Pair trading and multicurrency arbitrage. The showdown. - page 275

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Triangular and other multi-symbol arbitrage situations on currencies within one DC are resolved to the spread at the level of servers, plugins and "specially hired, especially close persons". :-)

What an ordinary trader sees and takes for an arbitrage opportunity is the effect of delays, non-momentary receipt of quotes and (sometimes) uncorrected time stamps and its measurement.

You can kill yourself, but ticks on their way to the trading robot in many places are organised in queues and idle there, and are processed by the robot only sequentially.

For example: a trader (robot) sees ticks on EURUSD, looks at prices, sees a triangular arbitrage with GBPUSD & EURGBP, is happy. But just ticks on the other sides of the triangle have not reached yet (they go over the network, are only received by the terminal, are in the queue to the robot, etc);

I'm not a terminal developer, but technically the server can also "nail ticks", if there are two ticks in a row in the outgoing queue with insignificant time difference, then only the last one will remain, like Duncan McLeod. The tick volume will increase and the tick will disappear. A simple jitter-buffer is worth and reduces the network load

And to make things even better, structurally there are two servers. One broadcasts ticks, the second executes orders and there are naturally delays and discrepancies between them. If you profit from their effects, it is written in small print in all agreements and contracts, it is ban, write-off of funds, account closure and other troubles.

 
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that's right

Pair trading is a balance of two pairs, not three, and you have to find it.

I found it in 2010, my hard drive blew up after 22 times the deposit in a short period of time.

Oh, it was a pain in the arse.

I can barely remember what I was doing at the time.

15 years later.

I'm telling you straight away - the Formula I put out here, it's OK, but it doesn't work for pair trading, only for triangle trading.

for paired trading you need a system of three levels.

Once you've solved it, you're on your way.

 
Renat Akhtyamov #:

liked

all right

Pair trading is a balance of two pairs, not three, and you have to find it

I found it in 2010, my hard drive blew up after 22x increase in deposit in a short period of time.

Oh, it was a pain in the arse.

I can barely remember what I was doing at the time.

15 years later

I'm telling you straight away - the Formulae I posted here, it's OK, but it's not good for doubles, only for triangles.

for paired trading you need a three-level system.

Once you've solved it, you're on your way.

So tell me, why are you dragging your tail?
 
Aleksei Solovyov #:
So tell me, why are you dragging your feet?
Apparently, the system of three equations was inconsistent.
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