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- Iceworld79 replied Feb 7, 2012
thanks, nondisclosure00. That might be helpful. But one observation I had is that the opportunity trends to focus on 2 brokers (in my case). I think the reason is these brokers manipulate price a lot. you found many fake ones. With 10 brokers, it ...
- Iceworld79 replied Feb 7, 2012
I used 4 brokers, one of them is ECN. eventually, all brokers became against me. I guess what you were talking is what they were doing. I've stopped my live testing until some new thoughts come in.
- Iceworld79 replied Feb 7, 2012
Well, in my opinion, it is pretty easy to detect, but I'd rather not reveal it in public
- Iceworld79 replied Feb 7, 2012
Although sad, I found this route might be a dead-end. From this week, 80% percent of my trades turn out to be loss. Same brokers, same software, at the beginning, things are much better. Apparently, brokers has some weapons to defend themselves ...
- Iceworld79 replied Feb 7, 2012
What I mean adapter is that I only need some client code to translate fix message, no need to change server side. my software is currently using similar thing to communicate with MT4s. I think it is broker personality which matters. Technically, not ...
- Iceworld79 replied Feb 6, 2012
My program is build on ANSI C and use C# to build the GUI. From the appearance of arb opportunity to the order sending, my program should be quick enough (~1ms). The thing is many HFTs use custom hardware, such as FPGA to accelerate (which is my ...
- Iceworld79 replied Feb 6, 2012
MT4 for now. I have an communication adapter architecture, it can be easily changed to Fix/API if someone can show me it does work. I would like to invest the time and efforts on it.
- Iceworld79 replied Feb 6, 2012
With the slow MT4 execution, this should not happen very often and bring more uncertainty, in my opinion.
- Iceworld79 replied Feb 6, 2012
My software will try to close the one-leg order every 30 seconds (5 times maximum, if failed, it will beep and send u an email). I leave it run all day long without any problem. The thing is just slippage which kills the profit. Technically, my ...
- Iceworld79 replied Feb 6, 2012
If you do not execute both orders at the same time using market order, the market movement may lead you to one-leg situation (only 1 order is executed). Using limit-order, you are more like guessing market movement, you give a price window (two ...
- Iceworld79 replied Feb 6, 2012
Thank you for your excellent work. Yes, my experience with the live test is that "at the beginning, the slippage is Ok and make me a little bit in profit; later on, I can see the slippage becomes way worse and lead to loss". Exactly the scenario you ...
- Iceworld79 replied Feb 6, 2012
Slippage, Slippage!! — OK, I have put my system on living test with 0.01 lot size. The performance with two brokers is just rarely above even after 2 weeks testing. With 0.1 lot size, most of them are sure loss. The program guarantees the ...
- Iceworld79 replied Dec 30, 2011
I sum the slippage of all trades within the forward testing period (one month) for each individual broker and do the average over the total number of trades. Then you know some are good, some are natural and some are bad.
- Iceworld79 replied Dec 29, 2011
I did some statistics analysis on the trading history of 6 brokers. The average slippage from the bad boy (~3 pips) is way worse than the other 5 brokers (0~1.5pips). Although they claim they are ECN-type, I refused to believe. Also, the average ...
- Iceworld79 replied Dec 29, 2011
Thanks, FXEZ. I don't intend to hijack RR's excellent thread, either. I believed that my problem is also the difficulties for many others who have the same interest in the Arb. system. Our discussion may do some good to the system. Yes, I am using ...
- Iceworld79 replied Dec 29, 2011
In live. The system works like a champion in demo. grows everyday. But in live, the slippage is much more serious than I expected (I just tested for a few days on live, though).
- Iceworld79 replied Dec 29, 2011
nondisclosure00, Thanks for your quick reply... The #3 is broker personality. I tested 6 brokers on demo. One of them is really really bad. basically it tried to screw you up for every single chance. Do you have any thoughts of how to deal with it?
- Iceworld79 replied Dec 29, 2011
Slippage, Slippage!! — I myself have a program written in C# and C++ (see attached), the project was started about 3 months ago and so far has been tested in demo for more than 1 month. Everything is fine on demo, but when I moved to the live ...
- Iceworld79 replied Dec 5, 2011
I did some research on this "incorrect price" stuff and found this lengthy thread. Brokers are explicitly against this type of system and they can cancel orders at their wish... It is not a fair game~~~Bypassing the brokers, there may still have ...
- Iceworld79 replied Dec 3, 2011
Quote from following thread. url NO broker is gonna allow you to steal from them. Any broker that has a slower feed already knows that they lag the true interbank market and arbitrage trades are easy to spot. You might get away with it for a day ...