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TheEconomist's Forex Arbitrage Blog

Un blog de TheEconomist în General

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Despre acest blog

Brokers, Arbitrage Strategies and impact on BcLib coding and function syntaxes

Intrări în acest blog

Trading report for Oct 17, 2007

You're right Andi, I have kinda forgot posting results...   http://img81.imageshack.us/img81/7180/tradestatus1710xf6.jpg   After a jump last week from around $150 - $250 now it's consolidating in $300 - $350 area. The time it happened the DiscountedBasis indicator jumped over 0 ; generally it's negative (-1 to -7, average -3 to -5), except for the unhedged hour when Globex is shut down.

The very first arbitrage: Choosing your broker

This is, indeed, the first decision that you have to make. We have two categories of brokers (I mean only from MetaTrader brokers here):   1. US, trusted, NFA-regulated, USELESS brokers. 2. Non-US, controversial, FSA or other regulation authority, USELESS or USEFUL brokers.   The term "arbitrage" from the title has its initial meaning : choice.   Except for the Intercross Arbitrage and the Swap Arbitrage, which work with forex only, all the other arbitrage strategies, which are also the "normal"

The Beginning

I was looking over the oil arbitrage script making money on my friend Billy's server these days, and I thought to myself that the forum might benefit out of this. I am seeing that losses, that are a rule for forex traders, are accidents in arbitrage, and I said to myself "Enough with regular trading. People must know." We must never ever take abuse from regular trading again, and finally break down the old saying "You don't risk, you don't win". So I decided for the first time to release full co

Swap Arbitrage

First of all, for who doesn't know what swaps are, they are implementation of differential interest rates. We aren't going to present here the implementation of swaps starting from the differentials, but the purpose of the article is to show how the swaps may be used to make money with a small amount of risk.   Swap Arbitrage, as a hedging for interest technique, is another application of Kreslik currency rings: this time there is no need for FPI calculation or generation of virtuals. All it mat

New kids on the block: Currency Futures, Islamic Banking and Spot-to-Futures Arbitrage

As I promised to my readers, I am returning with an article about the "new" currency futures contracts introduced by the non-NFA regulated brokers. Together with arbitrageable commodities, currency futures prove to be some of the most valuable contracts to be found in a broker's datafeed.   1. Basics of Currency Futures ======================   Currency futures are the standardized, transferrable version of currency forwards. Currency forward contracts lock in the price at which an entity can bu

Mt5 - A Probably New Beginning For Everything

After two years of absence, I am announcing everyone that I have decided to move the blog on my own domain. Previous entries will remain here, some will be copied to the new address. However, the launch is highly dependant on how MT5 will be finally implemented - that is, how big will be the capacities of the new Strategy Tester, as well as options that supposedly will be introduced. The blog will focus on MT5 programming and multiasset strategies involving arbitrage, pair trading, and option tr

Forex Quasi-arbitrage Hedge System (nice Sci-Fi story to read)

I thought about this system several months ago. I wasn't able to find a suitable implementation, because I tweaked it to the point I completely screw it up, so I'll put it the way I initially thought it.   Trader's Fallacy: Hey, I can follow that trend and make cash like a pro!   Traders love charts. Perhaps our reason for entering stock , forex or other markets was watching trending markets and simple indicators. The simplest indicator that someone gets in touch with when entering forex or stoc

Finally out of the mess...

Well, finally managed to pull money out of FXINDIA. Was it a good broker? Well, they payed. (Perhaps because we didn't make noise on their forums, who knows). Did they do everything against us? Well, after the tricky swap charge they saw we are more stubborn than anticipated and decided to get rid of us and almost banned logins. Thanks to Matt we managed an awesome rate of about 170%... But again, trading on the edge, with more than MT4. The natural exploit of difference in volatility between fo

Finally found the basis glitch

Since I'm using this strategy, I observe that sometimes the account stays a lot constant, then jumps suddenly. Finally found the catch. Here is also my account status for november 8:   http://img258.imageshack.us/img258/9493/marketineficienciesej2.jpg   As you can see in the first red circle, before Globex shut down hour on Nov 7 , the discounted USDJPY futures was under USDJPY value. During this time, USDJPY moved down. Once the Globex started up, the discounted futures had to come towards USDJ

Evolution and principles of the Intercross Arbitrage

I. Evolution towards Intercross Arbitrage   1. Triangular Arbitrage ================   It is perhaps one of the most known arbitrage strategies learned in finance school. It consists in converting a given amount of cash in a currency thru some other currencies and back to original currency and getting profit, thus completing a currency ring transformation. It can be applied as an N-angular Arbitrage, when it has N currencies to deal with, but usually it's about three and this is why it's called

Drawing the line : First trading month

Well, a yield of 41% surely beats the hell of the Barclay's Hedge Fund Index   http://img222.imageshack.us/img222/4685/tradereportoct26ou2.jpg   This result was at a DiscountedBasis value of about 2 points. I have to mention that starting from morning of Oct 25, right after Globex respawn, the DiscountedBasis indicator, which was working at -5...-3 for about two weeks jumped around 0 and is averagely positive, meaning that the 6J future (direct quote) is slightly underpriced, compared with last

Be the house, not the player

Have you ever considered that a large amount of brokers work as online casinos trading against their clients and getting not only the spreads, but also their money? What makes them "play the house" in this game? Newbie traders greed and confidence? They know that the traders that make money are only the 10%, why not taking the money of the rest... Let's think for a moment: what kind of money management do you need to have in order to see the broker as a player, while you have the house? How to m

BcLib update - New powerful trading functions

This BcLib issue adds new trading functions: - ReliableModifyTakeProfit() and ReliableModifyStopLoss(), which attempt to place and repair the TP and SL levels , by moving them up or down (take profit, for buys and sells) , down or up (stop loss, for buys and sells) in order to avoid ERR_INVALID_STOPS, which is the only error handled by these functions. The fast functions ModifyTakeProfit() and ModifyStopLoss(), older, simply attempt to do this once without handling any error. - ReliableOrderPlac

BcLib update

Updates list:   > Swap2Interest_Volume function now supports swap type 1 also; > "Swap Functions" block renamed to "Financial Math"; > "Financial Math" block expanded to include functions for calculation or discount of currency futures; > GetCurrency() now works when market is closed too; > Added optimization types OPTIMIZE_SWAP_ONLY_VIRTUAL , OPTIMIZE_PRICE_ONLY_VIRTUAL to BcArb as possible parameter values for GetBestCross(); > Added variable bool SupportOneAtomCrosslists = f

BcLib update

Updates list: - Updated code for ReliableOrderSend(), ReliableOrderClose() as I wrote earlier in this blog; - Modified fast Order_**** functions to lookup history , after checking current trades ; added function Order_Pool to retrieve the place of an order: MODE_TRADES, MODE_HISTORY, or -1; - Replaced calls to ObjectsRedraw() with calls to WindowRedraw(). The RealTickValue() function remains in place as a proxy for getting tick values, although MetaQuotes corrected the MODE_TICKVALUE bug since b

BcLib further corrections needed

It seems when I inserted the MaxPasses parameter in ReliableOrderSend and ReliableOrderClose they became really broken. Last correction solves the issue, however there is still a bug:   Examining the corrected codes of the functions: copy from here and replace in BcLib.mq4!   int ReliableOrderSend(string symbol,int cmd,double volume,double price,int slippage,double stoploss,double takeprofit, string comment="",int magic=0,datetime expiration=0,color arrow_color=CLR_NONE,int MaxPasses=0) {

BcLib (and many others) update... discoveries, bugs and mistakes

Last week our fellow TradeLover from the forum (who is also a contestant in MetaQuotes Automated Trading Championship 2007 - let's give him an for that) made a shocking and very disturbing discovery: a tick is not quite a pip in forex (we even argued for that, but he was right - never take anything for granted)   Running a simple script like this:   int start() { Print("tick size= ",MarketInfo(Symbol(),MODE_TICKSIZE), " - tick value= ",MarketInfo(Symbol(),MODE_TICKVALUE)); return(0); }   what

Back in trading!

After weeks of making a long, costly and complicated SWIFT transfer , I finally managed to open account with WHC. (Tell you guys that do SWIFT, always wire to the final beneficiary bank, disregarding any info on the corresponding bank). With 10% of equity consumed during this madness , also caused by the fact WHC wasn't quite accepting EUR deposits, as stated on their IB's website, I was almost pissed off. However, their real datafeed is beyond my previous expectations : lots of forex (including

Arbitrage in commodities markets

The explosion of brokerage firms on the Internet leads to an ever increasing competition among them ; one of the ways to have a better offer than the competitors is offering more markets to the trader , broadening his trading horizons from the narrowness of random forex; and since we're talking about MetaTrader, the most easy to automate and yet free platform of this kind, this is done by non-NFA regulated brokers, since NFA forbids the implementation of other contracts as CFDs (futures , stocks

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