Stock market. Stocks. Speed of trade order execution. - page 9
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I see, if in waving terms, it'san SMA. But the further away from the start of the calculation, the more the average value will depart from the current value.
Roughly, this method of averaging does not "forget" the old values, because exp_data.m_ent_cnt increases more and more with each circulation and each new value has less and less effect on the final result.
According to my observations, the average value changes during the day and is quite sensitive.
In theory, EMA should be better suited for scalping; the code will be approximately the same:
Here we have some difficulties.
If classic arbitrage, then you don't need to count anything at all, you catch the CB rate + your own greed.
Scalping implies a short time of position holding.
WhatEMA_period should we use?
That is why I calculate not long and primitively, focusing on the CB Rate, without taking into account the narrowing of the spread in time.
But the beauty of this idea is that even if there is an arbitrage situation on entry, and there is no arbitrage situation on exit,
it doesn't matter, because we' ve already entered with a guaranteed profit (which we already know).
Do your business before the expiration!
In any case, a profit :)
There are complications here
WhichEMA_period should I take?
I was planning to test different ones, focusing on the average number of ticks per minute for each instrument. But it should definitely be different for each pair.
The main thing is for the average to show that at a given moment we have an entry price much higher than the last EMA_period of ticks. Ideally, the difference between the entry price and the average should also give profit.
The ticks test showed that there are such pairs. I have not tested yet how realistic they are for real trade in MT5.
Until recently I thought that all the fat in this kind of arbitrage has been eaten 20 years ago.
But the profit of this project is that even if there is an arbitrage situation on entry and there is no arbit rage on exit,
it doesn't matter, because we're already in with a guaranteed profit.
You do your business before the expiration!
Anyway, profit :)
+++ has already been evaluated.
I also wanted to check this variant:
If an opportunity to exit from a trade described by you has appeared (for example in 2-3 days), and the percentage of profit (taking into account the time that has already passed from the entry) is guaranteed to be higher than the current maximum percentage on another instrument, then you can go out and do not wait for the expiration. And directly enter the market, where the percentage value is maximal. In theory, the profit is higher.
I approach prices for entry and exit provided that they are corrected for the commission.
By the way, I have decided to try their EBS, as soon as the market opens. The account is not opened by their subsidiary, as far as I have been able to understand, but by an RF broker. But a close look at their contract raises a lot of other questions. I realised that it is easier to open and feel. They don't write the time of execution of an order in the contract :)
.... that they are adjusted for the commission.
Are you good at maths?
These are the figures you will need to "reconcile"
The tick test showed that there are such pairs. I have not yet tested how realistic they are for real trading in MT5.
Almost all 40 pairs have arbitrage situations.
About 2 years ago there was even 150% for Aeroflot in 10 days before expiration!
5.40% should have been in 43 days...
Added
If it works in Quick, it will definitely work in MT5, because it is much faster than Quick....
Here, a long time ago I wrote my program for Quick
If only Classic, then Quick is good enough, but if, as I want to try, scalping, then you need at least MT-5 (2 terminals)
Are you good at maths?
These are the numbers you'll need to "link".
I will :) Thank you, valuable information.
On FORTS it works, but on Stocks the functions return zeros
Is it because there is no trade or is this data not broadcast on the Stock?
Replikant_mih please see if this data is available on the real (Lower Limit; Upper Limit.)On FORTS it works, but on Stocks the functions return zeros
Is it because there is no trade or is this data not broadcast on the Stock?
Replikant_mih please take a look? is this data on the real (Lower Limit; Upper Limit.)It doesn't on the battle either. It's strange. If there is no field itself, it turns out it has nothing to do with the market not being traded.
Not on the battlefield either. That's odd. If there is no field itself, it turns out it is not related to the fact that the market is not trading.
The futures are not trading either....
It turns out that there may be a redirect order.
The thing is that there may be orders outside the trading limits in the stack (set for a long time when there was a limit on the FORTS, this often happens),
if the slider is empty, it might be that the limit order is set at a "non-existent price" :(
Looked at the Stock Market documentation, and there are no these parameters!
2.3.1.8 SECURITIES table: Financial instruments
Document in the basement.
Added
Even dividends are broadcast, cool!
DIVIDENDVALUE d16.2 Amount of dividends, RUR
and record date
DIVIDENDDATE t Register closing date
I wish the developers would develop the terminal in Exchange direction.