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Creating and testing arbitrage strategies - page 2

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pronych:

Also trading arbitrage on forts. MT5 robot on the way.

If it is not a secret, how and what do you trade? How much progress have you made? Because this opportunity has only recently appeared on MT5.
IRash:
In two months ((.
Well, that's just it.

I tried to put such a strategy in the indicator WPR[i] = (iClose("EURJPY",PERIOD_M1,i) - WPRPos * iClose("USDJPY",PERIOD_M1,i)) where WPRPos is rounded to the third digit of EURUSD. Basically these are the components of a currency trnugolgic, and in the figure the spread fluctuates


Young:

I tried to put such a strategy into the indicator WPR[i] = (iClose("EURJPY",PERIOD_M1,i) - WPRPos * iClose("USDJPY",PERIOD_M1,i)) where WPRPos is rounded to the third digit of EURUSD. Basically these are the components of a currency trnugolgic, and in the figure the spread fluctuates

in what units are the fluctuations graded? what are the tugriks these +60/-60 ?
Young:

I tried to put such a strategy in the indicator WPR[i] = (iClose("EURJPY",PERIOD_M1,i) - WPRPos * iClose("USDJPY",PERIOD_M1,i)) where WPRPos is rounded to the third digit of EURUSD. Basically these are the components of a currency trnugolgic, and in the figure the spread fluctuates


This is also possible, but the subject of arbitrage is much wider and deeper.
MetaDriver:
What units are the fluctuations graded in? What are these Tugriks +60/-60?

I took the Vinin indicators, made some adjustments, looked into the code - they seem to get points from her.


yellow line is the result of rounding EURUSD

Young:
I' m sorry to say - I took some of Vinin's indicators, made some adjustments, looked at the code - they seem to get points from her.

I can hardly believe it.

Put division instead of subtraction. everything will become clear at once, and there will be no questions about units.

Young:

the yellow line is the result of EURUSD rounding

and what is this rounding for? is it tradable at all? how will you monetise it?
MetaDriver:
And why the rounding? is it tradable at all? how will you monetize it?
Take 10 lots of EURJPY going long and 13.51 lots of USDJPY going short and look at the spread, correct the number of USDJPY lots according to the current EURUSD exchange rate (if you hit the iceberg of reality - no offence)

Of course, the EA does not have the full functionality, but it will do for testing. The main problem is the liquidity of our markets. In the Expert Advisor, each order is closed by the market and this partially solves the problem of slippage. If we want to play it the grown-up way, we need a system of entries/exits:

-In/Out queue for each symbol;

-Limit orders setting;

-partial overlap on partial entry of another leg;

-partial overlap with the other leg in the presence of a clear trend of the first leg.

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