Hi Michal and everybody!
i want to try to code this strategy for MBTX API because i suppose it is the fastest way to execute orders. it seems you can place non-standard lot sizes with API (not 10'000, 100'000 but 33'333 for example) - so it is the right thing that we expect from Impeccable Hedge.
1. why i must use Open or Close prices? or not tick data? i mean my ring calculations may begin at OnQuoteData() event from any of 3 pairs.
2. for the ECN (or continuous double auction) - what is the market price for for example BUY order? is it the current Ask? or it is the last price the order was executed?
3. for ECN i suppose we must check the available lot size also or we are afraid our order will be partially filled. Am i right?while collecting tick data many times i saw that (Bid>Ask). some times this difference is 10 (ten!!!) pips. so we can even hedge by market orders with one pair if we are lucky. the only question - what is the lot size in this situation?
4. Stupid question
Can we use limit orders instead of market? we can even take one more pip from each pair i suppose.
1. I also use OnQuoteData() event to calculate the FPI for each firing of the event (this way you get up-to-the-moment FPI number).
2. I use last Ask
3. I don't check for the available lot size because unless you are doing HUGE volumes, it will not matter. I have had many partial fills and most of them are at the same price anyway.
4. This has been answered here before. Both have positives and negatives. In my personal experience, I get signals in fast markets, but those very same fast markets create a lot of slippage. So you are either risking getting filled AND slipped, or NOT filled at all with limit order. The choice is yours.
Also, as a side note. I think your connection latency is a HUGE factor in this strategy. MBT does offer hosting at their data center though so it should be considered if you are serious about it. I also am starting to think that MBT (as much as I like them) may not be a perfect broker for any high frequency trading. I hear that their FIX interface is MUCH faster, but it's a whole new beast to take on.
The answers to your questions are my own thoughts/observations and they could in theory be argued.