Spread trading in Meta Trader - page 174

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I remember last Wednesday we had a nice play on US inventory news here - triple spread of fuel oil vs (oil+gasoline)

Today's news release is at 18:30 Moscow time. From the RBC.ru feed comment:

"Market expectations for the next round of oil and petroleum product inventories were also unfavourable. The consensus was that US oil inventories had grown by 2mmbbl during the week ended 11 February, gasoline inventories had grown by 1.85mmbbl, and only distillate inventories were down 400kbbl.
 Worries over large US crude inventories (which rose for the fourth straight week to 345.1m barrels in the week ended February 4) have kept WTI prices well below Brent prices. "Our stockpiles are overflowing with oil," said Citi Futures Perspective energy market analyst Tim Evans. - "We are in the middle of a seasonal uptrend in oil stocks, which typically does not end until May.
Meanwhile, the American Petroleum Institute (API) data released the day before after the close of trading showed a 354,000 barrel reduction in 'black gold' inventories in the United States. In Cushing, which is a delivery point for oil traded at NYMEX, stocks, according to API, increased by 250,000 barrels, while in Cushing, which is a delivery point for oil traded at NYMEX, stocks increased by 250,000 barrels, according to API. Gasoline was up 1.2 mb last week, while distillates were down 1.2 mb. "

Based on the commentary, we can see - that the "consensus analysts'" forecast and the API Oil Institute's forecast - by and large converge in some respects.

And it looks like, again this time before the news, there is a reason to stand up fuel oil (two sizes) against oil and petrol.

I.e. BUY HOH1 & (SELL XRBH1 + SELL CLH1)=2^1^1

Well, we'll see there - closer to 18:30 Moscow time, but in the meantime we wait - with...

 

Well, as a matter of fact, it did. As I expected (modestly speaking). Just a few seconds after the news release - the Expert Advisor closed the spread positions at a specified total profit. I set the closing profit = +$50.0

I should note that with a large slippage to the worse... Either it's the ticker asc-bid widened so much. Or maybe I set the triple trawl too small.

But almost half of the profit was lost. There you go:

The data came out like this:

18:30:00 *Energy Department: US Distillate Stocks -3.096 million barrels to 161.27 million barrels
18:30:00 *Energy Department: US Gasoline Stocks +0.205 million barrels to 241.096 million barrels
18:30:00 *Energy Department: US refinery utilisation 81.2% vs 84.7% a week earlier
18:29:59 *Energy Department: US crude stocks +0.86 million barrels to 345.917 million barrels

 
A resource on the topic.
 
hrenfx:
A resource on the topic.

not russki ))
 

BUY EURGBP & (SELL 6EH1 + SELL DXH1) = 0.05^0.1^0.2
составит примерно 20-25 $ - ширина канала линии спреда.

If it's not difficult, a topical question. How do you measure the channel width in dollars? If the instruments are European indices, then how do you measure? Wasn't there any desire to build in auto-detection of currency and conversion to dollars, it seems someone in this thread laid out a compact code.

 

If I understand the question correctly - it is very simple.

The spread indicator scale on the right - is already set in dollars

(when EquityScale = true; // Show Equity Scale).

We set the required size of positions in the Properties of the spread indicator.

Move the mouse pointer to the upper border of the channel. A window with a number will pop up.

Then - to the lower border of the channel. Again, a small window will show the value.

Subtract the lower value from the upper one. This will be the width of the channel in dollars.

For ER2-YM=0.1^0.2 - in the picture, the channel width is approximately 35-40 dollars.

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For the European indices from the same trading floor - pretty much the same.

But for European indexes eurex - euronext - it is necessary to correct the obtained value manually. In this case spread is often drawn very incorrectly...

Of course it would be nice to insert such an automatic correction in the index. Unfortunately, I am not a professional programmer and my knowledge is not enough.

 

Speaking of indices. Based on multi-year seasonal trends on the Sp500-Nasdaq spread, it looks like there is a case for working to sell only from Monday:

 

Если я правильно понял вопрос....

Yes, that's right. I suspected that these are the values in dollars, but I wanted to be sure. As for the Europlatforms, I understand that the index values are in Euros. Apparently you need to multiply the index values accordingly by the current value of the euro or pound or whatever, looking at the specifications, e.g. broccoli.

 

As one who once served in the army, I join in congratulating the neighbouring threads on Defender of the Motherland Day.

(Exactly Motherland, but alas, not most of its representatives in government)

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A small present. In my opinion, there is a promising triple "quasi-arbitrage" entry. Up from the lower limit of the triple spread line channel.

BUY RPH1 ( or EURGBP) & (sell 6EH1 + sell DXH1) = 0.05 ^ 0.1 ^ 0.2
Let's control the situation and wait for the price lines(blue and purple) to converge...

(I should add that yesterday's analytical evening "top down" was closed at a good profit - this can be clearly seen on the spread indicator chart! - report http://www.procapital.ru/showpost.php?p=938820&postcount=1336 )

Estimated total profit with the above position sizes = $45-50 (spread channel width)


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