juangecko

Bog, here you have a link to WHC thread, of what I have seen you can send some money and try them out. http://www.forex-tsd.com/metatrader-broker...whc-broker.html Regards Juan

thxs Bog! I saw strange basis yesterday that is why asked you for it. You got it! At that time the CFD is closed you cannot trade it ( Open 2:00 ? close 1:00 +3GMT) but I see that the basis goes from + to - in trading hours. This is arbitrable. How have you constructed the discountedbasis indicator? thxs JB

Bog, could you post a chart with the basis (difference between CFD and spot) of 6J and USDJPY. I think it is very interesting to see how it moves ..1 month would be cool. I think in the last days the basis has come down considerably from 48pips to 38 pips. Could you do that for me..? Thxs

I think the fallacy is that you don?t know where the MA will go .. up or down. Why do I point out this. Well, when you construct the position MA (10) (for example 10 period MA) you either have to be long or short the MA..so do I enter long or short trades? If you go long MA and prices go down you will loose with MA... Also, buying and selling at the same price you are doing nothing..only wasting pips. Bog thanks for you thinking but it does not work.. Am i missing something?

Hi Bog and Andi, Bog, your strategy is running smoothly..i hope you will be able to wire out the money...Do some trades If understood the idea of the Bond Arb there is a problem if the yield spread of the highest yield bond increases against the lower yiled bond. So this startegy it is not risk free and if you are highly leveraged might "kill" your account. Best wishes Juan

Bog, can you explain in greater detail how you will profit in the unhedged Globex hour? Your idea is to arb spot and Cfd? Thxs Juan

Bog, Is it possible to arb during the unhedged hour when Globex is shut down or CFds are not traded at that time? The arb would be using spot and cfd..if the basis is hig ---> arb. Thanks in adavance Juan

Hi, You will not find a big broker offering spots and cfds with swap free accounts. All forex brokers have credit risk even if regulated...and us regulated fx brokers cannot offer cfds. So you end up with non us regulated fx brokers if you want cfds. If the broker is offering swap free accounts I would say is riskier that one not offering it, I would bet that most of swap free accounts are not fully hedged. Big brokers do not want this type of business they want to capture customers offering them lower risk structure and sell their reputation. So if you want higher return you will find more risk (most of the times)... If you want lower risk in this strategy use 2 accounts in two well known brokers...Look the NFA figures of each of them, customers, Net capital, etc. I ended up with CMSfx and FXCM. No one cannot guarentee they will not go bankrupt (ie REFCO). I know you have to rebalance both account... just my 2 cents... Juan

Hi guys, one way to create a synthetic currency Future is using swaps. You can also do it with put and calls. Let?s stick to swaps... If you look at this link http://www.saxobank.com/Default.aspx?id=1572 You will get the interests rates for EUR and USD. The swap charge or credit are based on the LIBOR/LIBID interest rates of the two traded currencies with an added a markup of +/- 0.25%. So if we adjust the rates given EUR LIBID:3.8%+0.25% USD LIBOR:5.2%-0.25% We recalculate 1.3862*(1+(4.95/100)/365*90)/(1+(4.05/100)/365*90)= 1.3892 So there is one pip difference... 1.3892 vs 1.3893 Enjoy Juan

Guys, Fed has lowered fed rates from 5.25% to 4.75% yesterday. So 1.3862*(1+(4.75/100)/365*90)/(1+(4/100)/365*90) = 1.3887 very near to the 1.3893, only 5 pips difference But remember that Central bank rates are a proxy of the real cost of building a synthetic future. I will post a comment on this later today.

Give me an example and I will see...

Bog, I do not understand well your question. Are you asking why futures have a discount or premium of spot? juan

Who?s IB of Velocity? Dave ?

Testing arb. I checked your idea. I think you are not doing a syntethic pair. I have done a excel where i show the arb from the column AZ, Row 2520. I do not know how to upload the excel. Ask me and I will send it. See what I have done. To build a syntethic pair you will need fine adjustment for lots...If you connect to skype I could explain what "I" think you are doing incorrectly. As you have USD in both pairs you will need to offset them and get only GBP and JPY . GBP JPY USD JPY GBP USD 50000 11614000 -100000 11533000 -49627.79156 100000 232.28 -232.38995 P&L 0.10995 The problem here is that you will need to invest 49,627 GBP to cancel out USD. So , the broker will accept you to invest 49,627 GBP?? If you look at the example below, if you do not have the exact number you can loose money. If you pick 50k , you loose money if you pick 49000 you earn very little money... In summary, ask Bogdan what I am saying he has been more doing this caculus... juan

Andi, be carefull where you put your money. May be you find the best arbitrage opportunities in the worst creditfull brokers. Take your time and research them thoroughly... check if they are regulated, opinion from users at forexbastards,etc. have a nice day

Yes, we can share ideas. If you Andy have time to code would be great because I am not a coder...I know a little bit about VBA. Bog what strategy do you think is the most suitable to pursuit?

Andi, How much money are you doing in the FXDD and Crwonforex arb? or let?s say what margin you need in both account to reach your P&L? This is not my blog, it is from The economist (his name is Bogdan). I like to get in touch with value added people like you and Bog. I have an account at Intercative brokers and would like to know if you know how to code with the TWS from IB. I have an idea.. My email is emarco@fibertel.com.ar, I am from Argentina. Please email me .. Juan

Now you are on my wavelength. The next is - there are some brokers out there (especially in switzerland) who have WYCIWYG feature. I have tried one of them recently and its sure, I always get the price I clicked on. Maybe we should consider using such a feature. Andi Hi Andi, What?s the WYCIWYG feature? Do you know how to code Apis for intercative brokers? Have you tried to arb between different brokers GBP/JPY in real trading? Regards Juan

I would add something Bog, the swap rates during a year may easily change. Central banks policies can change as a snap of a finger. So if swap rates change during the year , the swap hedge can increase or decrease its pay out..the only way this is to jump to another "butterfly"..and that costs i terms of return. In summary, you may or may not get 100% return, it depends how stable interest rates are during that period. Anyway, I like this strategy but as Bog said it depends how muh money you put at work...is not the same putting 500usd than 5000USD...

Ok. So the column "swap" in the picture is the accumulated swap since you entered (ithought it was the payment for each day). So you are making 1.59 USD a day, so you need 37 days to cover the costs of the swap. Btw, in what broker have you found this? Best regards Juan

I don?t get it... why you calculated this: Daily swap : 9.43 - 7.84 = 1.59 meaning about 0.318% of the original $500 account equity The calculation of how many calendaristic days (not working days) remain to the full absorbtion of the spread is around 8 usd per calendar day...so with 6 days you cover the costs of spreads (in and out). Costs 23USD x 2= 46USD. If you make 8 usd per day average due to swap interest, in 6 days you will have cover the costs.

Bog, if I understood well, you want to profit from the paying interests from the swaps keeping a hedged position. If swap paying increases is good to stay in the position...why are you calculating the differences in the interests paid by the swaps each day? What is the reason calculating 1.59?? Daily swap : 9.43 - 7.84 = 1.59 meaning about 0.318% of the original $500 account equity

Great post as always! Well I have been looking at futures (not CFDS) of WTI in Nymex (CL) and in ICE (EN) in one minute timeframe with bloomberg data. Sreads are from 1 to 3 cents in normal conditions in both contracts. I have seen diffrences as high as 15 cents (or more but might happen in high volitle events...as DOE and API releases) between CL and EN. I think with 2 cents per pair cost can give you 100USD to 50 USD if they align the diffrence - cero diff (or more if you wait for the next arb). I will post some pictures of the distribution and differences in the next post..gotta go now..