Kurka - Arbitrage Dashboard

Here is a tool that I came up with a while back that helps determine the best way to enter into a position by creating synthetic alternatives. You can also use it to create market neutral carry trades (risk free profits), although at the retail level the spreads are quite thin (In most cases the carrying cost are more expensive than the transactional).

Its based on some work I did a while ago for a few market makers that were looking for more creative ways to pass on risks. Essentially these methods allow them to hold a larger book without any increased counter party risks. However, if the traders start using the same tools...you can level the playing field. Or in the case of the carry trade, slowly drain the market makers bank accounts...

Added ver_2

Very interesting dashboard. Could you explain how you would use it for everyday trading. Thank you.

Use it to determine any position that you want to take.

For example say that you want to take a 2M long Eur/Usd position @ 1.2790.

You look at the dashboard and it shows you the best way to create that position using synthetics. can save a few pips on every position you take = more profit to you. In this case xChf = 1.2789

Its especially useful if you are taking a long term position and are concerned about carrying costs.

Same example as above... Instead of earning .18 you can use the xAud synthetic and earn 6.69 with the same market exposure.

Its basically the reverse of how your broker manages counter party risk. (last statement is not 100% true, some brokers have slim margins and still use old school pricing engines)

hi kurka

i read your other thread about arbitrage...

can i use this dashoboard also for your idea of the consensus price. i found this idea very intresting. did you succed with this idea? did you develop it further?

i m not a programmer. so i cant use this idea of the consensus price, because i think it only work on small timefrimes like 1 minute best or?

thx for dashboard

regards lodol

I added a distributive price and made a few other adjustments.

Also grayed out all insignificant data to help spot opportunities.

Find Better swap rates

Consensus pricing

Identify price discrepancies, gives insight into brokers book.

Create Market neutral carry trades, free money (drain your brokers bank account)

Ok, questions from emails regarding this thread.


Q: Is this an Indicator, EA or Script?
A: EA

Q: What chart and timeframe do you use it on?
A: Any, results will be the same no matter what.

Q: It doesn't work properly because some of the xXXX are just blank space like the EURUSD is Blank under the xEUR and xUSD columns this is what we need most.
A: You need most to understand the concept. EURUSD cannot have a synthetic made from itself, the whole point is to evaluate what the price of each pair is according to a third index. None of the pairs will have a value calculated in the Base or Cross columns.
There will also be blanks if your broker does not provide the pairs needed to compile a synthetic.

Q: Have you back-tested this strategy?
A: Its not a strategy, just a pricing engine to give you some perspective on your brokers book. Its very similar to the tools that brokers use to make a market for you to trade on. If you see some anomalies you can better understand what your broker is doing to maximize profit. For example your broker may have Heavy EURUSD exposer, so they might be inclined to manipulate the price or convert that exposure to something that nets a better carry, this dashboard simply gives you some perspective.

Q: I loaded it on my chart and it has not made any trades, please fix this problem.
A: Seriously

Q: How is this used in trading strategies?
A: I think it is well suited for multi currency scalper systems. You can also cast a wide net and use it to create and manage carry trades with limited risks. The best use however would be to use it as a market maker to manage your clients books. I would like to hear some other ideas...

Here is an example of an mismatch opportunity.

Say that you want to Short 100k EURJPY @ 106.698 with a swap of -1.76 ,but then you look at the dashboard and see that the xUSD is 106.700 with a swap of -1.71.

So instead of just selling 100k EURJPY you would create the xUSD

by selling 84k EURUSD @ 1.27200
and selling 100k USDJPY @ 83.844

Its a better price and it costs less to carry...The only drawback is managing two positions and higher margin, but if you know what your doing thats pretty simple .

Thank you.

Q: What do you mean by market neutral carry trade?
A: You earn interest without (very limited) risk to your equity.

For example: Say that you put together a trade consisting of 8 open positions with a margin requirement of $12,000 and a daily net carry of $6.29.

You basically earn ~$2,250 per year on $12,000 in capital or ~18%.

There will be some equity fluctuations because you are not exposed to the entire market and your deposit is in one currency, but this can be easily managed and contained within 3% annually if you do it right.

Bottom line you can easily earn about 15% annually on your money with very limited risk and low volatility.

Thanks for the explanations. It will take some time to get used to this concept, but it has great potential.

I've tried loading this EA in both IBFX and MBTrading but can't seem to get the display. I put the ex4 file in the experts folder as you indicated.

In the experts tab I get a "zero divide" error on both platforms. Also, IBFX shows a happy smiley face but MBTrading shows a frowny face .

Very Nice Job kurKa !!

For the zéro divide i think u need all pairs on your brokers.. See the screenshot of kurka..

Regards

Kurka,

Love the idea of the dashboard but I like others seem to be having problems loading it. I have all the currencies on your screenshot available through my broker and yet I still get a zero divide error and no information showing on screen (other than the smiley face of course).

Any ideas?

If not could you possibly release another version where we can turn true/false each currency so we can narrow down which pair is causing the error and to make the whole dashboard more useable across multiple brokers platforms.

Thanks

Jono

Kurka,

Curious, why not post the source code?

Basically I'm trying to figure out how to write an EA to take advantage of the discrepancies that Kurka shows on his screen shots.

But w/out source code for the dashboard and a better understanding of what exactly is going on, I'm having a lot of problems.

Anyone?