| Newest Posts |
 World Financial Group Events
by MTnews on Fri Aug 22, 2008 1:48 am
BUY ZONE FOR DUMMIES INDICATOR
by nuwaubunomics999 on Thu Aug 21, 2008 5:00 am
regression fitness function - smoothing out the equity curve
by nuwaubunomics999 on Thu Aug 21, 2008 4:46 am
Mortgage Bailout
by MTnews on Thu Aug 21, 2008 12:32 am
Middle analysis - Taking home the Pips
by pitboss on Wed Aug 20, 2008 10:07 pm
Range indicator needs lables
by toddanderson on Wed Aug 20, 2008 5:52 pm
Topological analysis
by Paul on Wed Aug 20, 2008 4:25 pm
Predicting Pivots and price!!!
by khalid on Wed Aug 20, 2008 4:42 am
War in Georgia
by MTnews on Tue Aug 19, 2008 11:34 pm
To automate or not to automate?
by BlackMage on Tue Aug 19, 2008 9:57 am
Fannie Mae and Freddie Mac
by MTnews on Mon Aug 18, 2008 11:14 pm
TRO 123
by TheRumpledOne on Mon Aug 18, 2008 6:29 pm
OK, lets start the the beginning
by phreddy on Mon Aug 18, 2008 5:00 pm
MT4 crash with TRO indicators
by comdoc on Mon Aug 18, 2008 4:57 pm
THERUMPLEDONE BAN LIFTED AT WWW.FOREX-TSD.COM
by codemuncher on Sat Aug 16, 2008 5:10 pm
TheRumpledOne switching to NeoTicker? New group discount
by zarni on Sat Aug 16, 2008 4:01 pm
Neoticker permanent license for sale!
by zarni on Sat Aug 16, 2008 3:56 pm
Consumer Spending
by MTnews on Fri Aug 15, 2008 11:35 pm
Investing
by MTnews on Thu Aug 14, 2008 11:46 pm
Retail Sales
by MTnews on Wed Aug 13, 2008 11:45 pm
The Daily Fozzy Method
by jtrade on Wed Aug 13, 2008 3:59 pm
How does Inflation Effect the Economy
by MTnews on Wed Aug 13, 2008 12:02 am
Free trading videos for forex
by vladv on Tue Aug 12, 2008 8:51 am
Warren Buffett video
by vladv on Tue Aug 12, 2008 8:51 am
how do you like the new forums at kreslik.com?
by vladv on Tue Aug 12, 2008 8:32 am
uptick vs downtick MTF indicator
by comdoc on Tue Aug 12, 2008 12:08 am
Gold Market
by MTnews on Mon Aug 11, 2008 11:34 pm
THIS IS YOUR CHART
by Dracozny on Mon Aug 11, 2008 9:02 pm
'Market Barometer' indicator
by comdoc on Mon Aug 11, 2008 4:41 am
TRO HEATMAP - QUOTETRACKER VERSION
by chukked on Sun Aug 10, 2008 11:58 am
Capital Markets
by MTnews on Fri Aug 08, 2008 10:58 pm
ECB
by MTnews on Thu Aug 07, 2008 10:43 pm
TRO HEATMAP MQ4
by TheRumpledOne on Thu Aug 07, 2008 8:23 pm
Help needed to convert MT4 indicator to Easylanguage
by boerseun on Thu Aug 07, 2008 2:41 pm
TRO NB SR HILO for MT4
by TheRumpledOne on Wed Aug 06, 2008 5:48 am
Where is the BUYZONE INDICATOR located?
by TheRumpledOne on Wed Aug 06, 2008 4:37 am
THE BUY ZONE MANUAL
by TheRumpledOne on Wed Aug 06, 2008 4:35 am
New Chart Indicator: _TRO_PeriodChannels
by TheRumpledOne on Wed Aug 06, 2008 1:16 am
Federal Reserve Interest Rates
by MTnews on Tue Aug 05, 2008 11:02 pm
TRO HEATMAP - TRADESTATION VERSION
by TheRumpledOne on Tue Aug 05, 2008 10:16 pm
|
| Recent Files |
No files at the moment
|
| Statistics |
We have 5814 registered users
The newest registered user is fx563
Our users have posted a total of 10614 articles |
| Newest Pics |
 |
Pic Title: BP Futures
Poster: scottcauthorn
Posted: Sat Mar 01, 2008 6:36 am
View: 186
Rating: 10
Comments: 1
|
| [ Album ] |
|
 |
|
|
 Posted on Wed Jul 16, 2008 11:14 pm by TheRumpledOne |
 |
MT4 MOTHERLODE
MotherLode of MT4 indicators attached.
| MT4_MotherLode.zip |
| Description: |
|
Download |
| Filename: |
MT4_MotherLode.zip |
| Filesize: |
76.61 KB |
| Downloaded: |
311 Time(s) |
|
|
|
|
|
|
| Posted on Wed Jun 11, 2008 2:52 pm by michal.kreslik |
|
Multicharts discount for kreslik.com members
Hello, friends,
I'm happy to tell you that TS Support software company is giving the kreslik.com users exclusive opportunity to get the Multicharts charting and automated trading platform for a discounted price. This offer for kreslik.com members expires on June 17th, 2008.
Back in 2006, I left Tradestation, shortly after Avery aka TheRumpledOne was banned from their forums basically for posting a quality code for free there. I left the Tradestation platform because it had severe technical limitations, but most importantly because the Tradestation developers were utterly apathetic when it came to the users' needs and suggestions for improvements.
Multicharts is offering a very attractive solution for people who would like to quit Tradestation, but who are afraid of learning a new programming language, because Multicharts is compatible with Tradestation EasyLanguage! This mere fact can be the selling point of Multicharts platform for many dissatisfied Tradestation users.
I'm not using Multicharts myself as my automated trading system development and programming needs are reaching far beyond any platform that's currently available on the market (including NeoTicker), but I feel that based on what I've seen I can definitely recommend this platform to the end users, especially to those who are switching from Tradestation and who are not comfortable going straight to NeoTicker with all its intricacies and crude user-unfriendliness 
So let's get down to the brass tacks:
The regular price of the Multicharts platform: USD 1497
Discounted price for kreslik.com members: USD 1197
Important:
please note that I'm not affiliated with TS Support (nor with any other trading software vendor or producer for that matter) in any way. I'm not getting any commissions out of the Multicharts software purchases you might do. I'm a professional systematic trader, not a software vendor. I'm ready and happy to organize a discount for kreslik.com members any time when a producer of a good trading software offers me such an opportunity.
Now, please feel free to ask questions about Multicharts directly in this thread. TS Support representatives are waiting and ready to answer your questions. So don't hesitate and go ahead.
I wish you all trading success!
Michal
|
|
|
|
|
|
| Posted on Tue Apr 29, 2008 11:30 pm by TheRumpledOne |
|
TRO FX HEATMAP
- QUOTETRACKER VERSION
|
|
|
|
|
|
| Posted on Tue Apr 29, 2008 9:44 pm by TheRumpledOne |
|
TRO FX HEATMAP
- eSIGNAL VERSION
Couldn't leave out my fellow eSignal donators.
|
|
|
|
|
|
| Posted on Tue Apr 29, 2008 8:42 pm by TheRumpledOne |
|
TRO FX HEATMAP
- TRADESTATION VERSION
It's been a while since I coded in TS EasyLanguage!!
TRO PMSM HEAT displays the "heat" of stocks, currencies, etc...
TRO PMSM HEAT is sent out to those who make a donation to my PayPal account.
|
|
|
|
|
|
| Posted on Sat Apr 26, 2008 7:22 pm by TheRumpledOne |
|
TRO FX HEATMAP
MT4 VERSION
mladen posted a heatmap based on:
Currency Heat Map
That gave me the idea to make a FX DASHBOARD to show the "heat" across the time frames.
MT4 files attached.
UPDATE 2008.04.29
I added the use.close input.
If use.close is TRUE (DEFAULT) then previous close is used in the calculations.
If use.close is FALSE then previous midpoint is used in the calculations.
If price is below the previous midpoint then SELLERS are in control.
If price is above the previous midpoint then BUYERS are in control.
The HEAT should reflect this.
Updated code attached.
| MultiHeat.zip |
| Description: |
|
Download |
| Filename: |
MultiHeat.zip |
| Filesize: |
44.62 KB |
| Downloaded: |
1595 Time(s) |
| heatmaps.zip |
| Description: |
|
Download |
| Filename: |
heatmaps.zip |
| Filesize: |
31.68 KB |
| Downloaded: |
1067 Time(s) |
|
|
|
|
|
|
| Posted on Fri Apr 11, 2008 5:22 pm by TheRumpledOne |
|
THE BUY ZONE FOR FOREX MANUAL - B2B
THE BUY ZONE FOR FOREX MANUAL - BACK TO BASICS
This should help the struggling Buy Zone traders.
| BuyZoneB2B.pdf |
| Description: |
|
Download |
| Filename: |
BuyZoneB2B.pdf |
| Filesize: |
47.36 KB |
| Downloaded: |
2121 Time(s) |
|
|
|
|
|
|
| Posted on Fri Feb 15, 2008 6:05 pm by TheRumpledOne |
|
THE BUY ZONE FOR FOREX MANUAL -FAQs
FAQ chapter.
| BuyZoneFAQ.pdf |
| Description: |
|
Download |
| Filename: |
BuyZoneFAQ.pdf |
| Filesize: |
36.59 KB |
| Downloaded: |
2755 Time(s) |
|
|
|
|
|
|
| Posted on Thu Feb 14, 2008 8:19 pm by michal.kreslik |
|
Forex pairs spread & volume statistics
Hello, friends,
one of the factors that a trading system engineer has to take into account when developing a trading system is the cost of trading for the market he is going to apply the trading system to. I guess we all have been through the trading systems that would make piles of cash if it were not for the trading costs.
Here I'd like to focus on one of the most important elements of the trading cost: the spread between the bid and ask. This value depends on various factors like:- market - obviously, every market has a different set of spread characteristics (EUR/USD will be different than CAD/JPY)
- market access - you're generally going to get a higher average spread at a broker that charges fixed spreads than at an ECN, for instance. The "tiny" spread markups at crooky brokers are often marking the waterline for your trading system
- time - here we are talking about time of day. During the day, there are distinct peaks and troughs of spread present as you'll see below in the graphs. Possibly, we can look at day of week as well, but the relative range of the day of week-based spread values is virtually non existent compared to the time of day-based range
- trade size - the bigger your position size, the higher (worse) is also the spread (that's why the mammoths can't trade )
- fundamental effects - apart from the regular news announcements, there is no way to predict that the heavy truck of fundamental news is coming at you to widen your spread temporarily. However, in the statistics that I'm going to present here, these fundamental effects are all factored in and averaged out
The source data that I used for the statistics comes from my data collection servers. These servers are placed in a backbone server room. These servers are hosting my automated trading strategies and they are also collecting new quotes from EFX and other brokers to SQL database with millisecond precision for use in testing. I'm only collecting the new quotes because there's no new information in repeated quotes. For the use of this study, a quote is an object that consists of:- bid
- ask
- bid size
- ask size
- time
A new quote is a quote where either the bid or ask or both have changed from the previous quote. A sole change in liquidity flow (bid size or ask size) does not constitute a new quote, thus such a change is not collected.
The statistics I'm presenting to you was done on all data from EFX ranging from Sun Dec/02/2008 (start of Forex session) to Fri Feb/08/2008 (end of Forex session). I removed pairs that had too few quotes or were not traded round the clock. A total of 96,593,341 new quotes were used for the calculations:
Here you can see that certain pairs demonstrate higher tendency towards generating new quotes than others.
I was thinking about restricting the spread statistics only to quotes with some basic, minimum liquidity (like 100000 units). EFX is an ECN type of broker, so anyone bidding or offering just 1000 units inside the interbank spread might potentially skew the spread results to the downside. But I've done a quick comparison and the difference is almost non-existent. Furthermore, if I restrict the statistics based on the minimum liquidity requirement, the average spread actually gets slightly lower. The difference is in the realm of a statistical error, though.
- The spread graphs:
every spread graph shows the statistics of an average spread for the particular pair in pips based on the trading hour in US Eastern Time (New York). For every hour, all quotes that happened during and including that hour were used for calculating the average (e.g., for hour 15: all quotes from 15:00.000 to 15.59.999). The values for the multipliers (like 10000 for EUR/USD, 100 for USD/JPY) that were used to get the results in pips (like 6.47 pips or 5.12 pips) rather than in the actual true decimal numbers (like 0.000647 or 0.0512) were chosen based on common trading consensus (I hope). However, there is no official rule anywhere in the world that says what the decimal values of a pip are for the particular currency pairs. In case of doubt, attached to this post you will find the source data for all the graphs - these files include the spread information in the true decimal values as well, so you can check that out.
- The new quotes volume graphs:
every new quotes volume graph shows the normalized statistics of the percentage quotient of the number of new quotes that happened during the particular hour in relation to the total number of all quotes that happened for the particular pair. The time partitioning is the same as explained above. Thus, for instance the value of 7% at 14 hours on the new quotes volume graph is telling you that between (and including) 14:00.000 and 14:59.999, there happened 7% of all new quotes for that particular pair.
Enough said, let's get down to brass tacks. If you look carefully, you'll see that spreads and new quotes volume/liquidity go hand in hand:
AUD/CAD
AUD/CHF
AUD/JPY
AUD/NZD
AUD/USD
CAD/CHF
CAD/JPY
CHF/JPY
EUR/AUD
EUR/CAD
EUR/CHF
EUR/GBP
EUR/HUF
EUR/JPY
EUR/NOK
EUR/NZD
EUR/PLN
EUR/SEK
EUR/USD
GBP/AUD
GBP/CAD
GBP/CHF
GBP/JPY
GBP/USD
NZD/JPY
NZD/USD
USD/CAD
USD/CHF
USD/CZK
USD/DKK
USD/JPY
USD/MXN
USD/NOK
USD/PLN
USD/SEK
Comparative graphs
The average spread in ppm (parts per million) list shows all forex pairs included in this study, sorted by their relative spread. Ppm is a measure that I'm commonly using in my trading system design to arrive at comparable results across a wide range of forex pairs and/or even across the same forex pair's longer range data time span. The relative spread in ppm is simply calculated as:- 1000000 * (ask - bid) / bid
The higher the relative spread, the more costly is the particular pair to trade in respect to its current market value. No wonder EUR/USD has the cheapest average cost in terms of relative spread:
Aveage spread in ppm by hour (EST) and symbol graph is unveiling the distribution of the relative spread in ppm for all forex pairs, included in this study, based on trading hours in EST. This graph is logarithmically scaled because the dispersion of the ppm spread values over all forex pairs and trading hours is rather wide:
New quotes volume by hour (EST) and symbol graph shows us the comparative liquidity for all pairs based on the trading hours:
And the piece de resistance of the study is the graph that is showing us the overall average spread in ppm for all fx pairs in this study, overlaid over an overall liquidity (new quotes volume) for all fx pairs, all based on the trading hours (a proof that London rulez ):
I hope this study will help you in your trading systems development. Attached you'll find the source data.
Enjoy,
Michal
| SpreadVolumeStats.zip |
| Description: |
|
Download |
| Filename: |
SpreadVolumeStats.zip |
| Filesize: |
119.23 KB |
| Downloaded: |
236 Time(s) |
|
|
|
|
|
|
| Posted on Mon Feb 11, 2008 9:50 pm by TheRumpledOne |
|
THERUMPLEDONE BAN LIFTED AT WWW.FOREX-TSD.COM
Don't know how long it will last. If I post a chart of one of my THANK YOU indicators, then I will get banned for commercial spamming. newdigital just won't open his eyes. Ego is in the way.
|
|
|
|
|
|
|
Calendar
