Experts: Triangular Arbitrage

[Automated-Trading]

Triangular Arbitrage:

This Expert Advisor (EA) implements a triangular arbitrage strategy between three currency pairs: EURUSD, USDJPY and EURJPY

Author: Джованни Орсани

[Edward Garnica]

hola qusiera saber en que simbolo se coloca el EA para que trabaje o toca colocarlo en los tres simbolos que mencionas

[Miguel Angel Vico Alba]

Edward Garnica placed to work or it is necessary to place it in the three symbols that you mention.

Any symbol can be used, even a symbol other than the three mentioned, as they are all defined in the code.

[sfhomebiz]

Works well on historical data (target profit set at 0.1$). I set the delay (ping) at the level of 60 ms.

I also tried it on real data on a demo account:
It opens and closes trades, but at a disadvantage. Probably because of the long ping time (I had about 60 ms).
I want to try via VPS.

[fxsaber]

sfhomebiz #:
Works well on historical data(target profit set at 0.1$). I set the delay (ping) at 60 ms.

The reason is this.

void CloseArbitragePositions()
{
   double totalProfit = 0;
  
   // Calcola il profitto cumulativo delle posizioni col Magic Number
   for(int i = 0; i < PositionsTotal(); i++)
   {
      ulong ticket = PositionGetTicket(i);
      if(PositionSelectByTicket(ticket))
      {
         if(PositionGetInteger(POSITION_MAGIC) == MagicNumber)
            totalProfit += PositionGetDouble(POSITION_PROFIT);
      }
   }
  
   if(totalProfit >= ProfitTarget)
   {
      Print("Profit target raggiunto: ", totalProfit, ". Procedo alla chiusura delle posizioni.");
      
      // Chiude le posizioni iterando all'indietro per sicurezza
      for(int i = PositionsTotal() - 1; i >= 0; i--)
      {
         ulong ticket = PositionGetTicket(i);
         if(PositionSelectByTicket(ticket))
         {
            if(PositionGetInteger(POSITION_MAGIC) == MagicNumber)
            {
               string sym = PositionGetString(POSITION_SYMBOL);
               if(!trade.PositionClose(sym))
                  Print("Errore nella chiusura della posizione su ", sym, " - ", GetLastError());
               else
                  Print("Posizione su ", sym, " chiusa con successo.");
            }
         }
      }
   }
}

All EAs with this condition will show something good.

[xery]

fxsaber #:
The reason is this. All EAs with this condition will show something good.

So it doesn't print results that were negative?

[fxsaber]

xery #:

So it doesn't display results that were negative?

Only when the Tester pass is stopped.

[michal_]

// This is more powerfull, higher trashold usable int CheckArbitrageOpportunity(double &diff, double &impliedPrice, double &directPrice) { double price1 = SymbolInfoDouble(symbol1, SYMBOL_BID); double price2 = SymbolInfoDouble(symbol2, SYMBOL_BID); directPrice = SymbolInfoDouble(symbol3, SYMBOL_ASK); impliedPrice = price1 * price2; diff = (impliedPrice - directPrice) / directPrice; if(diff > Threshold) return 1; price1 = SymbolInfoDouble(symbol1, SYMBOL_ASK); price2 = SymbolInfoDouble(symbol2, SYMBOL_ASK); directPrice = SymbolInfoDouble(symbol3, SYMBOL_BID); impliedPrice = price1 * price2; diff = (impliedPrice - directPrice) / directPrice; if(diff < -Threshold) return -1; return 0; }

[Clankar]

michal_ #:
// This is more powerfull, higher trashold usable int CheckArbitrageOpportunity(double &diff, double &impliedPrice, double &directPrice) { double price1 = SymbolInfoDouble(symbol1, SYMBOL_BID); double price2 = SymbolInfoDouble(symbol2, SYMBOL_BID); directPrice = SymbolInfoDouble(symbol3, SYMBOL_ASK); impliedPrice = price1 * price2; diff = (impliedPrice - directPrice) / directPrice; if(diff > Threshold) return 1; price1 = SymbolInfoDouble(symbol1, SYMBOL_ASK); price2 = SymbolInfoDouble(symbol2, SYMBOL_ASK); directPrice = SymbolInfoDouble(symbol3, SYMBOL_BID); impliedPrice = price1 * price2; diff = (impliedPrice - directPrice) / directPrice; if(diff < -Threshold) return -1; return 0; }

Why do have you decided to use the bid of the first two symbols to calculate the ask of the directprice and viceversa ..?