Discussion of article "Triangular arbitrage" - page 4

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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.

 

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").
 
How do I increase the volume? With 1000 usd deposit it cannot be more than 0.2 lots per test.
 
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.
 
Elmer013 #:
Эй, спасибо, что поделились этим с сообществом. Что может быть интересно, так это воссоздать эту стратегию, но с криптопарами, между разными брокерами/биржами. Поскольку могут быть более высокие различия от брокера к брокеру.

Everything is right. That's how it works, between different exchanges.

 
I tried a demo account but didn't make a single trade. while for the backtest the results are very bad. can anyone help.
 
Alexey Oreshkin #:

Everything is right. That's how it works, between different exchanges.

it not clear which include file does: 

#property tester_file FILENAME

belongs. There are several errors, when compiling the code.

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