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  MT4 MOTHERLODE Reply to this News Item Print this Topic E-Mail this Topic
Posted on Wed Jul 16, 2008 11:14 pm by TheRumpledOne
general news MT4 MOTHERLODE

MotherLode of MT4 indicators attached.

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Loot  Exclusive MultiCharts offer for kreslik.com users Reply to this News Item Print this Topic E-Mail this Topic
Posted on Wed Jun 11, 2008 2:52 pm by michal.kreslik
general news
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 Smile

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


The discounted price for the kreslik.com members is good till the end of June 17th, 2008 and you can get it by clicking here:

http://www.tssupport.com/multicharts/kreslik



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

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  TRO HEATMAP - QUOTETRACKER VERSION Reply to this News Item Print this Topic E-Mail this Topic
Posted on Tue Apr 29, 2008 11:30 pm by TheRumpledOne
general news TRO FX HEATMAP

- QUOTETRACKER VERSION

Image

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  TRO HEATMAP - eSIGNAL VERSION Reply to this News Item Print this Topic E-Mail this Topic
Posted on Tue Apr 29, 2008 9:44 pm by TheRumpledOne
general news TRO FX HEATMAP



- eSIGNAL VERSION

Image

Couldn't leave out my fellow eSignal donators.

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  TRO HEATMAP - TRADESTATION VERSION Reply to this News Item Print this Topic E-Mail this Topic
Posted on Tue Apr 29, 2008 8:42 pm by TheRumpledOne
general news TRO FX HEATMAP


- TRADESTATION VERSION

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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.

This news item has 793 Views and 3 Comments. Post your comment

  TRO FX HEATMAP Reply to this News Item Print this Topic E-Mail this Topic
Posted on Sat Apr 26, 2008 7:22 pm by TheRumpledOne
general news TRO FX HEATMAP

MT4 VERSION

Image

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
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heatmaps.zip
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  THE BUY ZONE FOR FOREX MANUAL - BACK TO BASICS Reply to this News Item Print this Topic E-Mail this Topic
Posted on Fri Apr 11, 2008 5:22 pm by TheRumpledOne
general news THE BUY ZONE FOR FOREX MANUAL - B2B

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THE BUY ZONE FOR FOREX MANUAL - BACK TO BASICS

This should help the struggling Buy Zone traders.

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  THE BUY ZONE FOR FOREX MANUAL - FAQs Reply to this News Item Print this Topic E-Mail this Topic
Posted on Fri Feb 15, 2008 6:05 pm by TheRumpledOne
general news THE BUY ZONE FOR FOREX MANUAL -FAQs

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FAQ chapter.

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Idea  Forex pairs spread & volume statistics Reply to this News Item Print this Topic E-Mail this Topic
Posted on Thu Feb 14, 2008 8:19 pm by michal.kreslik
general news
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 Smile)
  • 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:

Image


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

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AUD/CHF

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AUD/JPY

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AUD/NZD

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AUD/USD

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CAD/CHF

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CAD/JPY

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CHF/JPY

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EUR/AUD

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EUR/CAD

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EUR/CHF

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EUR/GBP

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EUR/HUF

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EUR/JPY

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EUR/NOK

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EUR/NZD

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EUR/PLN

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EUR/SEK

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EUR/USD

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GBP/AUD

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GBP/CAD

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GBP/CHF

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GBP/JPY

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GBP/USD

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NZD/JPY

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NZD/USD

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USD/CAD

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USD/CHF

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USD/CZK

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USD/DKK

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USD/JPY

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USD/MXN

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USD/NOK

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USD/PLN

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USD/SEK

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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:

Image



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:

Image



New quotes volume by hour (EST) and symbol graph shows us the comparative liquidity for all pairs based on the trading hours:

Image



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 Smile ):

Image



I hope this study will help you in your trading systems development. Attached you'll find the source data.

Enjoy,
Michal

SpreadVolumeStats.zip
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  THERUMPLEDONE BAN LIFTED AT WWW.FOREX-TSD.COM Reply to this News Item Print this Topic E-Mail this Topic
Posted on Mon Feb 11, 2008 9:50 pm by TheRumpledOne
general news 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.

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