Has anyone withdrawn money from a broker using arbitrage strategies? - page 4

[Stanislav Aksenov]

Here's some story about high-frequency trading...

http://www.forbes.ru/finansy/rynki/285247-skorost-deneg-kak-bankiry-s-uoll-strit-posadili-programmista-iz-rossii

Didn't understand anything, really...

[Maxim Romanov]

Dmitiry Ananiev:

Let's start with why this kind of arbitrage is possible... Because DTs cheat with quotes, filtering them so that smart guys like me don't make money on the flat. Hence, there is a time lag, which arbitrageurs use. It turns out that for every cunning nut there is a bolt with a left-hand thread. And then, when brokerage companies get fucked either from the front or from behind, the hysterics begin - how could you make a profit on our own filters?

The other question worries me even more. If there is a time lag in the terminal, it should have been removed since the days of MT3. It is written in any contract that the trader only trades at the prices he sees in the terminal. The trader does so. And where he looks? At muwings or at futures - that's his business. Why does not the broker sue the software producer for a low-quality exchange product that is sold for a very decent price?

Do brokers disable automatic trading ? No problem! Let's use WINAPI to simulate mouse and keyboard clicks. Once again, you are a hacker. Once you trade on the plus side, you're already a hacker!!!!!!

Actually, every 2nd office has been punished by arbitrage in one way or another. At least by $100. I did not make much use of arbitrage. But I did penalise 5 or 6 firms.

So, did you withdraw the money you earned and how much of your profit was withdrawn?

[Ivan Vorontsov]

Vasily Pererva:

Вопрос в заголовке. Хотелось бы понять, реально ли заработать на арбитражных стратегиях, основанных на открытие сделок от быстрого брокера против медленного?

Гипотезы не интересны, интересно мнение людей которые работали на реале. 

There is. But now it has become much more difficult.

[[Deleted]]

There are no time delays now. In a fast market if the price in the kitchen encounters a more or less large limit order, the kitchen waits until the TRUE price passes as far as possible against that order (0.5-3 seconds) in order to take the owner of the order.., And if you want to make such an arbitrage with a Market, the kitchen will fill you after the same 0.5-3 seconds, but at the TRUE price, and the slippage will be added, explaining that "while the order was moving the price has changed". In my experience I have collected tick data from some brokerage companies and wrote a simple arbitrage tester with it. I have suffered a couple of days and gave up.

Maybe there are still some old-fashioned kitchens, where arbitrage works the old-fashioned way and which don't have special tools allowing to bombard traders with slippages - I don't know.

[Renat Akhtyamov]

Ром:

There are no time delays now. In a fast market if the price in the kitchen encounters a more or less large limit order, the kitchen waits until the TRUE price passes as far as possible against that order (0.5-3 seconds) in order to take the owner of the order.., And if you want to make such an arbitrage with a Market, the kitchen will fill you after the same 0.5-3 seconds, but at TRUE price, and the slippage will be added, explaining that "while the order was moving the price has changed". In my experience I have collected tick data from some brokerage companies and wrote a simple arbitrage tester with it. I have suffered a couple of days and gave up.

Maybe there are still some old-fashioned kitchens, where arbitrage works the old-fashioned way and which don't have special tools allowing to bombard traders with slippages - I don't know.

+

[Ivan Vorontsov]

Ром:

There are no time delays now. In a fast market if the price in the kitchen encounters a more or less large limit order, the kitchen waits until the TRUE price passes as far as possible against that order (0.5-3 seconds) in order to take the owner of the order.., And if you want to make such an arbitrage with a Market, the kitchen will fill you after the same 0.5-3 seconds, but at the TRUE price, and the slippage will be added, explaining that "while the order was moving the price has changed". In my experience I have collected tick data from some brokerage companies and wrote a simple arbitrage tester with it. I have suffered a couple of days and gave up.

Maybe there are still some old-fashioned kitchens, where arbitrage works the old-fashioned way and which don't have special tools allowing to bombard traders with slippages - I don't know.

Please do not make this up) Lags are not going anywhere, they just became a bit less, and anti arbitrage plugins are smarter. Another thing is that brokers are paranoid. They now consider any HFT trading as arbitrage and withhold profits. In a word: "kitchen".
I also collected tick data, delays sometimes reaches 500 ms at some brokers. That's more than enough to get in. But what's the point if they don't pay out? )

[[Deleted]]

Ivan Vorontsov:
Please don't make this up). The delays are not going anywhere, there are just a little less of them and the anti arbitrage plugins are smarter. Another thing is that brokers are paranoid. They now consider any HFT trading as arbitrage and withhold profits. In a word: "kitchen".
I also collected tick data, delays sometimes reach 500 ms at some brokers. That's more than enough to get in. But what's the point if they don't pay out? )

There are arbitrage discrepancies - and some kitchens are full of them, but they are not related to time delays in quotes ( in the sense that some DC quotes with a lag in time) but are related to what I described above.

[Ivan Vorontsov]

You can theorise as much as you like, but I've done it. It works. But execution is important, that's true. New accounts usually have the best execution.
Here's a comparison of ticks, if anyone is interested. You can see for yourself the gaps.

[[Deleted]]

Ivan Vorontsov:
You can theorise as much as you like, but I've been doing it. It works. But execution is important, that's right. New accounts usually have the best execution.
Here's a comparison of ticks, if anyone is interested. You can see for yourself the gaps.

(Those graphs are hard to make)) - Were they made in excel? In metatrader is much easier, faster, more convenient and practical

Here's my green and yellow one - two DTs ascbids, the red one is arbitrage delta.

[Ivan Vorontsov]

Ром:

(Those graphs are hard to make)) - Were they made in excel? In metatrader is much easier, faster, more convenient and practical

here's my green and yellow one - ascbids of two DTs, red at the bottom - arbitrage delta

It's a long story how it's done. In a nutshell, my backend + api of this service.