Arbitrage - page 12

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Reshetov:
SK. wrote (a):

The course of order opening has nothing to do with trading, nor does trading history.
It does not matter where exactly the order is opened.


Vita:

When testing with the naked eye, you can see that dozens or even hundreds of trades are made relative to the manually entered beginPrice. Above this price the EA sells, below it buys.
The dogs bark, the caravan moves (from the Eastern wisdom)

This price = 117.30
Japanese Yen, Hourly since 19.07.2006.
Closing orders have been removed for the sake of clarity.

1 2006.07.19 12:00 sell 1 0.10 117.6400 0.0000 0. 0000 10000. 00
2 2006.07.19 15:00 sell 2 0.10 117.8400 0.0000 0. 0000 0. 00 10000. 00
5 2006.07.19 19 19:00 buy 3 0.20 116.7100 0.0000 0. 0000 0. 0000 10108. 45
6 2006.07.21 10:00 buy 4 0.20 116.3200 0.0000 0. 0000 0. 00 10108. 45
7 2006.07.21 11:00 buy 5 0.10 115.9700 0.0000 0. 0000 0. 00 10108. 45
10 2006.07.24 04:00 buy 6 0.10 116.3200 0.0000 0. 0000 0. 0000 10187. 34
13 2006.07.25 18:00 buy 7 0.10 116.7100 0.0000 0. 0000 0. 0000 0. 00 10294. 00
14 2006.07.26 20:00 buy 8 0.10 116.6800 0.0000 0. 0000 0. 00 10294. 00
15 2006.07.26 21:00 buy 9 0.20 116.3100 0.0000 0. 0000 0. 00 10294. 00
17 2006.08.14 13:00 buy 10 0.10 116.3100 0.0000 0. 0000 0. 00 10344. 70
21 2006.08.28 10:00 buy 11 0.10 117.0700 0.0000 0. 0000 0. 00 10620. 59
22 2006.08.29 07:00 buy 12 0.10 116.7800 0.0000 0. 0000 0. 00 10620. 59
23 2006.08.29 21:00 buy 13 0.10 116.5600 0.0000 0. 0000 0. 00 10620. 59
27 2006.08.31 15:00 buy 14 0.10 117.0300 0.0000 0. 0000 0. 00 10724. 20
29 2006.09.04 00:00 buy 15 0.10 116.9800 0.0000 0. 0000 0. 00 10750. 62
30 2006.09.04 04 00:00 buy 16 0.10 116.7100 0.0000 0. 0000 0. 0000 0. 00 10750. 62
31 2006.09.04 07:00 buy 17 0.10 116.4600 0.0000 0. 0000 0. 00 10750. 62
33 2006.09.07 01:00 buy 18 0.10 116.5900 0.0000 0. 0000 0. 00 10787. 39
35 2006.09.07 11:00 buy 19 0.10 116.5500 0.0000 0. 0000 0. 00 10816. 47
39 2006.09.11 17:00 sell 20 0.10 117.7100 0.0000 0. 0000 0. 00 10930. 28
40 2006.09.12 18:00 sell 21 0.10 117.8300 0.0000 0. 0000 0. 00 10930. 28
42 2006.09.15 19:00 sell 22 0.10 117.9600 0.0000 0. 0000 0. 00 10959. 51
44 2006.09.18 02:00 sell 23 0.20 118.0400 0.0000 0. 0000 0. 00 10997. 25
46 2006.09.19 10:00 sell 24 0.10 118.0400 0.0000 0. 0000 0. 00 11024. 73
49 2006.09.19 18:00 sell 25 0.10 117.5800 0.0000 0. 0000 0. 00 11125. 48
51 2006.09.21 13:00 buy 26 0.20 116.8300 0.0000 0. 0000 0. 00 11163. 34
52 2006.09.21 19:00 buy 27 0.10 116.5700 0.0000 0. 0000 0. 00 11163. 34
53 2006.09.21 22:00 buy 28 0.10 116.3200 0.0000 0. 0000 0. 00 11163. 34
55 2006.09.25 07:00 buy 29 0.10 116.3500 0.0000 0. 0000 0. 00 11191. 60
57 2006.09.26 04:00 buy 30 0.10 116.3600 0.0000 0. 0000 0. 00 11217. 32
61 2006.09.26 19:00 buy 31 0.10 116.8300 0.0000 0. 0000 0. 001160. 72
63 2006.09.28 08:00 sell 32 0.10 117.5600 0.0000 0. 0000 0. 00 11409. 26
64 2006.09.28 17:00 sell 33 0.10 117.8400 0.0000 0. 0000 0. 00 11409. 26
65 2006.09.29 10:00 sell 34 0.10 118.0300 0.0000 0. 0000 0. 00 11409. 26
68 2006.10.03 17:00 sell 35 0.10 117.8800 0.0000 0. 0000 0. 00 11458. 87
69 2006.10.04 01:00 sell 36 0.10 118.0800 0.0000 0. 0000 0. 00 11458. 87
71 2006.10.06 06:00 sell 37 0.10 118.0600 0.0000 0. 0000 0. 00 11487. 77
75 2006.10.31 01:00 sell 38 0.10 117.6100 0.0000 0. 0000 0. 00 11480. 48
76 2006.10.31 12:00 sell 39 0.10 118.0100 0.0000 0. 0000 0. 00 11480. 48
79 2006.10.31 19:00 buy 40 0.20 116.7400 0.0000 0. 0000 0. 00 11617. 21
81 2006.11.01 09:00 buy 41 0.10 116.7400 0.0000 0. 0000 0. 00 11648. 37
83 2006.11.02 11:00 buy 42 0.20 116.8200 0.0000 0. 0000 0. 00 00 11703. 74
85 2006.11.02 18:00 buy 43 0.10 116.8200 0.0000 0. 0000 0. 00 11728. 50
87 2006.11.03 16:00 sell 44 0.20 117.9200 0.0000 0. 0000 0. 00 11842. 34
88 2006.11.03 17:00 sell 45 0.10 118.0500 0.0000 0. 0000 0. 00 11842. 34
89 2006.11.06 11:00 sell 46 0.10 118.3300 0.0000 0. 0000 0. 00 11842. 34
93 2006.11.07 16:00 sell 47 0.10 117.9200 0.0000 0. 0000 0. 00 11956. 86
94 2006.11.08 16:00 sell 48 0.10 117.9100 0.0000 0. 0000 0. 00 11956. 86
95 2006.11.09 13:00 sell 49 0.10 118.0900 0.0000 0. 0000 0. 00 11956. 86
99 2006.11.13 11:00 sell 50 0.20 117.8300 0.0000 0. 0000 0. 00 12065. 40
100 2006.11.13 17:00 sell 51 0.10 118.0900 0.0000 0. 0000 0. 00 12065. 40
103 2006.11.14 09:00 sell 52 0.10 117.8300 0.0000 0. 0000 0. 00 12123. 79
104 2006.11.14 11:00 sell 53 0.10 117.8100 0.0000 0. 0000 0. 00 12123. 79
106 2006.11.15 08:00 sell 54 0.10 117.8800 0.0000 0. 0000 0. 00 12159. 57
107 2006.11.15 12:00 sell 55 0.10 118.1500 0.0000 0. 0000 0. 00 12159. 57
109 2006.11.20 10:00 sell 56 0.10 118.0800 0.0000 0. 0000 0. 00 12192. 14
113 2006.11.22 14:00 buy 57 0.10 117.0400 0.0000 0. 0000 0. 00 12276. 52
114 2006.11.22 15:00 buy 58 0.10 116.8000 0.0000 0. 0000 0. 00 12276. 52
115 2006.11.23 07:00 buy 59 0.10 116.6100 0.0000 0. 0000 0. 0000 12276. 52
118 2006.12.11 19:00 buy 60 0.10 116.7900 0.0000 0. 0000 0. 00 12377. 35
120 2006.12.12 22:00 buy 61 0.10 116.7900 0.0000 0. 0000 0. 00 12405. 09
123 2006.12.14 13:00 sell 62 0.10 117.5900 0.0000 0. 0000 0. 00 12510. 55
124 2006.12.14 20:00 sell 63 0.10 117.8200 0.0000 0. 0000 0. 00 12510. 55
125 2006.12.15 11:00 sell 64 0.10 118.2200 0.0000 0. 0000 0. 00 12510. 55
127 2006.12.15 19:00 sell 65 0.10 118.0700 0.0000 0. 0000 0. 00 12551. 32
131 2007.03.02 15:00 buy 66 0.20 116.8500 0.0000 0. 0000 0. 00 12358. 47
132 2007.03.05 01:00 buy 67 0.30 116.1200 0.0000 0. 0000 0. 00. 00 12358. 47
133 2007.03.05 02:00 buy 68 0.10 115.8000 0.0000 0. 0000 0. 00 12358. 47
136 2007.03.06 05:00 buy 69 0.20 116.1200 0.0000 0. 0000 0. 00. 12440. 90
138 2007.03.06 21:00 buy 70 0.10 116.1200 0.0000 0. 0000 0. 00. 00 12488. 46
139 2007.03.07 22:00 buy 71 0.20 116.0000 0.0000 0. 0000 0. 00 12488. 46
141 2007.03.08 06:00 buy 72 0.10 116.0000 0.0000 0. 0000 0. 0000 12530. 05
145 2007.03.08 15:00 buy 73 0.10 116.8500 0.0000 0. 0000 0. 0012713. 75
147 2007.03.08 22:00 buy 74 0.10 117.0700 0.0000 0. 0000 0. 00 12763. 97
149 2007.03.09 15:00 sell 75 0.30 118.2200 0.0000 0. 0000 0. 00 12794. 20
150 2007.03.09 19:00 sell 76 0.10 118.2900 0.0000 0. 0000 0. 00 12794. 20
153 2007.03.12 14:00 sell 77 0.10 118.2200 0.0000 0. 0000 0. 00 12947. 29
155 2007.03.13 13:00 buy 78 0.10 116.8800 0.0000 0. 0000 0. 00 13023. 75
156 2007.03.13 14:00 buy 79 0.10 116.7200 0.0000 0. 0000 0. 00. 00 13023. 75
157 2007.03.13 19:00 buy 80 0.10 116.5800 0.0000 0. 0000 0. 00 13023. 75
161 2007.03.15 18:00 sell 81 0.10 117.6900 0.0000 0. 0000 0. 00 13168. 22
163 2007.03.16 03:00 buy 82 0.20 116.8600 0.0000 0. 0000 0. 00 13211. 18
164 2007.03.16 12:00 buy 83 0.10 116.6300 0.0000 0. 0000 0. 00 13211. 18
166 2007.03.19 00:00 buy 84 0.20 116.3200 0.0000 0. 0000 0. 00 13236. 84
168 2007.03.19 02:00 buy 85 0.10 116.3200 0.0000 0. 0000 0. 00 13267. 69
171 2007.03.19 05:00 buy 86 0.10 116.8600 0.0000 0. 0000 0. 00 13369. 66
173 2007.03.19 18:00 sell 87 0.10 117.6500 0.0000 0. 0000 0. 00 13413. 53
174 2007.03.20 02:00 sell 88 0.10 117.8200 0.0000 0. 0000 0. 00 13413. 53
177 2007.03.20 19:00 buy 89 0.10 116.9800 0.0000 0. 0000 0. 00 13470. 91
179 2007.03.21 10:00 sell 90 0.10 117.7100 0.0000 0. 0000 0. 00 13510. 50
180 2007.03.21 15:00 sell 91 0.10 117.8400 0.0000 0. 0000 0. 00 13510. 50
183 2007.03.22 12:00 sell 92 0.20 117.8200 0.0000 0. 0000 0. 00 13569. 28
184 2007.03.22 18:00 sell 93 0.10 118.0900 0.0000 0. 0000 0. 00 13569. 28
187 2007.03.23 14:00 sell 94 0.10 117.8200 0.0000 0. 0000 0. 00 13622. 57
188 2007.03.23 16:00 sell 95 0.10 117.8900 0.0000 0. 0000 0. 00 13622. 57
189 2007.03.23 21:00 sell 96 0.10 118.0600 0.0000 0. 0000 0. 00 13622. 57
193 2007.03.28 15:00 buy 97 0.10 117.0600 0.0000 0. 0000 0. 00 13708. 89
194 2007.03.28 16:00 buy 98 0.10 116.7800 0.0000 0. 0000 0. 00 13708. 89
195 2007.03.28 17:00 buy 99 0.10 116.4900 0.0000 0. 0000 0. 00. 00 13708. 89
199 2007.03.29 15:00 sell 100 0.10 117.7300 0.0000 0. 0000 0. 00 13825. 74
200 2007.03.29 17:00 sell 101 0.10 117.9100 0.0000 0. 0000 0. 00 13825. 74
201 2007.03.30 02:00 sell 102 0.10 118.1000 0.0000 0. 0000 0. 00 13825. 74
203 2007.03.30 11:00 sell 103 0.10 118.0700 0.0000 0. 0000 0. 00 13862. 28
206 2007.04.02 03:00 sell 104 0.10 117.9500 0.0000 0. 0000 0. 00 13932. 61
207 2007.04.03 08:00 sell 105 0.10 118.1800 0.0000 0. 0000 0. 00 13932. 61

Not a single buy has been above 117.30, not a single sell has been below.
 
Vita:
Reshetov:
SK. wrote (a):

Order opening rate has nothing to do with trading, neither does trading history.
It does not matter where exactly the order is opened.


Vita:

When testing with the naked eye, you can see that dozens or even hundreds of trades are made relative to the manually entered beginPrice. Above this price the Expert Advisor sells, below it it buys.
The dogs bark, the caravan moves (c) Eastern wisdom

This price = 117.30
Japanese Yen, Hourly since 19.07.2006.
Closing orders removed for clarity.

...

Not a single buy has been above 117.30, not a single sell has been below.
I'll tell you a terrible secret. Just swear you won't tell anyone else:

  • Opening a long position of X lots in the same Instrument, open a short position of Z lots at price Y would be the same as closing a long position of Z lots at price Y.
  • Opening a short position of X lots in the same Instrument, open a long position of Z lots at the price of Y, is the same as closing a short position of Z lots at the price of Y.
But, only if the locked positions are closed on the counter.

On the first page of this thread there is an analogue of this EA, which does not close positions by OrderClose(), but overlaps by lock and then closes by counter.
 
Mr Vita, I am so sick of your aggressiveness on every issue. You didn't even understand what I was writing about and you feel the need to jump in. I was talking about "currency", not EURUSD. There are several currencies in forex, if you have noticed, so arbitrage is possible between them. How I understand you Mr Reshetov, but on the other hand, when you get angry, there is an opportunity to get more information from you (just kidding)
 
Reshetov:
Vita:
...

Not a single buy has been above 117.30, not a single sell has been below.
  • Opening a long position of X lots in the same Instrument, open a short position of Z lots at price Y would be the same as closing a long position of Z lots at price Y.
  • Opening a short position of X lots in the same Instrument, open a long position of Z lots at price Y would also close a short position of Z lots at price Y.
But, only if the locked positions are closed on the counter.

So that's the way it is. There will never be short positions below 117.30. Even if they are closed by opening a long position below 117.30. Same with long positions. Obviously, the scary mystery did not bring clarity to the question. Why?
 
DrawDown:
Reshetov:
Vita:
...

Not a single buy has been above 117.30, not a single sell has been below.
  • Opening a long position of X lots in the same Instrument, open a short position of Z lots at price Y would be the same as closing a long position of Z lots at price Y.
  • Opening a short position of X lots in the same Instrument, open a long position of Z lots at the price of Y is the same as closing a short position of Z lots at the price of Y.
But, only if the locked positions are closed on the counter.

So that's the way it is. There will never be short positions below 117.30. Even if they are closed by opening a long position below 117.30. Same with long positions. Obviously, the scary mystery did not bring clarity to the question. Why?
Well, it is a mystery, because it is hidden from the eyes of some people. Because some people think that it is only necessary to enter the market. Others, for some reason, before they enter, think how they are going to exit.
 
MForex:
Mr Vita, I am so sick of your aggressiveness on every issue. You didn't even understand what I was writing about and you feel the need to jump in. I was talking about "currency", not EURUSD. There are several currencies in forex, if you have noticed, so arbitrage is possible between them. How I understand you, Mr. Reshetov, but on the other hand, when you get angry, there is an opportunity to get more information from you (just kidding)

Don't take it personally - it's about the Expert Advisor. The advisor trades in the same terminal, receiving quotes from the same quotation machine. There is no price comparison of multiple currencies implemented in the EA. It also does not have any currency arbitrage.

And please shed some light on what prices arbitrage is possible between? I am not interested in a free textbook paraphrase, but in a simple algorithm of how arbitrage can be arranged within one broker?
 
Reshetov:
Vita:
Reshetov:
SK. wrote (a):

Order opening rate has nothing to do with trading, neither does trading history.
It does not matter where exactly the order is opened.


Vita:

When testing with the naked eye, you can see that dozens or even hundreds of trades are made relative to the manually entered beginPrice. Above this price the Expert Advisor sells, below it it buys.
The dogs bark, the caravan moves (c) Eastern wisdom

This price = 117.30
Japanese Yen, Hourly since 19.07.2006.
Closing orders removed for clarity purposes.

...

Not a single buy was above 117.30, not a single sell was below.
I'll tell you a terrible secret. Just swear you won't tell anyone else:

  • Opening a long position of X lots in the same Instrument, open a short position of Z lots at price Y would be the same as closing a long position of Z lots at price Y.
  • Opening a short position of X lots in the same Instrument, open a long position of Z lots at price Y would also close a short position of Z lots at price Y.
But, only if the locked positions are closed on the counter.

On the first page of this thread there is an analogue of this EA, which does not close positions by OrderClose(), but overlaps by lock and then closes by counter.


This secret is known to everyone. However, your story has not changed. The EA does not buy above the "fair price" type and does not sell below it.
 
MForex:
Mr Vita, I am so sick of your aggressiveness on every issue. You didn't even understand what I was writing about and you feel the need to jump in. I was talking about "currency", not EURUSD. There are several currencies in forex, if you have noticed, so arbitrage is possible between them. How I understand you, Mr. Reshetov, but on the other hand, when you get angry, it is possible to get more information from you (just kidding)

As for "arbitrage" between currencies, I mentioned it in a post dated 11.04.2007 16:14.
It's a simple unbalanced market.Any crossover can be calculated by dividing the basic quotes. Try it and you will see that the real cross prices differ from the calculated prices within the white noise.

Please explain how arbitrage is possible on major currencies (if there are 3)?
Pips on shallow imbalance is clear to me, but if not pips, how?

Separately, please clarify what arbitrage is on a single currency instrument, e.g. euro-dollar. Where are the prices there between which the difference is calculated?

(Please, don't consider my message as a slip or "interference"; just explain, please, the essence of technology, as you understand it).
 
SK. писал (а):
MForex:
Mr Vita, how annoying your aggressiveness on every issue. You didn't even understand what I was writing about and you feel the need to jump in. I was talking about "currency", not EURUSD. There are several currencies in forex, if you have noticed, so arbitrage is possible between them. How I understand you Mr Reshetov, but on the other hand, when you get angry, there is an opportunity to get more information from you (just kidding)

As for "arbitrage" between currencies, I mentioned it in a post dated 11.04.2007 16:14.
It's a simple unbalanced market.
Any crossover can be calculated by dividing the underlying quotes. Try it and you will see that the real cross rate prices differ from those calculated within the white noise.
Please explain how arbitrage is possible on major currencies?
A pip on a shallow imbalance is understandable to me, but if not a pip, then how?

(please do not construe my posts as a hit-and-run or "meddling"; just please explain the nature of the technology as you understand it)
What the fuck is there to understand? Buy cheaper, sell more expensive. Sell more expensive, buy cheaper. What's not to understand?

Simple imbalance or overcomplicated. What do we care? All that matters is that there is one.
 
Vita:
Reshetov:
Vita:
Reshetov:
SK. wrote (a):

Order opening rate has nothing to do with trading, neither does trading history.
It does not matter where exactly the order is opened.


Vita:

When testing with the naked eye, you can see that dozens or even hundreds of trades are made relative to the manually entered beginPrice. Above this price the Expert Advisor sells, below it it buys.
The dogs bark, the caravan moves (c) Eastern wisdom

This price = 117.30
Japanese Yen, Hourly since 19.07.2006.
Closing orders removed for clarity purposes.

...

Not a single buy was above 117.30, not a single sell was below.
I'll tell you a terrible secret. But you swear you won't tell it to anyone else:

  • Opening a long position of X lots in the same Instrument, open a short position of Z lots at price Y would be the same as closing a long position of Z lots at price Y.
  • Opening a short position of X lots in the same Instrument, open a long position of Z lots at the price of Y, is the same as closing a short position of Z lots at the price of Y.
But, only if the locked positions are closed on the counter.

On the first page of this thread there is an analogue of this EA, which does not close positions by OrderClose(), but overlaps by lock and then closes by counter.


This secret is known to everyone. However, your story has not changed. The EA is not buying above the "fair price" and is not selling below it.
Did you just guess that? That's what a fair price is, to be the boundary between buying and selling.
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