Tag Archives: bid

Spread for dynamic bid ask spread video is negative for forex trading

 

Thanks to this person for sending on this topic of unknown dynamic bid ask spread which works against you for forex trading thanks to your broker

These are wise words from a very experienced trader in my community. This was sent out with the original email sent out yesterday so see below:

A couple of tips with MT4

 

  1. Not commonly known is that you can show both Bid and Ask lines on the MT4 platform chart. This way you can observe how you broker widens the spread often before the next candle is printed

Uncheck your grid lines  – i.e. show grid,

 

Select the colour for the Bid line – ie select “Grid” in this case it is Aqua, and the ask line is Magenta

You can see the Bid (Aqua)/Ask (Magenta) spread on the chart below.

 

 

  1. Be aware that some brokers such as OANDA have a dynamic bid ask spread – which can also trigger you exits prematurely or miss your targets. There is also the issue of delayed orders. See attached file.
  2. Finally your readers should be aware of the different types of brokers ECN, STP, market makers (MM) and hybrids. This affects your execution as well – they MM and hybrid have two types of clients A=Book and B-Book – but that is for another time.
  3. Oanda_Issues2  

 

these are my results from testing and observation, there are nothing contrived here.

Just a heads up for those traders starting out should know that the odds stacked against them in this casino.

 

Here is another link that I encourage novice traders to view.

 

What Are Transaction Costs and How Do They Impact Your Algorithm’s Performance” Webinar

Original email:

Understand bid ask spread price for forex trading success

Very important to under get the fundamentals of this otherwise you will be whining about your losses you cannot figure out,. Watch the video in this link as well

 

Real time P&L algo automated forex trading lesson

Crypto trading vs forex webinar playback

 

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Check exit on ask or bid during bar event in algo trading 

Check exit on ask or bid during bar event in algo trading

Question for someone in my Telegram group but this is a influential person so thanks to them

When I check for an exit, I am using bar events (onBar) for each FX pair.

When I check for price action on the price, should I be using ask bar or bid bar close? Or should I use the corresponding mid point of the ask or bid bar?
https://www.dukascopy.com/client/javadoc/com/dukascopy/api/IStrategy.html
Answer was:
You buy at the ask and sell at the bid, so the most natural way to handle it is to exit long trades at the bid, and exit short trades at the ask. Alternatively you can use the mid price, but it is really just a matter of preference.
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Analyzing Dukascopy bid ask forex volume in JForex with Java

Analyzing Dukascopy bid ask forex volume in JForex with Java

This can help to build an oscillator on market buy or sell at tick level

https://www.dukascopy.com/wiki/en/development/strategy-api/practices/get-full-market-depth

 

 

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Lee and Ready algo for HFT bid ask spread ?

Lee and Ready algo for HFT bid ask spread ?

I don’t know this algo someone asked me via Facebook

Hi Bryan
How are you doing?
I was wondering if you had information about the Lee and Ready algorithm
ant librery?
any library in R or Java
Regards
Sound like it can be used for bid ask spread in HFT uses
http://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Inferring%20trade%20direction%20from%20intraday%20data.pdf
http://www.mathworks.com/matlabcentral/fileexchange/34376-a-trade-classification-algorithm-from-market-quotes
Python? And other HFT related algos.
http://www.quantresearch.info/Panayides_Shohfi_Smith.pdf
OneTick analytics with commercial CEP database
https://www.onetick.com/frequently-asked-questions/14-faq-s/178-what-analytics-tools-are-available-with-onetick
R package:
The FinAsym package implements the Lee and Ready (1991) and Easley and O’Hara (1987) tests for, respectively, trade direction, and probability of informed trading.
https://cran.r-project.org/web/views/Finance.html
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Using XLQ to get Yahoo Finance Bid and Ask in DotNet CSharp

Using XLQ to get Yahoo Finance Bid and Ask in DotNet CSharp

This is a very good tool to retrieve data so search it on my youtube.com/quantlabs channel.   You can retrieve multiple data sources including Yahoo Finance. Also, the coding is much simpler and cleaner than something like TWSLink or the Interactive Brokers API.

The Visual Studio solution package with source code is availabe to my Quant Elite members 

http://www.qmatix.com/

Join my FREE newsletter to learn more about how to retrieve data simply 

HIgher resolution version but you still need to make full screen.

YouTube Preview Image

Bad low resolution:

 

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Why your trading broker needs to have a very tight bid ask spread to profit from with your automated strategy and model

Why your trading broker needs to have a very tight bid ask spread to profit from with your automated strategy and model

http://www.cityindex.co.uk/spread-betting/what-is-spread-betting.aspx

http://www.intertrader.com/product_info/tight_spreads/tight_spreads_importance.html
 
Learn more how I find a broker with a bid ask spread through my FREE newsletter 

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

More trading uses for Excel for real time data anslysis and using HFT bid ask spread trading strategies to profit from

Hi there

A question came in about big and ask spread in real time for HFT needs? Where to get examples

http://quantlabs.net/blog/2013/07/a-question-came-in-about-big-and-ask-spread-in-real-time-for-hft-needs-where-to-get-examples/

Here is some topics on our forum about Microsoft Excel:

Anyone ever use XLQ or CETEEM with Matlab Linx Exchange with Microsoft Excel for real time trading?

http://quantlabs.net/academy/forum/technical-forum/anyone-ever-use-xlq-or-ceteem-with-matlab-linx-exchange-with-microsoft-excel-for-real-time-trading/

Anyone using Micrsoft Excel to help determne their algorithms or a trading strategy?

http://quantlabs.net/academy/forum/technical-forum/anyone-using-micrsoft-excel-to-help-determne-their-algorithms-or-a-trading-strategy/

Get in the action by commenting above. This helps give direction on how I build my trading solutions.

Thanks Bryan
P.S.
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Future realization of bid ask spread using Roll

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!