Discussion of article "Triangular arbitrage" - page 4

Alexey Oreshkin
7326
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
9152
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.  

ask("EURUSD")- ask("EURGBP") * ask("GBPUSD").
Svoki
31
Svoki  
How do I increase the volume? With 1000 usd deposit it cannot be more than 0.2 lots per test.