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Attachments: My Own Broker Arbitrage
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My Own Broker Arbitrage

Quoting ianj1
A market maker (or a bucketshop some like to say - but that not always true - there are 'honest' market makers) generally mirrors prices from the REAL world, and takes (most of it at least) the risk on their own book -
That is enlightening!
I appreciate your "sliding scale" analogy. So, Market Makers or even the ECN brokers can program their automated systems to different degrees of screwing power? However, they must balance between keeping the customers happy so they stay and screwing the customers so they don't get screwed?
Can a market maker program his system with a higher screwing power towards a specific individual account?
Quoting jeuro

Market maker side (retail). I would “buy” from my suppliers (buy or sell) the product and “sell” it (buy or sell) to my clients for a mark up (my spread) according to market conditions. This would include to/from suppliers and to/from my own clients.

ECN side (wholesale), in this case would mean that I would hook up my clients with my suppliers at cost (their spread) and charge them a commission.

.
Awesome read.
So, why does "broker arbitrage" bother those "dishonest market makers"? Don't they make money from spreads regardless?

Here was a response from one (dishonest) broker who was complaining about my trading (broker arbitrage) and asked me to stop. They let me keep the profit and did not shut down my account.

"The EA you are using is taking advantage of small technical issues and attempting to open positions on non-existent prices."
What do they mean by non-existent prices? My orders got filled by the prices they gave me. Is it simply that if the client is winning, market maker must be losing? They don't like losing so they ask you to stop trading the EA, regardless what it is?
Quoting nondisclosure00
So boil this down for me. Who should we be looking to to open accounts to Arb with?
My experience is "trial and error". You'll find, on the sliding scale, where the broker stands after a few days of trading with them. Trade with ECN brokers. There are plenty enough arbs among them.
Quoting FxSwordfish
That is enlightening!
I appreciate your "sliding scale" analogy. So, Market Makers or even the ECN brokers can program their automated systems to different degrees of screwing power? However, they must balance between keeping the customers happy so they stay and screwing the customers so they don't get screwed?
Can a market maker program his system with a higher screwing power towards a specific individual account?
If it is a market maker using MT4, there are many options available to covertly pick the customer's pockets. This is one of the most discussed options: (the only real defense is not to play their game)

http://www.forexfactory.com/showthread.php?t=70582

If it is a true ECN broker who merely makes it off the commission, there is no incentive to muck with the liquidity provider's prices. Interactive Brokers meets that criteria. Caveat: IB sometimes allows its MM Timber Hill to take the other side of the liquidity but always provides price improvement to the customer for the order flow. I'm not aware of any others on the retail level though there may be a few.

If it is a broker that markets itself as an ECN but really buckets part or all of the orders then there is an incentive for the broker to take advantage. Many so called ECNs are as has been described - with one or a few liquidity providers and spread rebates for order flow to the broker from the liquidity provider.

Those brokers who actively shade prices that are provided by a liquidity provider(s) fall in the murk between this class and the market maker who buckets all orders internally. I think FXCM and Oanda would be classified like this.

Quote
Can a market maker program his system with a higher screwing power towards a specific individual account?

The answer is yes, particularly when that customer is making a large amount of money. Some brokers are more sophisticated at doing this than others. This is known as individual pricing, and was at one time in the not-so distant past marketed by dealers as a benefit for the customer.

Bottom line in broker/dealer discussion for me is: funds safety, and broker incentives. If the broker / dealer has an incentive to steal or an ability to get away with it then they probably will.
Quoting FxSwordfish
Awesome read.
So, why does "broker arbitrage" bother those "dishonest market makers"? Don't they make money from spreads regardless?

Here was a response from one (dishonest) broker who was complaining about my trading (broker arbitrage) and asked me to stop. They let me keep the profit and did not shut down my account.

"The EA you are using is taking advantage of small technical issues and attempting to open positions on non-existent prices."
What do they mean by non-existent prices? My...
Think about what makes a dishonest market maker. They bucket all orders. Therefore they have an incentive to speed the process of busting out their clients, so they take an adversarial approach when the customer is making money. They also tend to smooth prices more than honest brokers who simply pass on market prices. The smoothing allows for easier offsetting of client orders. Combined with platform freezing when the smoothed prices are too far away from the market, this can be a powerful tool for these brokers to tilt the odds in their favor.

"Don't they make money from the spreads regardless?"

This has been asked so many times and is a common misconception. If the "dishonest market makers" take the other side and don't lay off risk and receive a kickback from the liquidity provider then the answer is that no - they don't make from the spread because they're operating a pseudo market which is them vs. you. If you win they lose and vice versa. They just use the technical tools (MT4 plugin) to bust the customers.

Most brokers can't survive long term using this business model, however. So the dishonest market makers typically need to offer very low spreads as an incentive to get customers to open accounts. Think of the low posted spreads as as "loss leader". Dishonest brokers make up for it in increased slippage, requotes, platform freezes etc. All of this can be aided by the client use of MT4 for order placement / handling.

By the way, the "technical issue" is when a client account makes money.
Quoting ianj1
Welcome to my world ! - Here is where institutional and retail diverge, as you need a micro understanding of the feed conflation and liquidity construction of the feed, including, but not limited to:
* Do bid/offer change together, or are they 'generally' received together - if so you have to wait for a 'pair' of prices or at least give it time to update
* Are sizes of bid/offer lumpy enough to discern the construction of the top of L2 order book (since L2 order books are not generally available on MT4 so you need additional feed information)
*...
This sums up some of the issues I've been working with for some time. Depending on the goal of the strategy (straight arb or stat arb) some of the issues mentioned may or may not come into play. I've chosen to approach this problem from a more stat arb perspective because I realize as a retail trader I can't count on overwhelming speed and I believe there is more alpha potential riding on the backs of the arbitrageurs rather than attempting to beat them at their own game, because that is so much a speed game.

Some of the items are unknowable due to the nature of the feed I'm working with (anonymous) "* Is it a bank or a client price ?"

I sidestep some of the microstructure issues as well by allowing alpha creation to come from an algo based on the arb (which allows directional play) rather than the arb itself.

Quote
Recognising a real arb is non trivial - most perceived arbs are merely feed delays

Yes that is very true and a point always important to keep in mind. I've been toying with a quorum approach though perhaps a bit different than described.

There are also new challenges brought on by a stat arb approach. Riding on the back of the arb trade is fine until the "ambush" or aggressive buy side programs kick in and start pushing price around.
Quoting FXEZ
Think about what makes a dishonest market maker. They bucket all orders. Therefore they have an incentive to speed the process of busting out their clients, so they take an adversarial approach when the customer is making money. ...

By the way, the "technical issue" is when a client account makes money.
Thank you so much. This is eye opening.
If we stay away from MT4 (using Protrader, Ninjatrader, Tradestation, etc.), are they still able to cheat, but to a lesser extent? I assume the best way is to use API. In that case, the bucket shops are off the list anyway. Not many or none has API to offer.
Quoting FxSwordfish
Thank you so much. This is eye opening.
If we stay away from MT4 (using Protrader, Ninjatrader, Tradestation, etc.), are they still able to cheat, but to a lesser extent? I assume the best way is to use API. In that case, the bucket shops are off the list anyway. Not many or none has API to offer.
I have to clarify my view on this - a market maker that 'buckets' most or all trades is not necessarily dishonest ('bucketshop' is almost entirely used as a derogatory term) , and i do not think 'best' is directly related to using an API (see later)

I know of a few Market makers who i definitely believe are not 'bucket shops' in the unpleasant sense

Anyway - back to the point:

* Market Makers are possibly easier to arb but you must be careful not to sting them on profit else the more dishonest types are likely to kick back - for those you should consider manipulating the close to leave losses with the market maker (so they wont mind so much). This may make many market makers viable for arbing - some market makers may detect the arbing (its not difficult to do) and object on principle - but who knows unless you try

* ECN/STP are theoretically better/safer to arb, but technically more difficult to in practise, and are likely not as good candidates to try - at least in MT4. An API can make the trading experience more efficient (MT4 servers are sh** and usually overloaded as well) so in general, yes i think an API would make its easier to arb an ECN/STP platform, but not be so relevant to a Market Maker

Faster feeds MIGHT help, but not always - the two primary institutional platforms (EBS & Reuters) from which many prices are derived, conflate the price feed so it is delayed in any case. The fastest purchasable feed - EBS live is shockingly expensive (if you have to ask - its too expensive for you) yet only updates maybe 10 times per second - last time i looked at least, so it could help in usage with a market maker - but its directly prohibited against in most terms and conditions - so beware

You could probably front run some market makers using that, but woe betide you if you end up in profit (i don't know how many times i have to make this observation - and associated suggestion as to how to work around it - The open and deferred close arb is unique in its ability to choose when to close and therefore where to allocate the profit)

So its likely that both have potential but you have to treat them differently

But this is all opinion - i'll leave the actual working guys (RR) to establish more facts than my conjecture .. i am clearly too lazy to do any real work ;-)
Quoting ianj1

I know of a few Market makers who i definitely believe are not 'bucket shops' in the unpleasant sense
Thank you, Ianj1. How about giving me those names so I can test them live and report back to the group? RR's endeavor needs a boost of encouragement from live trading. I don't mind doing it - the real work

Are bucket shops always 4-digit brokers? Why 4-digit anyway?
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 quotes does not change before sending out the orders and my execution is tweaked to be reasonably fast (in average, one is 200ms, the other one is 600ms). The slippage kills the system. I guess this system is really sensitive to the brokers. I've spent so many hours to build the system, now I feel very depressed for the live testing result. Anyone has new idea on how to deal with the slippage?
Quoting FxSwordfish
Awesome read.
So, why does "broker arbitrage" bother those "dishonest market makers"? Don't they make money from spreads regardless?

Here was a response from one (dishonest) broker who was complaining about my trading (broker arbitrage) and asked me to stop. They let me keep the profit and did not shut down my account.

"The EA you are using is taking advantage of small technical issues and attempting to open positions on non-existent prices."
What do they mean by non-existent prices? My orders...
In reality, arbitrage bother all the brokers in general, the dishonest ones just bitch about any and everything because, even if you lose money with them, you are hindering their spreads game. If they are not paying spreads to banks for their net exposure, because they hold all the orders themselves, they must add losses to your losses and deduct from your winnings in top of their spreads. Holding all the trades is an extreme risk for them. So they must earn as much possible and fast from their clients to build capital to pay up in the event market go against them. Forex is a zero sum game. Just imagine that in one day “all” their clients go short. Price move down some 50 pips and everybody wins...they are screwed, and if every body wants withdrawals, they just don’t have the money to pay up and we get screwed a second and final time. Avoid any brokers that is not regulated by a reputable country. Avoid new brokers (not less then 5 years in business). Avoid brokers with little client pools. Avoid brokers that offer low fixed spreads.


And here is a long and repetitive history .. hoping to help the understanding of the underlying fundamentals of the forex business. Developers of arbitrage software should understand and user of the software should understand.


But here is why it bother the decent brokers: The retail forex has became so competitive between them( in this case talking about all types of brokers , MM, ECN, Banks or whatever level you trade) that all have gone multi-suppliers but basically all funnel down to 4 or 5 different quotes from the major world player that we do not have access to. Also they have been force to lower their spread to stay in business. Therefore, if most have same suppliers, when a real arbitrage occurs ( up in the levels we do not have access to) the arbitrage gets water down and “sort of “ distorted going down the chain because of miliseconds softwares/bridges delays of the player involved. “Banks” adjust their quotes to forex brokers (their pool of clients) according to quotes available to them and/or the flow of orders received. The forex Broker adjust their quotes to us according to Bank quotes and orders received from clients.


Now, if our arbitrage software is finding those difference in prices, and you hit them “every time” when happens, in reality , “sort of” technically speaking we are hitting them “off quotes” or “at non-existing prices” . Not the ones we are getting quoted from them, but rather “off quote” or “non-existing” to them from their Banks, and if the system fills your order, they “may” have to eat the difference.. ... Say, if they pay 0.5 pips to their Banks for your transaction, and they charge you 1.2 pips but in the process you hit them in those “specific” times, sooner rather then later they realize you are using some kind of software to find price differences and they are not getting the 0.7 pips mark up from you, and many times losing 1 or 2 pips money from your transaction.


This happens occasionally to all brokers in affords to fill your order, they eat a bit of loss. But if you hit them in a continuous basis, all day long, that is a different scenario to them. They also figure that may lead for you to invite all your friends and neighbors to trade the software there and then what...end up with a bunch of clients they may have to eat their profits in a continuous basis? Not a chance.

Lets no be blind in this regard. They really don’t know what type of software we are using, but if your trading all of a sudden goes from 2 transaction a day to a 100, and most are in those “specific times”, it is not difficult to figure you are attempting to advantage from non-centralized price quoting.


They will cut you off right away, and suggest you trade in their ECN section if they have that choice. But remember, if you agree to trade that way ..”at market”, understand there is BIG SPREADS sometimes and you need to watch out while you trade. You still must understand even in that environment the price may still move from the time you click your PC and the brokers software route you to that price. No body is trying to screw you. That is “at market” You get what you get for better or worse.


As trader we must understand this type of fundamentals. If we do not understand , we are bound to be frustrated and thinking that every stinking broker is trying to screw us. And we spend our entire time looking for the “Holly Broker” 1 pip fixed spread , no slippage. .. yea, right, in what planet?


Absolutely NO ONE in the forex business exchange money for free. From the bottom (your friendly money exchanger in your local International airport, up to 30c a pop) to the top (whatever big bank or powerstobe that is). And NO ONE wants to buy it from you or sell to you at Break-even or at a loss. Nothing supersede that reality.

Forex is not a centralize market. There is no official “real price or quotes” The real price “to me” is the one “my broker” quotes me and hooks me up from between his suppliers, period. If you have a different brokers you may have different prices at times, that price is also a “real price/quote ” to you, but not me. Unless I have accounts in both and try to play the differences. (arbitrage).

As a matter of fact any Bank, broker, or money exchanger can quote you as they darn please. If they are not making money, they just widen their spreads and stay out of the market until they can make some.


But they can not stay out of the market for long. They have to be competitive to make money. The same rule apply to the money exchangers at the airport and the Banks. If you have a choice in one airport, you will always exchange in the one with a lesser spread. The one with a greater spread gets no business, not making a dime that day. Does not matter if the exchange rate is 1.20 or 1.50. If they don’t exchange, profit is zippo to them.


Recently, as per request of one of my passive investor I tested one commercial software between Alpari UK and Fxdd. The software finds an average of 150 arbitrages per day in demos, and around 75 arbitrages per day (2 pips or over) between real accounts (note; “find” them. I did not execute them). Then, I tested the execution, but setting to 1 arbitrage at the time with a minimum delay of 15m between the open and the close (sort of resembling my own trading habits). Ended up making some 12 pips in one day. Not bad, but here is the thing. One of my accounts loss some $500. and the other won $512 using 0.10 lot. That means if I did it with one full lot. Would have drained $5000 from one account and make $120. That hardly covers the wire fees to replenish from one broker to the other. Conclusion and advise to my investor. Needs at least 15K, per broker, and at least 4 of them to alternate. Recovering cost of the software 3 to 6 months.

Bottom line, arbitrages do occurs in a continuous basis. Easy to find, difficult to execute them properly between market reality. If the software execute well, be prudent and discrete to use it. This type of software can never be main stream/massive use. It does take advantage of the Non-centralized market and that is ok, but it does step into brokers pockets sometimes (honest or not). Hit them 4/5 per day, leave them alone the next day.

.
Quoting Iceworld79
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 quotes does not change before sending out the orders and my execution is tweaked to be reasonably fast (in average, one is 200ms, the other one is 600ms). The slippage kills the system. I guess this system is really sensitive to the brokers. I've spent so many hours to build the system, now I feel very depressed for the live testing...
Absolutely no solution for slippage. Slippage will happens all the time in a non-ECN environment. Slippage is just the adjustment from your broker's Non-ecn pricing to the Price they are getting quoted from their banks at a specific time. Sometimes quotes match, sometime does not. When does not and you wants to transact, your broker's software just take your order to the price they are being quoted. That is the slippage you are getting... and will happens at least 50% of the time when attempting to advantage pricing differences.

See the part "Nothing supersede that reality". from my previous post

.
Quoting Iceworld79
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 quotes does not change before sending out the orders and my execution is tweaked to be reasonably fast (in average, one is 200ms, the other one is 600ms). The slippage kills the system. I guess this system is really sensitive to the brokers. I've spent so many hours to build the system, now I feel very depressed for the live testing...
And if you use limit order instead market order ? ... you maybe loss trades because your price it's not hit but if you hit you win !?
Quoting jeuro
Absolutely no solution for slippage. Slippage will happens all the time in a non-ECN environment. Slippage is just the adjustment from your broker's Non-ecn pricing to the Price they are getting quoted from their banks at a specific time. Sometimes quotes match, sometime does not. When does not and you wants to transact, your broker's software just take your order to the price they are being quoted. That is the slippage you are getting... and will happens at least 50% of the time when attempting to advantage pricing differences.

See the...
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 mentioned. This makes me think that the broker arbitrage is never gonna be your capital-builder. It is not RISK_FREE at all because you are at the mercy of brokers and market conditions.
Quoting surfeur
And if you use limit order instead market order ? ... you maybe loss trades because your price it's not hit but if you hit you win !?
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 prices which are very close) where you think the market will eventually bounce between, so you get profit. If the market go against you, the loss is big. It is against the principle of hedging. I think.
Quoting Iceworld79
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 mentioned. This makes me think that the broker arbitrage is never gonna be your capital-builder. It is not RISK_FREE at all because you are at the mercy of brokers and market conditions.
You are 100% correct. Arbitrage should be just one of the many strategies you use. But it should build capital in the long run if you do not get greedy. Do not get too much discouraged. Some days are are definitely better then others. Software sometimes gets the market conditions+your broker pricing just perfect and you make good pips. Yes, arbitrage is not risk free, but most of the risk is when 1 of the brokers does not execute a trade in the opening or close. But that also can go both ways. You can win or loss in a 50/50 chance. If you get them both. The risk in minimum.. like 1 or 2 pips max. Just dont run your software without supervision. That is plain crazy. Does yours have some king of safety to close a trade after some seconds if one is not executed?
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Quoting jeuro
You are 100% correct. Arbitrage should be just one of the many strategies you use. But it should build capital in the long run if you do not get greedy. Do not get too much discouraged. Some days are are definitely better then others. Software sometimes gets the market conditions+your broker pricing just perfect and you make good pips. Yes, arbitrage is not risk free, but most of the risk is when 1 of the brokers does not execute a trade in the opening or close. But that also can go both ways. You can win or loss in a 50/50 chance. If you get them...
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 software should be responsible fast enough to the market. The best weapon of broker against us is slippage, which does work. I feel it is painful if they gave you 4-5 pips slippage every time. It is just the brute truth, I even got 10 pips slippage. since we are only targeting 1~2 pips every trade, the slippage can wipe all you accumulated profit easily and put your account into red. Technically, my software should be already in a very mature shape (multi-currency, multi-brokers and fast execution). I've been keeping lost money due to ONLY slippage, which none of us has control.
Quoting Iceworld79
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 prices which are very close) where you think the market will eventually bounce between, so you get profit. If the market go against you, the loss is big. It is against the principle of hedging. I think.
You are exactly right. Experience has shown that placing two limit orders (one buy / one sell - even in a forward testing environment) tends to accentuate the negative side of this strategy. When it doesn't work out, one side will get filled - the side that locks in the loss (usually large because the market doesn't come back), while the side that would provide profit goes unfilled too high a percent of the time. And this is with no ill intention from the broker - just simple market mechanics.

Two market orders isn't necessarily a panacea either. If you think about it, this strategy (arbitrage) assumes the two prices haven't moved between the time you received the two quotes and processed the arb and sent the orders and received a fill. If you have a 100 millisecond ping (round trip) to both brokers, it took ~ 50 ms to receive the quote + the time to process the quotes to spot the arb opportunity. If you can do the processing in 10ms, and send the order, you can get the order in within 110ms. The broker will take some time filling the order. Let's say you're using the protocol to keep MT4 fill time down. Broker fill time will vary but if it is 200 ms then you have to hope prices haven't changed in that 1/3 of a second since you received the perceived arb opportunity. If the broker is a market maker that buckets your orders they have 200ms to "individually price" your fill into their feed or decide to move the quote, leading to slippage on the user end. (This does happen from real trading experience.)

I still feel the best way to put the odds in your favor is to determine which quote is out of alignment / slow, and attempt to get a fill on that price with a small slippage amount (zero). If the order is rejected, refresh quotes and try again as long as the opportunity exists / appears. Once filled, fire off the 2nd order to the 2nd broker to lock in the profit, then apply ian's sage advice:

Quote
* Market Makers are possibly easier to arb but you must be careful not to sting them on profit else the more dishonest types are likely to kick back - for those you should consider manipulating the close to leave losses with the market maker (so they wont mind so much). This may make many market makers viable for arbing - some market makers may detect the arbing (its not difficult to do) and object on principle - but who knows unless you try

It still isn't a risk free trade as the market can step back after you get your first fill, causing the 2nd order to lock in a breakeven or even a loss if the step back is quick/large. If your first broker filled is a last looker, you will get more step backs. Think about it.
Highlighted some particularly interesting comments regarding the mechanics of the broker prices we see vs. the actual prices they receive from their suppliers.

Quoting jeuro
Now, if our arbitrage software is finding those difference in prices, and you hit them “every time” when happens, in reality , “sort of” technically speaking we are hitting them “off quotes” or “at non-existing prices” . Not the ones we are getting quoted from them, but rather “off quote” or “non-existing” to them from their Banks, and if the system fills your order, they “may” have to eat the difference.. ...
Quote
Say, if they pay 0.5 pips to their Banks for your transaction, and they charge you 1.2 pips but in the process you hit them in those “specific” times, sooner rather then later they realize you are using some kind of software to find price differences and they are not getting the 0.7 pips mark up from you, and many times losing 1 or 2 pips money from your transaction.

Quote
This happens occasionally to all brokers in affords to fill your order, they eat a bit of loss. But if you hit them in a continuous basis, all day long, that is a different scenario to them. They also figure that may lead for you to invite all your friends and neighbors to trade the software there and then what...end up with a bunch of clients they may have to eat their profits in a continuous basis? Not a chance.

Quote
Lets no be blind in this regard. They really don’t know what type of software we are using, but if your trading all of a sudden goes from 2 transaction a day to a 100, and most are in those “specific times”, it is not difficult to figure you are attempting to advantage from non-centralized price quoting.

It doesn't even take 100 transactions in a single day to alert the broker. A consistent pattern of (small) profits over a couple of weeks will do it given even 5-15 trades per day, particularly if those trades are small or the holding period is small. But if you're making $$$, you're on the radar regardless of the strategy employed.

Given how easy it is to create a report and to sort that report by equity change over a given period of time, don't you think that any broker who has a part time intern programmer has a monthly, weekly and daily profits report as shown on IBFX Connect "Top Live Performers" ?
Quoting FXEZ
I still feel the best way to put the odds in your favor is to determine which quote is out of alignment / slow, and attempt to get a fill on that price with a small slippage amount (zero). If the order is rejected, refresh quotes and try again as long as the opportunity exists / appears. Once filled, fire off the 2nd order to the 2nd broker to lock in the profit, then apply ian's sage advice:
With the slow MT4 execution, this should not happen very often and bring more uncertainty, in my opinion.
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