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Squawk / 12 October 2016 at 15:57 GMT
Financial Systems Advisor / Quantitative Investments Inc
Canada
Another series of revision and hopefully this will deal with the position/rule changes idea.
12 October
zefy zefy
I managed to reduce amount of trades by increasing ROC calculation period and applying rsi5 criteria. Now it took only 6 false triggers until correctly detected change in EURGBP trend. All this with 1min bars. This might not be applicable to your HFT algo but wanted to share anyway...
I haven't implemented other position closing rules yet because wanted to spend some time to analyze current version. But I can see that there are a lot opportunities to further optimize by applying other closing rules than just ROC.
12 October
Qi2 Qi2
Does your algorithm use candles or bars? I do not have any charts, so I have no way to use RSI or any indicator, this is one of the problems with FIX API, in forex it is just best bid/ask data stream.
12 October
zefy zefy
My implementation is C language only, no charts. It collects ticks until 1minute is finished and then stores that 1min bardata to database and starts new. Then I can lookback database to calculate rsi or other indicator for defined period. During runtime needed data from database is loaded to dynamic memory series because IO read/write operations to disk are extremely slow.
12 October
Qi2 Qi2
Ok, that makes sense to me and I imagine I can have an engineer create the same idea. I can use advanced data processing rig (Asper CEP can take 500k events/sec) with historic market data store/order persistence, which would generally be considered easier part of a trading tech stack. I would need to order and or store tick data to make that happen :(
12 October
Qi2 Qi2
I do love SaxoTrader 2 charts, really are nice and easy to set up and show the trading set up :)

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