemented.
Because of this there can be some subtleties, such as synchronization problems and missed data.
We should not rely on 100% authenticity of exchange data in MT5.
Transaction data and quotes come from the exchange trading system in separate streams.
And on the MT server side they are combined into a single stream. We do not know how it is implemented.
Because of this there can be some subtleties, such as synchronization problems and missed data.
One should not rely on 100% authenticity of stock data in MT5.
That is, to put it another way, the server level implementation suffers.
Then there is only one thing to do - hope that they can fix it.
Someone will say that too many desires of a free platform.
And I can say that everything is already complicated enough there. So at least let
trading platform show everything without brakes and distortions.
And I think that at some point the best price change data just gets "oiled" (not in the sense of oil)),
but as if there is not enough time for it and those brief moments of change are simply thrown out of the data.
We see the deals where they are supposed to be, but the bids and offers are not.
That's what I'm getting at
Data on deals and quotes are coming from exchange trading system in separate flows.
And on the MT server side they are combined into a single stream. How it is implemented is unknown to us.
Because of this there may be some subtleties such as synchronization problems and missed data.
Relying on 100% authenticity of stock data in MT5 is not a good idea.
I don't remember who, maybe even fxsaber himself, even HFT is hoping to implement on MT5, and here this))
That is, to put it another way, the implementation at the server level suffers.
Then the only thing left is to hope that it can be corrected.
Someone will say that too many desires of a free platform.
And I can say that everything there is already complicated enough. So at least let
trading platform show everything without brakes and distortions.
It is free only for physical clients, like many other similar platforms, which are all about transactions and price flow.
I don't remember who, maybe even fxsaber himself, even HFT is hoping to implement it on MT5, and here it is))
Yeah...