High Frequency Trading! I would like to start a thread for a HIGH FREQUENCY TRADING SYSTEM. From what i found on google, this is the type of trading involved with ticks on the highest frequency, where trades last second to minutes. On mql4.com i found two EAs that convert tick data into a database, SQL & FXT. I assume the tick database can be processed for entries and prediction of the next tick direction. The question is: what analysis must be done for prediction of the next tick. I cannot seem to figure out the entry/exit, take profit, stoploss for a high frequency system. What type of analysis is done on ticks to determine direction? Is this based on a neural network method? Thanx............................... 


Why are you hating? Are you that advanced already to drop your two pennies on any question. 
HFT is kind of a hot topic at the moment, as such, I don't think anybodies going to be giving any secrets anyway, your kind of touching on the vast world of automation that lies beyond the MT4 sandbox. I suggest you pickup some books of Amazon on the subject and start reading, but I would be prepared because the stuff I have seen is pretty rough going on the Maths front. You can often tell how new (or hot) a topic is by looking at the amount of publicly available research on a given topic, note the conspicuous absence on the subject of HFT. 
In terms of complexity, this is what i have found for matlab and high frequency trading and what the top dogs are doing. Check this webinar for Algorithmic Trading with Matlab for Financial Applications. Really good information, heavy on everything i know so far. http://www.mathworks.com/cmspro/webconf15645.html 
This is a fantastic link.... I can stay on it for hours. Now we are seriously talking! 
There is just to much, it never ends......The learning i mean. I think the reason why noone really talks about this is because it is so complex, the webinar proves it, if you are not into heavy analysis, explaining this to a monkey is impossible........... 

Also! Here is link to the classical pairs trading model implemented for Matlab. I believe this is cointegration and it is applicable for High Frequency Trading. Check it out if you have Matlab. http://www.mathworks.com/matlabcentr...bjectType=file 
hey, there is no need to use so complex instruments. The key has always been simplicity and full understanding of what you are doing. However, the link is interesting. Thanx for sharing 
Spatial Econometrics Research Toolbox For Matlab! Here is the link to download the toolbox for spatial econometrics research that is used in that Matlab Algorithmic Trading webinar. This toolbox is for Matlab. http://ideas.repec.org/c/boc/bocode/t961401.html 
This sounds interesting. http://www.progress.com/apama/produc...sp?ref=hpflash I am a firm believer in automated trading. The only way I can fathom not having heard of something like the above is that I'm not in the "institutional circuit" if you will. Thanks for the post. Let's see what else we can dig up for the "little man" 
Yes, lets keep digging and find the hidden........... 
I watched the MATLAB link, MATLAB looks like an awesome research tool, but those MA/RSI models were just curve fits, you can do that type of optimization in MT4. 

Dynamic Currency Hedging with Matlab! Another interesting webinar, related to hedging and High Frequency Trading. http://www.mathworks.com/webex/recor...cy_081106.html 
From my brief research into HFT this evening, it would seem it encompasses 4 things: 1. Automated trading 2. High number of varying instruments traded simultaneously 3. Ticklevel data analysis 4. Possibly some proprietary modeling algorithms Am I missing anything? On #1, this is nothing new. Yes there have been advances, but this is always the case as tech improves. #2 goes somewhat along with the tech improvements I think. The more data you can crunch, the more you can do. With trading, or whatever computational task you are working on. #3 doesn't seem new at all to me. Though even at FF you'll find a million people saying you can't possibly trade on anything less than a 15 minute periodicity. That of course, isn't true. For #4, it seems that everyone is selling canned algorithms these days TBH. So at the risk of sounding overly cynical, is it possible that the trading community atlarge is just now waking up to automation, tick level data, and whatnot? That HFT, with the possible exception of mass numbers of simultaneous trading of diverse instruments, is only a buzz word for what us smart traders have already known? lol 
I'm going to give this a bump. I'm interested to know if folks have any thoughts on HFT. 

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