Pair trading and multicurrency arbitrage. The showdown. - page 280
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420ms is really a lot. You need to use other exchange options. There are plenty of articles and examples in the codebase on this forum.
A signal obtained on one broker through a lot of maths is used on another. I am 100% sure that direct comparison of prices of 2 identical instruments on news will give the same effect.
In real trading, a broker can cancel all profitable trades executed in such a short time.
I wrote above, direct, price arbitrage is not possible at this time. Give an example of such trading!!!
To me, direct price arbitrage would be triangular arbitrage, a.k.a., a 3-way "perfect" hedge. The overwhelming majority of broker-dealers on the planet have banned that as a form of process maninpulation─which it is. Throwing down say, 200,000 USD, and gaming the broker-dealer's trade execution process is just plain dirty. I saw a trader's account get terminated and all "profits" clawed back for employing a triangular arbitrage strategy. Furthermore, my FX broker-dealer prohibits slant hedging as well─I can't trade EURUSD against GBPUSD for example, nor any other pairs sharing a currency. Not that I have any desire to do so. In fact, I've always believed that hedging in the same market whatsoever is rather pointless. It is possible to get banned for life from trading in the U.S. by the U.S.
As I've already shared in this thread, get an FX account, get a futures account, pick a major spot pair that has a futures contract (front month) named after it, and get to work.
If that's not direct enough for you, you can trade a front month futures contract against the next expiration futures contract of the same symbol code─they are legally separate instruments (the month codes differ, and so does liquidity).
Also, what is the justification for the broker to cancel trades? The entry was made on the 3rd second, after the news release... It is not a direct, price arbitrage. Nowadays trades are not cancelled for such things.
HFT is not allowed everywhere and has different definitions in different places.
Few people have been prohibiting HTF for a long time, brokers mostly raise the execution or widen the spread. This is all solved simply by locking the trade, that is, when the order should close, you lock the trade with the same or a related instrument, hold the time and close it. In fact, you lose only two spreads of the instrument you are locking.
As for the three-legged arbitrage, we do not believe in it, it works 50-50, in fact.
To me, direct price arbitrage is triangular arbitrage, aka a three-way "perfect" hedge. The vast majority of broker-dealers on the planet have banned it as a form of process manipulation, which it is. Throwing in, say, $200,000 and gambling with a broker-dealer's trade execution process is just plain dirty. I've seen one trader's account closed and all "profits" given back for using a triangular arbitrage strategy. Furthermore, my FX broker-dealer also prohibits oblique hedging - I can't trade EURUSD against GBPUSD, for example, or any other single currency pairs. Not that I have any desire to do so. In fact, I've always found hedging in the same market to be pretty pointless. You can get banned for life from trading in the US by the US.
As I've discussed in this thread, start an FX account, start a futures account, pick a major spot pair that has a futures contract (for the first month) named after it, and get started.
If that's not enough for you, you can trade the first month's futures contract against a futures contract with the next expiry date with the same symbol code - legally they are separate instruments (month codes are different, as is liquidity).
Few people have been prohibiting H[FT] for a long time, brokers mostly raise the execution or widen the spread. This is all solved simply by locking the trade, that is, when the order should close, you lock the trade with the same or a related instrument, hold the time and close it. In fact, you lose only two spreads of the instrument you are locking.
Change your broker. For example CQG doesn't seem to prohibit anything, or [redacted] there is a selection of brokers...
CQG is merely a CME exchange data provider─not a broker-dealer, exchange, nor regulator.
It appears that we use the same futures broker-dealer.😉
As I mentioned in the article, we operate in two different regulatory realities. In the US, HFT is allowed on CME futures exchanges (many broker-dealers), but there are only 5 or 6 OTC FX broker-dealers that all ban HFT. It's not an execution or spread issue, it's a blacklisting issue.
So trade on CME, what's the difference, futures can be covered on a cash basis, with instant trade execution.
Look at the trades on alfik, there was an entry for 3000ms before the signal was worked out. ""I'm 100% sure that a direct comparison of prices of 2 identical instruments on the news will give the same effect.""" - give me an example.
this is a species (futures spot), no additional considerations are needed - a direct comparison of two prices and the possibility of applying an arbitrage strategy is obvious.
There are many such examples