Crossover courses: how are they formed? - page 3

[Alexander Sevastyanov]

RomanS писал(а) >>

I think the cross rate is not being introduced anywhere, it just exists just like the other pairs.

Exactly.

Only the cross rate is maintained by arbitrageurs within rigid limits.

As soon as it deviates by the amount at which we can profit from the difference, we open arbitrage positions and bring the crosses in order.

[Роман]

goldtrader >>:

Именно.

Только курс кроссов поддерживается арбитражёрами в жёстких рамках.

Как только он отклоняется на величину, при которой можно извлечь прибыль из разности, открывают арибитражные позиции и приводят кроссы в порядок.

Exactly.

Only sometimes due to strong cross movements, it is the other way around.

As soon as the cross rates deviate by the amount at which one can profit from the difference, one opens arbitrage positions and brings the major currency pairs in order.

:))

[Роман]

But it is true that this is much rarer and incidental, but it is no exception.

[Sceptic Philozoff]

Anyway, I'm confused about these crosses. I don't even want to post my calculations anymore. It's too complicated, the quotations in the cube appear when you count the corrections :)

When it settles in my head, I'll write a sequel if anyone is interested.

[Sergey Kovalyov]

It is unclear what the objectives are, but the calculations are dubious. Cross prices should be calculated on a momentary (almost synchronous) basis. An example for EURAUD is in the attachment. It should be run on EURAUD chart. The result is written to the screen and to the log. It should be easy to understand. I hope this will help to untangle things.

[Igor Malcev]

wise >>:
Непонятно какие цели преследуются, но расчеты сомнительны. Цены кроссов надо считать по сиюсекундным (почти синхронным) котировкам. Пример для EURAUD во вложении. Запускать на графике EURUSD. Результат пишется на экран и в журнал. По идее, все понятно должно быть. Надеюсь, это поможет распутаться.

I will also add my three cents, as I worked on this problem and came to some conclusions.

The quotes provided by DC^(Kitchen) do not allow you to calculate an "accurate" cross rate because of the latency filters used.

[oleg]

Piccioli писал(а) >>

Let's say....

we have an account in USD

we buy 100 Canadians at 1.03171+3p = 1.03201

as a result, we will spend (1/1.03201)*100 = 96.898 USD

for 100 Canadians we will buy Euro at 1.48785+7p = 1.48855

so we have (1/1.48855)*100 = 67.17947 euros

now we sell these Euros at the current rate of 1.44245 and get 96.903 USD

Thus we have less than 0.5 cents for each 100 USD.

If the cross spread had been lower, we would have earned something.

And the point is not even that arbitrage is not profitable, but the spread of crosses will always be such that arbitrage is not profitable.

[Sceptic Philozoff]

wise, thank you. Nothing particularly complicated inside, everything is clear.

But that wasn't the purpose of the thread. I was just curious about the patterns governing cross rates and spreads. They are actually quite finely balanced as there are many interconnections and constraints between them. On the one hand, these constraints are built so as to deprive us of arbitrage opportunities in the vast majority of cases, and on the other hand, arbitrage opportunities do sometimes jump out, which shows the rather fine line that a DC has to walk in order to develop its business successfully.

Here is the simplest question: why is spread on USDNOK so big and on Kiwi so small?

[Sergey Kovalyov]

Mathemat >>:

wise, спасибо. Ничего особо сложного внутри вроде нет, все понятно.

Но цель ветки была несколько не в этом. Мне просто стало любопытно, какие закономерности управляют курсами и спредами кроссов. На самом деле они довольно тонко сбалансированы, т.к. между ними есть множество взаимосвязей и ограничений. С одной стороны, эти ограничения построены так,

чтобы в подавляющем числе случаев лишить нас возможностей арбитража, а с другой - возможности арбитража иногда все же выскакивают, что говорит о довольно тонкой грани, которую ДЦ должен выдерживать, чтобы его бизнес развивался успешно.

By arbitrageurs and balanced. The ones who don't bother with DCs and who have good technical equipment.

Here's a simple question: why is the USDNOK spread so big and the Kiwi spread so small?

The Kiwi is much more liquid, obviously. What does this have to do with crosses?

[[Deleted]]

The topic is sort of beaten up:

Monitoring-Spread - synthetic chart with monitoring of its spread.

Trade-Arbitrage - statistics and arbitrage trading.