FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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Nicholishen
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dealer proof it!

Postby Nicholishen » Sun Nov 12, 2006 6:08 pm

I am not positive that dealers are running as many stops as we once thought. If there is anyone out there who knows of any MT brokers notorious for doing so, please post because I want to trade with them. Think of the implications of FPI and false market moves. I once had an interesting chat with someone in the futures market who would use orders to tease the dealer into setting himself up for a massive scalp.

There are a number of applications using fpi. Probably more widely desirable would be developing stop loss mitigation software for traders. You cannot deviate a single currency pair from the rest of the market without being able to pinpoint it - using FPI and ring networking.

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Re: Free tick data

Postby michal.kreslik » Tue Nov 14, 2006 8:47 am

SeattleFX wrote:Here's a resource for years of historical bid/ask tick data:

http://ratedata.gaincapital.com/

I guess you could add this to

http://kreslik.com/forums/viewtopic.php?p=434#434

Michal, if you use this, please post your resulting findings with respect to the FPI method.


Thanks for a great resource, SeattleFX!

I've added your link to the data sources list.

Anyway, GAIN capital is a "fabricated spread" type of broker. The spread posted doesn't have anything to do with the actual interbank spread, so their Bid/Ask data can't be used to backtest FPI correctly.

Michal

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Re: Imperfect ("Imimpeccable"?) fills

Postby michal.kreslik » Tue Nov 14, 2006 9:06 am

SeattleFX wrote:As I understand this technique, you're relying heavily on precise fills from your broker. Now, that won't always happen, even with the best of brokers, I would think. That is, you'll get slippage or "requotes" ("That price is no longer available. The price is now X. Would you like to accept X now?") from time to time, and it will tend to be negative slippage/requotes more than positive. That can easily eat into big portions of your profit, when the profit margin is so small, right? How do you suggest to overcome this major obstacle, Michal?

Thanks a bunch,
Eric


Eric, very easily. I overcome it with the statistics :)

If the broker indeed is not acting against you covertly, there will be a normal distribution of the "slippage". Thus, the negative and the positive outcomes will cancel each other out.

By the way, with CMS broker (the "bandit type") I was experiencing requotes and other horrible stuff all the time. But with EFX (the "non-bandit type"), I never experienced any requotes.

In fact, Forex market is so liquid that the requote can only happen if
  • your broker is working hard to fleece you
  • the price changes between the moment you send the order and the moment your broker receives your order (this happens in milliseconds, depending on the internet connection quality)
There's no chance you get requoted because of the lack of liquidity in Forex, i.e. because you have "bought out" or "sold out" the current price level. Well, unless you are George Soros and you have just broke the pound :)

Michal

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Nicholishen
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example of ring networking

Postby Nicholishen » Sun Nov 19, 2006 4:55 am

... self explanatory...


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Postby Gert Frobe » Sat Nov 25, 2006 5:19 pm

to tell ya the truth, i don't know. i never posted a link here to kreslik.com.
however, i did post a link to a post on FF that Michal had made about PFI.

i will say that before TRO started posting @ FF about the the rip off fixed spread brokers FF gets paid from for advertising, they never had a true ECN broker that advertised w/them. they now have EFX but it was not intill after TRO and others pointed this out.

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Re: Interesting

Postby Luke » Sat Nov 25, 2006 5:21 pm

mercuryfx wrote:The comments towards bitcy were unconstructive and childish however.


They were. I reworked bitcy's math and found his errors which I could have helped him understand in the public forum. However, his attitude that Michal's work was complete nonsense didn't make me feel like helping him as he apparently is not the kind of person who likes helping others but only criticizing them.

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Postby TheRumpledOne » Sat Nov 25, 2006 7:14 pm

I wonder what the reason is people are so dang sensitive!

I catch more flak than just about anyone but it doesn't stop me from continuing on my path.

Focus on the work and not the personalities.

Thanking you in advance for your cooperation.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

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Postby michal.kreslik » Sat Nov 25, 2006 11:07 pm

Just for the record, I am banned from FF, too. It's because I provided a link to the FPI thread here at kreslik.com.

Michal

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Postby EvgeniX » Sun Nov 26, 2006 6:34 pm

ecom345 wrote:
If we short 1 Lot EURUSD and 1 Lot USDCHF and long 1 Lot EURCHF


I think it should help you: http://kreslik.com/forums/viewtopic.php?p=2354#2354

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Nicholishen
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Postby Nicholishen » Thu Nov 30, 2006 10:21 pm

FPI does work in MetaTrader... when you have it connected to an institutional feed. The minimum account to trade with this prime broker is $100,000USD. Those who truly understand this concept will appreciate this chart from synced tick data. This is a 5 minute chart. How many opportunities can you spot? :D


Last edited by Nicholishen on Thu Nov 30, 2006 10:30 pm, edited 2 times in total.

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