Triangular Arbitrage - page 4
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Hi All,
I just posted an FPI ea at Nicholishen thread about FPI - Price Predictive at
https://www.mql5.com/en/forum/176246
But I think I can post it here too.
Have fun
Cheers,
Fractional Product Inefficiency
kreslik.com - Traders Community :: View topic - FPI - Fractional Product Inefficiency: The Impeccable Hedge
I'm wonder if anyone is able to apply this on forex brokers...with consistency. Some ppl have done it only to be banned from the broker.
So, would applying FPI on MBTrading or Interactive Brokers be more viable? I hear the commissions eat up your profits from the triangular arbitrage.
Why forex is much more attractive than futures is the extremely high leverage one can use to magnify the small pip gains from FPI. Also, your position is hedge automatically, there is no risk of losing money here.
So the hard part of all this is finding the right broker(aka victim).
kreslik.com - Traders Community :: View topic - FPI - Fractional Product Inefficiency: The Impeccable Hedge
I'm wonder if anyone is able to apply this on forex brokers...with consistency. Some ppl have done it only to be banned from the broker.
So, would applying FPI on MBTrading or Interactive Brokers be more viable? I hear the commissions eat up your profits from the triangular arbitrage.
Why forex is much more attractive than futures is the extremely high leverage one can use to magnify the small pip gains from FPI. Also, your position is hedge automatically, there is no risk of losing money here.
So the hard part of all this is finding the right broker(aka victim).It's not feasable with your typical MT broker, nor are the 'in-efficiencies' in price your typical MT broker would show reliable, as these prices are buffered, not true market prices, and some allegedly run smoothing algorithms which would filter true in-efficiencies even more...
Kreslik is the 'cutting-edge' on this as far as I'm aware - he's was working on s/w to implement this for some hedge fund.
It's not feasable with your typical MT broker, nor are the 'in-efficiencies' in price your typical MT broker would show reliable, as these prices are buffered, not true market prices, and some allegedly run smoothing algorithms which would filter true in-efficiencies even more... Kreslik is the 'cutting-edge' on this as far as I'm aware - he's was working on s/w to implement this for some hedge fund.
yes i suspected that as well. i use MT4 mostly for just testing out ideas, NEVER for going live.
So my question is, are there any other non-mt4 brokers out there that allows me to exploit FPI ? Oanda? MBT ? IB ? which ones work?
yes i suspected that as well. i use MT4 mostly for just testing out ideas, NEVER for going live. So my question is, are there any other non-mt4 brokers out there that allows me to exploit FPI ? Oanda? MBT ? IB ? which ones work?
Can't comment on the others but InteractiveBrokers have no restriction on this type of trading that I am aware of, neither is 'size' a problem - their commisions pricing lists billions in currency traded per day! Much less leverage available though.
To implement something like this would cost serious money I would expect. IB's TWS has no 'user-friendly' MT programming features - everything must be coded from scratch. If you have read up on Kresliks exploits, you will know that this is non-trivial to do at best and I'd rate that guy a genius!
btw Smartquant is about the best IB compatible s/w for this kind of 'blackbox' construction. Might be worth looking into.
Triangular Arbitrage
If I long 5 lot of eur/usd, long 5 lots of usd/jpy &
short 5 lot of eur/jpy, the net P/L DOES NOT
revert to some mean value ...instead it widens to
either more positive or negative.
i.e it is Not zero exposure even though the mulitplication
looks like.
Is there a table somewhere that shows the ratios to create an exact equivalent hedge between majors and crosses?
e.g. eur/usd x usd/chf = ? eur/chf
gbp/usd x usd/jpy = ? gbp/jpy
eur/usd / gbp/usd = ? eur/gbp
...etc
kreslik.com - Traders Community :: View topic - FPI - Fractional Product Inefficiency: The Impeccable Hedge
I'm wonder if anyone is able to apply this on forex brokers...with consistency. Some ppl have done it only to be banned from the broker.
So, would applying FPI on MBTrading or Interactive Brokers be more viable? I hear the commissions eat up your profits from the triangular arbitrage.
Why forex is much more attractive than futures is the extremely high leverage one can use to magnify the small pip gains from FPI. Also, your position is hedge automatically, there is no risk of losing money here.
So the hard part of all this is finding the right broker(aka victim).Hi jjk2,
I just merged your thread with this one (with 6 days redirection) because this subject was discussed already on this thread with same link to kreslik forum.
Besides we are having the following related threads:
- Codersguru thread with indicator is here.
- (FPI) predictive price by Nicholishen: good thread with new indicators to predict the price movement.
What indicator is that?
You can find more explanations : kreslik.com - Traders Community :: View topic - FPI - Fractional Product Inefficiency: The Impeccable Hedge
in my case, Kreslik was the guy who brought this topic in my attention.
but basically:
triangle arbitrage is possible when for example:
EURJPY EURUSD*USDJPY (which 99% of the time is true)
now if you will build and indicator showing the difference:
EURJPY - EURUSD*USDJPY
You will see that oscillates around value 0. theoretically every time this difference is 0 you have an arbitrage opportunity:
if indicator >0 according to triangle arb. theory means that EUR is overvalued against JPY and you need to sell EURJPY (buy JPY with EUR)
if indicator<0 the opposite is true and you need to buy EUR with JPY.
practically that is what it looks like:
Included in calc. spread of EURUSD,USDJPY, EURJPY = 2pip.
(sorry it seems impossible to upload pics quickly , need to resize)Could you tell me what indicator are you using to display tha graph? Is it for MT4? Could you post it
Thanks
safe arbitrage on interest rates
Hi,
If you guys are really interested in making safe, fully hedged arbitrage investments you should check out Safe FX We make our money off of the interest rate gap not from trading and everything is fully hedged so you don't get killed when the carry trade collapses. We can make about 5% a month this way with interest rates where they are and it's safe.
Foerx Triangular Arbitrage Calculator with MT4 Connectivity Download
Here is a new arb calc that grabs streaming quotes from MT4
RGMorrisNet Ultimate MT4 Client | Google Groups