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ThreePoint arbitrage

Triangular arbitrage is a strategy that allows extracting profit without risks by tracking the inefficiencies of the market. It is very easy to manage risks as a position neutral to the market is created. Basically, the risk per each opened triangle is equal to the sum of spreads of the three pairs used in the triangle, plus possible spread fluctuations. Exceptions arise during extremely important news releases. For example, presidential elections.

Expert Advisor Settings

  1. Job mode - the EA operation mode, can be one of the following:
    • Normal mode - normal mode when the triangles for trading are composed of symbols available in the Market Watch.
    • Use file with symbols - use a previously created file with the list of symbols available for trading. This allows making the EA use only a certain set of symbols, regardless of what is available in the Market Watch window.
    • Create file with symbols - creates a csv file, which is used in the tester or in the Use file with symbols mode. The created file can be edited manually. If the file is not created, testing cannot be performed.
    • Close all trades and exit - the robot closes all previously opened trades and finishes its operation.
    • Not Opens. Only Closes - the robot does not open new positions, it only closes old positions when the specified profit is reached.
  2. Trade volume - traded volume.
  3. Profit $ for close - amount of profit of the aggregate position to close it. It is recommended to use this if the broker charges a commission for opening positions. In that case, specify its aggregate amount for 3 pairs in this field. It also makes sense to use it when working with the minimum volumes, since in that case the robot is unable to level the positions due to the restrictions in the precision of the traded volumes, and a minimum directed position partially occurs.
  4. Together triangles in job - the number of triangles the EA is allowed to open simultaneously.
  5. Comment - comment for the opened orders.
  6. EA numer - magic number of the EA.

The Expert Advisor features

  1. The Expert Advisor fully automated the trading. It automatically determines the triangles for trading with one broker.
  2. Resistant to any spread expansions.
  3. It is recommended to show all available symbols in the Market Watch window before starting the work.
  4. In most cases, it is sufficient to specify only the trade volume for the EA to work.
  5. Timeframe does not matter.
  6. The robot uses up to 200 magic numbers. The first one in the range is specified in the settings.
  7. Not every broker provides the opportunity for this strategy to be profitable. Therefore, it is recommended to occasionally do checks in the following way: open a real account at the broker (zero deposits are acceptable, as long as the quotes feed is received), start the EA, enable trading and leave it like that for a couple of days. The EA will print all detected entry opportunities in the Experts tab.

Operation Principles

  1. Trades do not occur frequently, as the arbitrage situations are tracked by many participants of the market and by the broker in particular, which tries to prevent their occurrence. A situation where Bid XXXYYY is higher than Ask XXXZZZ*AskZZZYYY occurs quite often. However, if all costs are taken into account and positions are opened only when there is a potential for profit, the number of trades is dramatically reduced. Please consider this peculiarity.
  2. Duration of a trade can be from one second to a couple of hours.
  3. Since the execution speed is important, using a VPS is recommended.
  4. The EA can be run on one account with other robots.
  5. Works on all accounts.

Testing Features

  1. Test only on a real account with real ticks and delay. This allows obtaining test results as close to live trading as possible.
  2. Make sure to run the robot in the "Create file with symbols" mode before testing. This mode creates a list of symbols available for trading and loads them to the tester during tests.
  3. Testing takes a very long time, because it is first necessary to download all history of the symbols used, and then to synchronize it. The tester can process hundreds of triangles simultaneously.
  4. The provided test results have been obtained on a live account. 37 triangles have been used in the work.
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