Cu robotu

gigi · August 31, 2013

O prima simulare la o strategie ffff simpla pe EUR/CHF. Doar profitul net este calculat momentan, nimic altceva, dar avand in vedere specificul monedei...

Poate reusesc sa cuplez lista de executii la R si sa le analizez cu quantmod.

D:\Work\Framework\bin\system\ec>ipy system.py

Building simple ticks
SOURCE: LOADING E:\Work-BIG\Generated\TickDelta\FXCM Demo\EUR_CHF.vel
SOURCE: 80,975,699 ticks, quote_digits=5, quote_increment=1

Filtering ticks before 2011-09-06 08:20:00+00:00
SAVING E:\Work-BIG\Generated\Clean\Event\FXCM Demo_EUR_CHF.dat

Loading FXCM Demo_EUR_CHF.dat
06.09.2011 08:20:00
18.08.2013 23:59:41
21,942,670 ticks

level_size=20 points
unit_quantity=100,000
bid_level_count=25


2011-09-06 08:20:00 1.2038 [0/21,942,670]

2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.248 id=25 tag=24                 -4398    100,000 @ 1.2480
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.246 id=24 tag=23                 -8597    200,000 @ 1.2470
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.244 id=23 tag=22                -12596    300,000 @ 1.2460
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.242 id=22 tag=21                -16395    400,000 @ 1.2450
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at    1.24 id=21 tag=20                -19994    500,000 @ 1.2440
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.238 id=20 tag=19                -23393    600,000 @ 1.2430
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.236 id=19 tag=18                -26592    700,000 @ 1.2420
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.234 id=18 tag=17                -29591    800,000 @ 1.2410
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.232 id=17 tag=16                -32390    900,000 @ 1.2400
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at    1.23 id=16 tag=15                -34989  1,000,000 @ 1.2390
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.228 id=15 tag=14                -37388  1,100,000 @ 1.2380
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.226 id=14 tag=13                -39587  1,200,000 @ 1.2370
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.224 id=13 tag=12                -41586  1,300,000 @ 1.2360
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.222 id=12 tag=11                -43385  1,400,000 @ 1.2350
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at    1.22 id=11 tag=10                -44984  1,500,000 @ 1.2340
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.218 id=10 tag=9                 -46383  1,600,000 @ 1.2330
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.216 id=9 tag=8                  -47582  1,700,000 @ 1.2320
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.214 id=8 tag=7                  -48581  1,800,000 @ 1.2310
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.212 id=7 tag=6                  -49380  1,900,000 @ 1.2300
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at    1.21 id=6 tag=5                  -49979  2,000,000 @ 1.2290
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.208 id=5 tag=4                  -50378  2,100,000 @ 1.2280
2011-09-06 08:20:03 EXECUTED LIMIT BUY  100,000 at   1.206 id=4 tag=3                  -50577  2,200,000 @ 1.2270
2011-09-06 08:21:15 EXECUTED LIMIT BUY  100,000 at   1.204 id=3 tag=2                  -51750  2,300,000 @ 1.2260
2011-09-06 08:23:50 EXECUTED LIMIT BUY  100,000 at   1.202 id=2 tag=1                  -57024  2,400,000 @ 1.2250
2011-09-06 08:25:58 EXECUTED LIMIT SELL 100,000 at   1.204 id=49 tag=1                 -50423  2,300,000 @ 1.2250
2011-09-06 08:28:28 EXECUTED LIMIT BUY  100,000 at   1.202 id=50 tag=1                 -56632  2,400,000 @ 1.2240
2011-09-06 08:38:34 EXECUTED LIMIT SELL 100,000 at   1.204 id=51 tag=1                 -50292  2,300,000 @ 1.2240
2011-09-06 09:16:00 EXECUTED LIMIT BUY  100,000 at   1.202 id=52 tag=1                 -55663  2,400,000 @ 1.2231
2011-09-06 09:37:57 EXECUTED LIMIT SELL 100,000 at   1.204 id=53 tag=1                 -50046  2,300,000 @ 1.2231
2011-09-06 14:02:13 EXECUTED LIMIT BUY  100,000 at   1.202 id=54 tag=1                 -55296  2,400,000 @ 1.2222
2011-09-06 16:48:36 EXECUTED LIMIT SELL 100,000 at   1.204 id=55 tag=1                 -49960  2,300,000 @ 1.2222
2011-09-06 18:10:04 EXECUTED LIMIT SELL 100,000 at   1.206 id=48 tag=2                 -45288  2,200,000 @ 1.2222

2011-09-06 19:00:38 1.205 [100,000/21,942,670]

2011-09-07 04:08:40 EXECUTED LIMIT BUY  100,000 at   1.204 id=57 tag=2                 -50543  2,300,000 @ 1.2214
2011-09-07 06:02:00 EXECUTED LIMIT SELL 100,000 at   1.206 id=58 tag=2                 -45000  2,200,000 @ 1.2214
2011-09-07 06:51:21 EXECUTED LIMIT BUY  100,000 at   1.204 id=59 tag=2                 -49883  2,300,000 @ 1.2207
2011-09-07 07:04:07 EXECUTED LIMIT SELL 100,000 at   1.206 id=60 tag=2                 -44800  2,200,000 @ 1.2207

...........................

2013-08-07 13:31:19 EXECUTED LIMIT BUY  100,000 at    1.23 id=1596 tag=15              146989  1,000,000 @ 1.2333
2013-08-12 08:08:27 EXECUTED LIMIT SELL 100,000 at   1.232 id=1597 tag=15              149190    900,000 @ 1.2333
2013-08-13 07:23:08 EXECUTED LIMIT SELL 100,000 at   1.234 id=1592 tag=16              150983    800,000 @ 1.2333
2013-08-13 12:10:05 EXECUTED LIMIT SELL 100,000 at   1.236 id=1591 tag=17              152592    700,000 @ 1.2333
2013-08-13 13:11:37 EXECUTED LIMIT SELL 100,000 at   1.238 id=1590 tag=18              153994    600,000 @ 1.2333
2013-08-13 14:10:44 EXECUTED LIMIT BUY  100,000 at   1.236 id=1601 tag=18              152716    700,000 @ 1.2337
2013-08-14 05:30:07 EXECUTED LIMIT SELL 100,000 at   1.238 id=1602 tag=18              154199    600,000 @ 1.2337
2013-08-14 05:52:59 EXECUTED LIMIT SELL 100,000 at    1.24 id=1579 tag=19              155394    500,000 @ 1.2337
2013-08-14 06:35:12 EXECUTED LIMIT SELL 100,000 at   1.242 id=1552 tag=20              156395    400,000 @ 1.2337

2013-08-14 07:10:58 1.2415 [21,800,000/21,942,670]

2013-08-14 14:27:38 EXECUTED LIMIT BUY  100,000 at    1.24 id=1605 tag=20              155489    500,000 @ 1.2349
2013-08-15 10:08:59 EXECUTED LIMIT SELL 100,000 at   1.242 id=1606 tag=20              156595    400,000 @ 1.2349
2013-08-15 14:10:02 EXECUTED LIMIT BUY  100,000 at    1.24 id=1607 tag=20              155670    500,000 @ 1.2360
2013-08-15 14:25:11 EXECUTED LIMIT BUY  100,000 at   1.238 id=1604 tag=19              154686    600,000 @ 1.2363
2013-08-15 17:36:18 EXECUTED LIMIT BUY  100,000 at   1.236 id=1603 tag=18              153494    700,000 @ 1.2363
2013-08-15 17:44:51 EXECUTED LIMIT BUY  100,000 at   1.234 id=1600 tag=17              152016    800,000 @ 1.2360
2013-08-15 17:58:38 EXECUTED LIMIT SELL 100,000 at   1.236 id=1611 tag=17              153750    700,000 @ 1.2360

2013-08-16 01:00:43 1.2361 [21,900,000/21,942,670]

2013-08-16 06:31:04 EXECUTED LIMIT SELL 100,000 at   1.238 id=1610 tag=18              155175    600,000 @ 1.2360
2013-08-16 07:32:47 EXECUTED LIMIT BUY  100,000 at   1.236 id=1613 tag=18              153866    700,000 @ 1.2360
2013-08-16 12:42:22 EXECUTED LIMIT BUY  100,000 at   1.234 id=1612 tag=17              152447    800,000 @ 1.2357
2013-08-18 23:17:36 EXECUTED LIMIT SELL 100,000 at   1.236 id=1615 tag=17              154185    700,000 @ 1.2357

executed order count:     1,591
pending buy  order count: 18
pending sell order count: 7

closed profit: 154,010
open profit:   14
total profit:  154,024

traded volume: 159,100,000

net position at end: 700,000 @ 1.2357

Editat August 31, 2013 de gigi

gigi · Martie 18, 2014

Am creat conectorul pt feed-ul Level 2 de la Dukascopy.

Nu va speriati, nu are Dukas spread 16 pips la EUR/CHF, ala e un pret mediu zic ei.

Feed-ul raw arata cam asa:

{"minit":false,"tlb":"0.0124","apa":"1366.747","t":"1395098308060","apb":"1365.997","d":"GAFEqtHbADmdSVI0OdG3F2Q5nUlSZjqDEm9/AQ46UbcXfwEzOwMSb38BSjtEm6Z/AXI7o9cKgH//cTnRtxd//iU50bcXf/5wOlG3F3/9WDqDEm9//Aw7AxJvf/w0OlG3F3/8cDsDEm9/+xo7o9cKgAw5nUlSDDnRtxcMOdG3Fww6gxJvDDqDEm8MOwMSbww7RJumDDuj1wqADDnRtxcMOdG3Fww6UbcXDDqDEm8MOwMSbww7AxJvDDsDEm8MO6PXCoA=","pip":"0.01","type":"cm","tla":"0.0128"}
{"minit":false,"tlb":"71.41","apa":"8.85218","t":"1395098308362","apb":"8.83945","d":"AA5BDZtSAD+AAAAaQCzMzS5AMeuFOECoAABXQHAAAHhAcAAAfwEEQLmZmn8BDkBYUex/ARhBIAAAfwEiQcoAAIB/+Ws/gAAAf/l1P6zMzX/4AT+j1wp/+AtAqAAAf/gaQDhR7H/4JUCI9cN/+C9AzcKPf/g5QIj1w3/4Q0DSj1x/+FZBiKPXgAw/gAAADEAszM0MQDHrhQxAqAAADECoAAAMQKgAAAxAuZmaDEC5mZoMQSAAAAxBygAAgAw/gAAADD+szM0MP6zMzQxAqAAADECoAAAMQKgAAAxAzcKPDEDNwo8MQNKPXAxBiKPXgA==","pip":"0.0001","type":"cm","tla":"92.36"}
{"minit":false,"tlb":"97.07","apa":"1.06141","t":"1395098308495","apb":"1.06063","d":"Bgw/h9RrAD/wo9cCP4uFHwRAWFHsB0BwAAAJQJZmZgtBMUeuDECuZmYNQIQo9hNBUhR7FkHCzM2A4T+rhR/cQBAAANpAEAAA2UCuZmbYQOqPXNdAcAAA1kBwAADVQRYUe9JBGhR7zkG8PXGADD/wo9cMP/Cj1wxAWFHsDEBwAAAMQJZmZgxBMUeuDEExR64MQTFHrgxBUhR7DEHCzM2ADD+rhR8MQBAAAAxAEAAADECuZmYMQOqPXAxA6o9cDEDqj1wMQRYUewxBGhR7DEG8PXGA","pip":"0.0001","type":"cm","tla":"99.82"}

In campul "d" se afla codate instrumentul si toate cele 10 nivele bid/ask.

Dupa ce adun vreo luna de date, vreau sa testez celebra teorie pe care multi care ofera date level 2 o tot spun - ca poti prezice miscarile pe termen scurt (secunde) uitandu-te la cat de nebalansat e book-ul. A se observa in penultima linie din poza, EUR/AUD are 92 mil pe bid, si 110 mil pe ask. Lumea zice ca asta sugereaza ca pretul va avea tendinta sa scada.

Eu nu cred ca e asa de simplu. Ar fi prea frumos. Nu vad cum ar putea functiona, pt ca aici e doar lichiditatea unui singur ECN. Daca alt ECN va fi lovit cu flow-uri masive, LP-ii de acolo isi vor adjusta preturile in toate pool-urile unde sunt conectati.

gigi · Martie 24, 2014

I-am rugat pe cei de la FXCM sa-mi scoata comisionu din spread, si sa ma taxeze separat, ca sa pot compara mai bine feed-ul lor cu altele.

Cu ocazia asta vad ca fiecare broker taxeaza altfel comisionul:

FXCM - 35 USD per 1M base currency trade (marime pozitie)

Dukascopy - 25 USD per 1M USD currency trade (marime pozitie in USD)

FXOpen - 25 base currency per 1M base currency trade

MBTrading EXN Limits - 25 (base sau USD? nu e clar) per 1M base currency trade pt taker, plata 5 pt maker

A se obs ca MBTrading are model maker/taker - poti tranzactiona cu comision negativ (adica esti platit). si au spread-uri bune

Toti au mai multe tier-uri, in functie de deposit si volum trade lunar, La Dukascopy si FXOpen sunt publice, la FXCM nu.

Pt exemplu, comision pt trade 1M EUR/USD one-way, pt un cont 25K:

FXCM: 35 USD

FXOpen: 25 EUR = 34.5 USD

Dukascopy: 25 USD * 1.38 = 34.5 USD

MB: 25 (pt taker), -5 (pt maker), nu e clar daca USD sau base currency

Vreau sa fac o strategie de scalping, si trebuie sa vad cu cine din astia ma duc daca o rulez.

Dukas, MB si FXOpen te lasa sa pui ordine in ECN, si iti ofera acess API la level 2 quotes.

FXCM nu te lasa sa pui ordin in piata, si nu e clar daca ofera level 2 quotes (stiu ca ofera, dar nu e clar daca si pt contul meu).

MB-ul are probleme tehnice mai des fata de restul, si nu par mult diferiti fata de 2009 cand aveam cont la ei (nu se vede mare progres).

FXOpen pare cel mai competitiv per total (spread + comision), dar e un pic shady.

Editat Martie 24, 2014 de gigi

gigi · Mai 21, 2014

Mu ha ha. De acum francul nu mai are scapare. Sunt in permanenta cu ochii pe el.

Asta e V1. 400 linii C pe ceas, 100 linii JavaScript pe telefon, 50 linii Python pe un server.

V2 va afisa si situatia contului, si va arata mai bine. Layout-ul va fi complet customizabil cu un json servit de server.

iulik · Mai 21, 2014

asa da, cat tine bateria?

gigi · Mai 21, 2014

Il am abia de cateva zile, nu am avut timp sa testez prea mult, dar la o actualizare a cursului la fiecare 30 sec tine cam 2 zile (50% pe zi).

In schimb abia face telefonul fata la frecventa asta, pare sa consume 70% pe zi (evident, mai il folosesc si pt altele).

Ma gandesc sa opresc update-urile daca ceasul nu mai detecteaza miscare timp de 30 min (are accelerometru), ca sa nu-mi omoare telefonul.

gigi · Mai 30, 2014

Dukascopy au lansat optiuni binare.

http://forexmagnates.com/binary-options-from-dukascopy-group-go-live-through-dukascopy-bank/

De mult asteptam optiuni binare oferite de un broker serios. Saxo au niste optiuni, dar nu sunt chiar ce as dori (sunt mai long term si sunt de genul touch/no-touch).

Oricum investigam posibilitatea unui cont la Dukas (comisioane semnificativ mai mici decat la FXCM, dar niste mici dezavantaje la oferta API).

gigi · Iunie 17, 2014

Parerea fondatorului London Capital Group (broker) despre MT4:

iulik · Iunie 17, 2014

da, asta e, mt4 sucks, platforma saracului ca si loganul, pentru multi e limuzina. de cand au bagat si push notification parca am primit navigatie moca...

gigi · Iunie 18, 2014

Apropo de push notifications, cine vrea poate folosi asta: https://pushover.net

Merge folosit impreuna cu functia WebRequest din MT4, sau din orice poate trimite un request HTTP.

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