Discussion of article "Triangular arbitrage" - page 2

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Interesting article. 5+

 
Ramiz Mavludov:

Interesting article. 5+

Where can I download a ready-made robot working on this strategy?
 
Alexey Oreshkin:
It is a difficult question. If we compare tests from different brokers, the results are different, and if we compare with real trades, there is nothing in common with the tester.
Maybe because the volumes are incorrectly counted in the triangle?
 
fxsaber:

This is possible only in cases when the real spread on some symbol is negative. But then no triple is needed. It is enough to open and buy this symbol for profit. Therefore, we can safely say that triangular arbitrage with simultaneous buying and selling never happens.


A few questions

  • Is the condition for closing the triangle the opposite arbitrage?
  • Why are we limited to triples?
  • How is the calculation of opening volumes for each symbol of the triple?
ZЫ It turns out that eight years already the topic of ready realisations of arbitrage on MT...

Cross rates are a direct relation of majors, no triangular arbitrage exists in nature. Of course, it's a tempting idea to trade risk-free, but not on quote bugs :)
 
Maxim Dmitrievsky:
Cross-courses are a direct relation of the majors

It isn't. I put a limiter inside the spread of the "direct relation of majors" and the cross rate changes...

 
fxsaber:

It doesn't. I put the limiters inside the spread of the "direct relation of majors" and the cross rate changes....


in forex, limiters work like market orders, with slippages. when applied to stock exchange instruments - perhaps
 
Maxim Dmitrievsky:
in forex, limiters work like market orders, with slippage. in application to exchange instruments - maybe

hello )

 
Комбинатор:

Hi.)


and you didn't know? :) tested in practice

I dabble in arbitrage, limits are sliding everywhere.

ECN-STP technology, limits are executed at the supplier as market orders. If you take DDE execution, it is possible, but there will be its own stones like requotes.

 
Комбинатор:
Could it be because the volumes aren't counted correctly in the triangle?

This is the current moment. Let's do the math: Buy EUROBAX 1 lot and sell the other two pairs.
Buy and sell should be the same. I think this point is not controversial, i.e. EURUSD 1 lot BUY and EURGBP 1 lot SELL. At the output we have no euro. it remains to adjust USD and GBP.
Let's look at EURGBP - we sold 100000€ and bought 90204 pounds, and it is from them we need to get rid of now, that is we sell 0.90 GBPUSD. As I wrote earlier, the volume of the third pair is the quote of the second pair. But it works if the triangles are made according to the rule as it is written in the article. No matter how we make them, the result will still be the same, just this arrangement allows us to remove unnecessary calculations.
As a result, we still have a directed position for 204 pounds - we can't get rid of it, or we need to increase trading volumes.
What other variants of calculating volumes in a triangle can be?

 
maximgergel:
Where can I download a ready-made robot working on this strategy?

The code is attached to the article.
One nuance - the robot should be run on a hedge account. For netting it will be necessary to add position accounting on your own.


Maxim Dmitrievsky:
no triangular arbitrage exists in nature.

This is a wild misconception. We can talk about efficiency in different markets, yes, but it is wrong to say that it does not exist.
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