TheEconomist

Nu, ala a fost serviciu de Managed Accounts

Noi am scris de bine de MT5 pentru ca intr-adevar, din functionalitatile pe care intentioneaza sa le adauge in el, atat pe linia de tester, cat si in ce priveste evenimentele si contractele, va fi o platforma grozava - la inceput nu pentru toata lumea, ce-i drept, mai mult pentru "avizati" - cei care stiu dinainte ce sa ceara de la platforma. In prezent MT5 este o umbra a ceea ce va fi - evenimentele nu merg (decat cele de chart) , feedul de date demo nu e prea bogat, documentatia nu cade pe compilator , strategy tester lipseste. De fapt chiar ma bucura pe undeva, pentru ca rezulta ca o sa-l faca cum trebuie. Din anunturile din cursul anului trecut rezulta ca strategy tester ar fi fost la fel ca cel din MT4, doar cu o facilitate in plus de fatada pentru compararea expertilor intre ei. Dupa cum merg lucrurile, testerul MT4 va fi o gluma fata de cel din MT5. Nu mai spun si cat am batut apa-n piua pe forumul lor pentru testerul multiasset... Ma rog, nu mai reiau iarasi faza cu ordine si deals pentru ca n-are sens, am explicat in revista. Iar faza cu pozitia medie este acum reflectarea de facto a unui fenomen care exista si pe MT4..., singurul lucru care s-a pierdut in realitate e simultaneitatea tranzactiilor de semn opus. De aceea, mai ales traderii care fac tranzactii lungi in timp, care obisnuiesc sa ia semnale simple, fara sa foloseasca hedging, nici nu prea vor simti tranzitia la MT5. Nu mai intru iar in detalii, pentru ca nu mai are sens. Toate la timpul lor. Chiar si pentru mine e devreme sa vin cu chestii mai avansate pentru ca fara tester si fara simboluri nu se pot face, dar imediat ce testerul va fi disponibil vom incepe sa discutam de noile strategii MT5 cu exemplificari, iar pe masura ce evenimentele si celelalte contracte vor fi adaugate pe server vom prezenta practic cotarea si strategiile cu optiuni. Este normal ca tradingul bazat pe fler sa mai cedeze teren si tradingului matematic si statistic - sper sa ajungem cu MT5 la un nivel institutional ca principii si functionalitate si de retail ca viteza de executie.

Am publicat editia de decembrie a MQLmagazine

Sigur, EURUSD/USDCHF se putea face si pe MT4 . Dar nu era nicio cale sa faci backtest..., si cred k asa ceva va exista sigur pe MT5. Asta e unul din lucrurile care ma intereseaza. Dar evenimentele, care sa ma ajute in scalping, precum si optiunile, pe care le astept de atatia ani, si mai mult...

Multa furie , si intr-adevar spiritele sunt greu de calmat. Am incercat asta pe multe pagini ale forumului mql4, dar tot degeaba. Pentru ca MT5 nu se adreseaza acelorasi feluri de traderi ca MT4. MT5 va fi bun pentru : pair traders (cand o sa mearga ca lumea Strategy Tester) - pentru ca vor lucra cu simboluri diferite, care nu sunt afectate de restrictii ; hedgeri fx-futures (lipsa pseudo-"hedgingului" vine ca o manusa) ; traderi de optiuni care vor mai multa putere fata de platformele vechi . Pana si pentru grid trading va merge , cand vor functiona evenimentele. Asa ca sa nu ne ambalam la injurat MetaQuotes. Sunt lucruri care ma supara la MT5. Nu merge OnBookEvent, nu merge OnTrade ; OnTrade e prost implementat. Astept sa le repare. Dar nu pot sa arunc statia la cos doar pentru faza cu "hedgingul". Sa fim intelesi: ala nu e hedging. E o forma de martingale ; hei-rup , acum un buy, acum un sell pana nimeresc si acopar pierderile. Dar vreau de la MT5 un afurisit de Strategy Tester care sa testeze experti care tranzactioneaza mai multe lucruri in acelasi timp ; vreau sa mearga evenimentele brici; vreau sa aiba optiuni incluse ; ca de-aia am Facultatea de Finante , ca sa aplic ce am invatat. Marea majoritate a voastra nici macar nu stie ce sunt optiunile, iar cam toti nici n-am pus mana pe ele. Cand vor fi implementate, MT5 va fi cea mai tare platforma de optiuni de pe piata - singura care merge automat, de altfel. Despre asta e vorba in MT5 oricum : expertii vor deveni multiasset - EURUSD cu USDCHF, EURUSD cu EURUSD futures, EURUSD cu optiuni pe EURUSD futures... toata gama de lucruri inteligente care nu s-au facut niciodata... pair trading, gamma scalping, costless collars, conversion/reversion... Dar sunt convins ca MT4 nu va muri, ci va pastrat, pentru clientii traditionalisti. Uite la ce va fi bun MT5 (o chestie) cotarea - o noua activitate in MT5

poate e cam vechi topicul acesta dar as fi curios daca totusi ai afla ceva mai multe...merci. Eu trimisesem un mail dar nimic... Din cate stiu jobul asta mai e activ pe fel de fel de siteuri. Supozitia mea e ca sunt o firma prop trading. Iar "derivatives" e o chestie doar in titlu - in principiu lucreaza cu active "liniare" gen futures (asa ca nimic de optiuni adevarate).

poate e cam vechi topicul acesta dar as fi curios daca totusi ai afla ceva mai multe...merci. Eu trimisesem un mail dar nimic... Din cate stiu jobul asta mai e activ pe fel de fel de siteuri. Supozitia mea e ca sunt o firma prop trading. Iar "derivatives" e o chestie doar in titlu - in principiu lucreaza cu active "liniare" gen futures (asa ca nimic de optiuni adevarate).

poate e cam vechi topicul acesta dar as fi curios daca totusi ai afla ceva mai multe...merci. am trimis o data un mail dar nu mi-a raspuns nimeni.

Finally, after some work, the blog is back in business, and with a new address : http://mqlmagazine.com

After two years of absence, I am announcing everyone that I have decided to move the blog on my own domain. Previous entries will remain here, some will be copied to the new address. However, the launch is highly dependant on how MT5 will be finally implemented - that is, how big will be the capacities of the new Strategy Tester, as well as options that supposedly will be introduced. The blog will focus on MT5 programming and multiasset strategies involving arbitrage, pair trading, and option trading strategies, from simple indicator ruled strategies to complex volatility scalping. The so-called lack of hedging accuse coming from forex traders to the MT5 platform is only partially true - it's based on a lack of knowledge of what hedging really is, which is the terrain of derivatives quants. Hedging with multiple orders on MT4 platform is the most rigid form of hedging. It has a lot of applications in easier trade planning as well as in psychological issues - some traders prefer to hedge against the choppiness of a trend instead of closing trades. But there is nothing to indicate that this hedging would really be beneficial - as it doesn't create any kind of white noise or arbitrage windows (remember that Michal Kreslik called it "futile hedge"). Now it's time for the rest of the world to know and use real hedging strategies, as option traders were almost prohibited to do it because of costs, regulatory issues and platform underdevelopment, that either prevented hedging options with underlying , option automation or backtest. Institutions however will always be a step ahead especially in option trading, because they have the opportunity to quote options and get filled, thereby making large economies, since the option spreads are pretty large. But the introduction of options along fx will be rather unique - for the first time, asymetric trading on the same asset, right from the expert advisor. Asymetric trading is full of opportunities, as portfolios will have double values - values at expiry vs market values - and this is where real hedging comes in place. I don't promise anything. I really hope MetaQuotes will deliver the final MT5 in a state that will allow options and futures along fx trading. Or at least options along futures and equities (as in NFA regulations) all backtestable simultaneously with a new, renowned, Strategy Tester. In these new conditions, even the "forex trading" concept might vanish soon to be replaced by a radical "retail trading" concept - when traders trade across multiple asset classes without the current limitations. The ball is still in MetaQuotes' yard, and we still play the waiting game...

Thanks Blair, Well, MB Trading gives a true ECN feed. And in that market there are big boys with hedge fund platforms that have not only level II access , which means lower spreads, due to the possibility of being filled, but also millisecond latency. How can we compete with that? Most likely, we don't. Solutions : 1. we either attempt fx arb with their API or a retail low-latency platform, like Neoticker, or wait for this new MT5 and speed towards more statistical, higher latency arbs. Me and my friends would have liked to test the fx-futures arb on MB Trading. But their demo is pretty horrible: futures plays canned data, 2 weeks old, so we had to dump it, at least for the moment. So now I'm waiting to see if MT5 raises to my expectations and becomes that all-in-one trading platform that offers just about everything besides latency, so there won't be any limit in terms of assets, programming language or backtesting facilities, only execution speed to remain faulty, and some of the assets to be broker imitations like CFDs. So then I could set my eyes on various multiasset stat arb strategies, the last that are available to retail traders, but are just shadowed by the lack of platforms for backtesting and trading them. Regards, Bogdan

Hehe, I don't know if you'll be able to get arbs there. I remember I did the test. You have a yellow if potential is positive i.e. Best bid > best ask. If the fx would work in an exposure fashion, that is, when last trade would be completed, trades would end in profit, it would be fine, but unfortunately you have always a fluctuating spread cost, because it's not enough to have synthetic best bid > synthetic best ask : after you close, you pay all spreads to the last dime. There is also a huge difference between cost and requested. Because there is not enough to just cover the cost, the requested has to make enough for slippage and your profit. And by the way I saw the things in MB Trading at that time, there is almost no chance to get an arb traded. Bigpips is the difference between Best ask and best bid, transformed in the account currency. P.S. MT4 is an expired product. There is no way to be used for successful arbing. Not on the fx, and probably not on futures either. I'm waiting to see MT5. If it will include a multiasset backtester and a options, besides fx and some futures, it would be rockin'. Lots of things that were just thought about in MT4, but never tested, and also of things that fx traders never even think they might exist, might be now on MT5. And that means pair trading, that was impossible to backtest on MT4, with its all possible variations, from EURUSD/USDCHF to fx/futures triggered by events, or underlyings/options like gamma scalping for instance. I will probably restructure the entire blog, keep the best and delete the rest, and move on to multiasset strategies on MT5, cause I lost too much time because of MT4. Regards, Bogdan

Well Blair, seems they were nice enough to publish a formula. Of course, is the general formula for one day interest. But the function needs data to compute the interest value - and it gets them MarketInfo() : the swap type (MODE_SWAPTYPE), the long swap (MODE_SWAPLONG) and the short swap (MODE_SWAPSHORT), so it is used to convert swap data to interest on any fx pair and any trade direction. So I need to know some data. Run this script on several currency pairs, until you get the printed message "Swap type on .... is 2". int Start() { Print("Swap type for ",Symbol()," is ",MarketInfo(Symbol(),MODE_SWAPTYPE)); Print("Long swap : ",MarketInfo(Symbol(),MODE_SWAPLONG)); Print("Short swap : ",MarketInfo(Symbol(),MODE_SWAPSHORT)); return; } When you get that message, make a trade on that pair on your demo and leave it for a day, until it produces swap. I'd like it not to be Wednesday so we're not confused about the triple swap. Then tell me the traded pair, direction (buy or sell) , lot size you traded, and the swap on the swap column, also what the script said at Long swap and Short swap. I'll compute the formula and update the Swap2Interest_Volume function. Regards, Bogdan

Hi Blair, Well, we have to find the formula. I think I had an account and it expired. Could you make some trades and post the swap after a day ? Also post the swap type, long and short for the symbol (right click the Market Watch, Symbols, navigate to the symbol, Properties) Regards, Bogdan

M-am uitat pe "oferta". Cred ca e un prop trading desk pe derivate - deci cauta traderi discretionari si rapizi - salariu fix + comision din profit. Nu cred ca au vreun jackpot unde doar apesi pe buton ca sa-ti execute boxurile - ar fi prea simplu (de fapt, pana s-ar scana boxurile , sunt deja recotate). Deci -> fara platforme automate, fara system design & trading, esti singur in fata pietei , rapid in gandire si iute de mana...

Hi, The text length limitation affects Comment() and CreateObject(), so they are inner limits of MetaTrader. Also, expect limitations to 32 of 16 characters (don't remember now) for order comments. You could use a MoveTextPointer() followed by WriteLn(). Once you create the text slots you need just to address them with Say() to update the contents. For the moment, I am quite out of trading, but I'll be back once MT5 is out. I'll probably also rewrite BcLib and make a CHM file for it, once things could be adressed professionally with multiasset backtester and events. Regards, Bogdan

So, given the current rate, the 300.000 gbp are about 352300 euros... that means your tiny 4.60 euros daily are... 101.2 per 22 days, or about 0.0287% . A year comprises 16.59 periods of 22 days, so if you compound the interest for 15.59 times ... 0.44% ROE per annum. You think it's worth ? Cause I don't think so... Yes. ROE (without margination) is 0.44% per annum. So I think it isn't worth. I like to know what ROE % per annum (without margination) you consider good for swap arbitrage. Thank. Chrono. No investment with a ROE under the riskless rate would ever be advisable by anyone. The riskless rate is achieved using government-issued bonds. Since you probably wouldn't need that degree of safety, a higher bank interest of a few percent per annum would be enough, and it would be at least 5-6 times higher than the 0.44 . Would a 10% per annum satisfy you ? It depends on how much cash you can make compared to other income sources. The more poor you are the higher will be the indifference point. If you have just some cash that you spare from your income, you want probably more than 50%. If you have more cash, probably more than 25%. If you're a hedge fund manager, you'd thank God for 15%... Yes, you are right. But my question was wich % ROE you consider to be low risk to manage a swap arbitrge with leverage 1:100? In the case i posted, it's gains 44% per annum, but a so tiny swap maybe not during much. If so then we'll not cover the spread or have a small gaining. ;-) thanks chrono Actually 0.44% in this case can be called ROA (Return on Assets - not ROE - Return on Equity). The 0.0287% transforms in 2.870% for 22 days, compounded for 15.59 times, it means...ROE of 55.44% It's all in the number of days you need to wait for recovery. In this case it's 22 days. And with a some light bad luck, interest rates MAY shift in 22 days. It's your call. If it would be 10 days, would be quite unlikely for a bad interest rate shift in 10 days, but, whatever the case, you should check daily for the interests.

So, given the current rate, the 300.000 gbp are about 352300 euros... that means your tiny 4.60 euros daily are... 101.2 per 22 days, or about 0.0287% . A year comprises 16.59 periods of 22 days, so if you compound the interest for 15.59 times ... 0.44% ROE per annum. You think it's worth ? Cause I don't think so... Yes. ROE (without margination) is 0.44% per annum. So I think it isn't worth. I like to know what ROE % per annum (without margination) you consider good for swap arbitrage. Thank. Chrono. No investment with a ROE under the riskless rate would ever be advisable by anyone. The riskless rate is achieved using government-issued bonds. Since you probably wouldn't need that degree of safety, a higher bank interest of a few percent per annum would be enough, and it would be at least 5-6 times higher than the 0.44 . Would a 10% per annum satisfy you ? It depends on how much cash you can make compared to other income sources. The more poor you are the higher will be the indifference point. If you have just some cash that you spare from your income, you want probably more than 50%. If you have more cash, probably more than 25%. If you're a hedge fund manager, you'd thank God for 15%...

So, given the current rate, the 300.000 gbp are about 352300 euros... that means your tiny 4.60 euros daily are... 101.2 per 22 days, or about 0.0287% . A year comprises 16.59 periods of 22 days, so if you compound the interest for 15.59 times ... 0.44% ROE per annum. You think it's worth ? Cause I don't think so...

This is my run of SwapFinder for MiG Investments Demo. http://img254.imageshack.us/img254/9178/migringsrl5.jpg http://img254.imageshack.us/img254/migringsrl5.jpg/1/w955.png Strangely, NZDJPY doesn't seem to appear in the list of contracts , because it was not detected as usable pair (!!) And indeed, BcLib's ContractIsTraded("NZDJPY") was returning False, while MarketInfo("NZDJPY",MODE_TRADEALLOWED) was returning True, but ContractIsTraded asnswered False because MarketInfo("NZDJPY",MODE_BID) returned 0! I remember that long time ago when I made this script, and at that time I didn't had internet on my computer at work, but only on a pocketpc, my friends were reporting to me extra currencies displayed by the script in the list, which I wasn't getting as available at the time I was home. Think this ockward behaviour gives so strange results, however you told me there was NO solution reported for the demo, while at least I get a very bad one with a tiny ROE. Regards, Bogdan P.S. About updates, you might get update mail if you become a member of the site. P.S.2. I still have to think about the JPY hedge, but I'm moving out of country and will have less time...

Hmm, very strange what you say here about the difference between real and demo. Thing is I never placed anything in the script to distinguish between demo and real. The only checkup function I used is just IsTradeAllowed(). Does it really roll thru all the combinations and displays that "Sorry, nothing found!" on demo? The function that calculates a ring with all its stuff is EstablishRing(). Start() begins by calling ScanRings() which calls GetBestRing() to scan thru all possible combinations, and for each valid one calling EstablishRing() to create it. After this scan, ScanRings() calls again EstablishRing() to restore the best ring information (if found). Also, the GetBestRing() is programmed to save rings information in ringlist.txt (but in ringlist.txt only positive rings are saved, while on screen negative rings may appear, depending on the state of ShowNegatives parameter). This is the code area which might be of interest (not sure about, I may be pasting from an older version): if ((FinalROE>0)||(FinalROE<0&&ShowNegatives==True)) { WriteLn(StringConcatenate(" Found ring with ROA=",DoubleToStr(ROA,4),"% ROE=",DoubleToStr(ROE,4),"% FinalROE=",DoubleToStr(FinalROE,4),"%")); if (FinalROE>0) FileWrite(fhandle,StringConcatenate(Contracts[0]," ",Contracts[1]," ",Contracts[2]," ",StringElement(OrderType2Str(Ops[0]),0), StringElement(OrderType2Str(Ops[1]),0),StringElement(OrderType2Str(Ops[2]),0)," ROA=",DoubleToStr(ROA,4),"% ROE=",DoubleToStr(ROE,4),"% FinalROE=",DoubleToStr(FinalROE,4),"%" )); } I didn't understand what you meant by "are you calculating the rings by minimal exposure". Exposure, as I define it to be, "the unhedged part of the ring", is not a parameter, but a "feature" of the output ring. The core parameter is actually MarginUsage. The exposure itself doesn't appear listed, and by the looks of your rings it seems that broker is not supporting microlots, which means you have maximal 5000 units unhedged per each pair traded. If you can't figure it out , perhaps I could run a test on that broker's demo. Anyway, for just 29% ROE I wouldn't even take it into consideration, it would be about 2-3% monthly, would take 2 months to recover spreads... Regards, Bogdan

Hi Michal, Well the script can't give different results but in two cases: a) the swaps are a volatile type ; b) swaps on demo are different from the ones on real. Check with MarketInfo both accounts for MODE_SWAPLONG, MODE_SWAPSHORT and MODE_SWAPTYPE. Regards, Bogdan P.S. Are you Michal Kreslik ?

Tu pui temele si noi scriem . Impropriu zis "noi" dar hai sa zicem... Later edit: Poate ar trebui s-o lasam mai moale, doar sa strangem ceva materiale si sa incepem cu MQL5 in numarul inaugural

Pai, nici eu n-as face-o. Dar daca vedem brokeri - reglementati FSA, ca NFA in niciun caz - care preiau platforma si adauga inclusiv optiuni , mi-as deschide cont. Iar pentru o suma enorma... numai daca e un broker recunoscut. Dar nici cu astia nu poti merge la sigur... vezi Refco.

De ceva vreme caut, dar pana acum alternativele au fost cat se poate de proaste, o platforma care sa combine usurinta programarii MetaTrader cu o gama variata de active, de ce nu, si cu automatizare server. O platforma interesanta la care m-am intors recent cu browsingul e cea a rusilor de la PFSoft , ProTrader Deocamdata pare sa fi fost implementata doar de un prime brokerage pentru clientii retail ai clientilor lor... Integral Platforma e facuta sa suporte o gama diversa de active, precum si un stil de trading mai "institutional" comparativ cu MetaTrader. Probabil o fi si motivul trecerii la MetaTrader 5... "MQL 4, MQLII and EasyLanguage Support In addition to the native ProTrader Language, ProTrader Language Builder provides complete support for the MQL 4, MQLII and EasyLanguage languages. Take your existing MQL 4, MQLII and EasyLanguage strategies to ProTrader platform, or just code in the language you are comfortable with." Puteti sa vedeti cat de bine seamana cu MetaTrader din manualul de utilizare al PTL Builder E chiar posibil ca MetaQuotes sa fie principalul competitor vizat... reuters news release Iar asta arata cat de bine s-au pus la punct cu feedul de date... ******************************************************************************** O alta platforma interesanta, gasita de Kerosen, e FxSpyder Deocamdata are API... dar se pare ca va avea si un motor de scripting, dupa cum spune aici ******************************************************************************** Si in fine, ultima pe care o stiati deja, si care e demna de interes datorita automatizarii server, StrategyRunner E confirmat doar telefonic ca se lucreaza la introducerea optiunilor... ******************************************************************************** Competitorii mai vechi stau pe loc... TradeStation a creat OptionStation ca instrument de analiza, nu automatizeaza optiuni (se pare ca e prea multa hartogaraie in backoffice pentru asta) XTrader e prea scump ca sa merite (cam 1700$ pe luna automatizarea) RANOrder tranzactioneaza numai optiuni NinjaTrader e doar pe futures...