Discussion of article "Triangular arbitrage" - page 13

[Renat Akhtyamov]

Suppose lots are the same, then there are five deals for 10 days, with the guarantee not to lose the planned profit (total about 8 points for 10 days) on the floating spread at the opening of the triangle:

In general, for the thrill seeker it's all.......

[Zeke Yaeger]

Thank you to share this!

[eulerv]

Cool code bro!

For me it works well in Tester, but not in real acc. I've tried print log messenges in loops of fnCalcDelta. It's weird, kind of tick bid/ask values never reach spread in real. You know something about it?

I'm with 1.2~2.0 ms ping.

Btw, I'm trying to include new formula, besides formula AB = AC*CB : "AB = CB/CA = AC/BC". With this, would be possible to use the new pairs of Criptocurrencies, that have a big volatility, so more chances to have arbitrage opportunities.

Thanks again for share this nice code.

[Alexey Oreshkin]

eulerv:

Cool code bro!

For me it works well in Tester, but not in real acc. I've tried print log messenges in loops of fnCalcDelta. It's weird, kind of tick bid/ask values never reach spread in real. You know something about it?

I'm with 1.2~2.0 ms ping.

Btw, I'm trying to include new formula, besides formula AB = AC*CB : "AB = CB/CA = AC/BC". With this, would be possible to use the new pairs of Criptocurrencies, that have a big volatility, so more chances to have arbitrage opportunities.

Thanks again for share this nice code.

I haven't used this strategy for a long time and I can't tell you anything from its code.

[Yu Zhang]

I think we can intuitively see if triangle arbitrage is suitable for your broker by customizing the symbol.  ， eg:  ask("EURUSD")- ask("EURGBP") * ask("GBPUSD").

You can compare it to spread point,  slippage.  Very few have a profit chance, but it may be news driven.  

[Svoki]

How do I increase the volume? With 1000 usd deposit it cannot be more than 0.2 lots per test.

[Fabio Rocha]

Hello, congratulations on the EA, but I realised that on the demo account it doesn't open orders, I left it for more than a week and it didn't open any orders, is there anything I can do to solve this?

[Alexey Oreshkin]

Fabio Rocha #:
Hello, congratulations on the EA, but I realised that on the demo account it doesn't open orders, I left it for more than a week and it didn't open any orders, is there anything I can do to solve this?

Good afternoon. The EA code is open, you need to look at it. I no longer use this strategy.

[Ivan Klochkov]

Alexey Viktorov #:

Please explain to me

Everything seems to make sense, but

1. Buy EURUSD. We have an open position...

3. And we have to sell dollars. To sell dollars in GBPUSD, we need to buy this pair. We have a second position.

4. We need to buy euros and sell the pound, which we don't need. We buy EURGBP. And the third position.

In order to close all these positions, what should be taken into account to benefit from this witchcraft?

Consider the following:

The first two transactions of the "triangular arbitrage" scenario must be transformed into the antipode of the third one, and the third one must close its antipode. Otherwise, the idea is dead. This doesn't work in MT4 or 5, because we are essentially betting on currency pairs, but we don't get power over individual currencies. In other words, for example, #1 long EURUSD and #2 short EURJPY with the same amounts will not turn into a short USDJPY, even though the second transaction is supposedly selling the same amount of Euros as the first one bought. Adding #3 long USDJPY with a correctly calculated amount will also do nothing, all three will hedge each other with negative initial values of unrealised profit/loss (in other words, they behave independently of each other).

Hedge funds and other trading firms, however, are able to execute this strategy on the interbank FX market; all because they, unlike us (retail FX traders on MT4/5) have the ability to buy and sell individual currencies, rather than betting on pairs. At the same time, they have a fraction of a second to implement, and there the competition is very tough; the first one to do it is the best.

In MT4/5 this is impossible, even though the price skews that could be used (if it worked!!!!...) last for seconds. (Because of broker hunting for client stop-losses, not because of Interbank).

Enough with the empty talk. Discussion on this strategy is useless, there is no need to create any MQL-macros. Let's go, we have been deceived.

Post scriptum: I forgot to add, if some broker provides you with a multi-currency trading terminal, the idea may work. For example, you have American dollars (USD) in your account; open a EURUSD long and the balance is now displayed not only in dollars, but also in euros, since you bought them.

This is not in MT.

[[Deleted]]

Hey, thank you for sharing this with the community. What might be interesting, is to recreate this strategy, but with crypto pairs, between different brokers/exchanges. As there might be higher differences from broker to broker.