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Arbitrage between 2 brokers

  • #1
  • First Post: Edited Aug 26, 2011 5:14pm Aug 17, 2011 11:30pm | Edited Aug 26, 2011 5:14pm
First, I would like to say that I have found an over-abundance of information here on FF. I hope this helps other people in their Arbitrage journey.

Now, I've included a zip file that has the necessary components for Arbitrage EURUSD between IBFX and Alpari (you can use any 2 brokers you like, you just need to remember which is which).

Instructions for installing are in the zip file. I've also included a zip file in the zip file that has the Visual Studio 2010 source code for the dll.

What I'm hoping here is that we can improve on this.

Here's the situation: It's successful. 18 out of every 19 trades, profit. The one loss is a doosy (big). So, what I'm hoping for is some help in refining the EA so that we can make that loss not so bad. And then I can create what's necessary for all other pairs.

Rules of the EA:
Entry: When Bid is greater than the other terminals ASK by amount of spread or freezelevel (which ever is greater), we enter one short (the Bid terminal) and one long (the ask terminal). In thoery, the prices should meet. Or at least come close.
Exit: When prices become mixed (ie. Bid in one terminal is no longer greater than ask in the other). Or TP. Or SL.

Now, in theory this sounds good. But I'd like some other people who have expierence in this to chime in.

What could we improve?

Update (8/26/2011 3:10 AZ USA)
I've changed the code around now to be generic. Terminal 1 and Terminal 2 EA's in the generic folder w/ their include file for Brokers that allow a set value to be sent in the OrderSend() function for TP and SL.

For those that REQUIRE 0's to be sent for TP and SL. Use the IBFX Terminal 1 and Terminal 2 EA's and include in the IBFX folder. These modify the SL and TP values AFTER the position has been opened.

Thanks.
-Non.
Attached File(s)
File Type: zip Arb - EURUSD.zip   238 KB | 8,390 downloads | Uploaded Aug 26, 2011 5:11pm
  • #2
  • Aug 18, 2011 12:30am Aug 18, 2011 12:30am
Quoting nondisclosure00
First, I would like to say that I have found an over-abundance of information here on FF. I hope this helps other people in their Arbitrage journey.

Now, I've included a zip file that has the necessary components for Arbitrage EURUSD between IBFX and Alpari (you can use any 2 brokers you like, you just need to remember which is which).

Instructions for installing are in the zip file. I've also included a zip file in the zip file that has the Visual Studio 2010 source code for the dll.

What I'm hoping here is that we can improve on this....
I have done this before and here are the problems i have faced when using bucketshop retail brokers:

i) It is against broker policy to Arbitrage, they will almost always find out and revoke all your profits from your account. I have had this happen several times.

ii) both the orders should take place without fail like a transaction. Often, only 1 leg gets executed which leaves you naked and prone to losses.

iii) This will not work in Live as smooth as it runs on demo. Live execution is very slow when compared to Demo.

Overall, i would say unless brokers explicitly allow you to arbitrage(why would they ever ), this is a losing game and i believe you should move on to other things. Unless ofcourse you can try this on ECN and other big brokers.
  • #3
  • Aug 18, 2011 5:38am Aug 18, 2011 5:38am
hes talking about using 2 brokers , probably one to buy another to sell . this does not cause any problems however things get rather complicated when pairs get less volatile . this kind of strategy is good for risk appetite pairs where pairs go sideways.


Quoting bravester
I have done this before and here are the problems i have faced when using bucketshop retail brokers:

i) It is against broker policy to Arbitrage, they will almost always find out and revoke all your profits from your account. I have had this happen several times.

ii) both the orders should take place without fail like a transaction. Often, only 1 leg gets executed which leaves you naked and prone to losses.

iii) This will not work in Live as smooth as it runs on demo. Live execution is very slow when compared to Demo.

Overall, i would say...
  • #4
  • Aug 18, 2011 7:28am Aug 18, 2011 7:28am
you need exchange traded products if you want to try something like this... otc fx does not work this way.. + spread widen + volatility and your 'arbitrage' locks in a loss
  • #5
  • Aug 18, 2011 8:47am Aug 18, 2011 8:47am
Quoting nondisclosure00
First, I would like to say that I have found an over-abundance of information here on FF. I hope this helps other people in their Arbitrage journey.

Now, I've included a zip file that has the necessary components for Arbitrage EURUSD between IBFX and Alpari (you can use any 2 brokers you like, you just need to remember which is which).

Instructions for installing are in the zip file. I've also included a zip file in the zip file that has the Visual Studio 2010 source code for the dll.

What I'm hoping here is that we can improve on this....
Hi, I tried your system but on IBFX is not possible to attached your EA to the chart. Also when you compile it it has some errors so I dont know how it was running on your site. Please check it.
  • #6
  • Aug 18, 2011 12:06pm Aug 18, 2011 12:06pm
make a calculation, when u made two trades for a single win, 2 pips gone , so if u traded 30 trades u lost 60 pips
  • #7
  • Aug 18, 2011 12:10pm Aug 18, 2011 12:10pm
This is kind of what I'm looking for. But could you explain better?

Also, you were right in your previous post on what I was looking to do.

Quoting tankokjian
make a calculation, when u made two trades for a single win, 2 pips gone , so if u traded 30 trades u lost 60 pips
  • #8
  • Aug 18, 2011 12:10pm Aug 18, 2011 12:10pm
"exchange traded products"?

Quoting akhtergroup
you need exchange traded products if you want to try something like this... otc fx does not work this way.. + spread widen + volatility and your 'arbitrage' locks in a loss
  • #9
  • Aug 18, 2011 1:50pm Aug 18, 2011 1:50pm
I think what he meant is exchanging tangible goods with a predetermined price. That way price doesn't change immediately and you can explore the difference with minimal risk. At least that is how it would work in theory. Applying it is a whole different story though.



Quoting nondisclosure00
"exchange traded products"?
  • #10
  • Aug 18, 2011 6:15pm Aug 18, 2011 6:15pm
What sort of setup are you running the EA on? VPS or home pc with broadband? Network latency is the BIGGEST issue in trying to do these types of trades..

Based on my conversation with someone who has done this, you need to be at least in the 10 milisecond ping and lower from the lead broker in order to pull this off. Anything higher your wasting money.




Quoting nondisclosure00
First, I would like to say that I have found an over-abundance of information here on FF. I hope this helps other people in their Arbitrage journey.

Now, I've included a zip file that has the necessary components for Arbitrage EURUSD between IBFX and Alpari (you can use any 2 brokers you like, you just need to remember which is which).

Instructions for installing are in the zip file. I've also included a zip file in the zip file that has the Visual Studio 2010 source code for the dll.

What I'm hoping here is that we can improve on this....
  • #11
  • Aug 18, 2011 6:27pm Aug 18, 2011 6:27pm
lol only if u have reuters u can do this
  • #12
  • Aug 18, 2011 6:36pm Aug 18, 2011 6:36pm
not true at all ive seen it done using mt

Quoting renga
lol only if u have reuters u can do this
  • #13
  • Aug 19, 2011 12:48am Aug 19, 2011 12:48am
Well, most VPS's I can't use. Because I need access to the OS. @Home on Cox connection I get about 18ms to both brokers. @Rackspace I'm getting about 7ms.

Quoting Blud4oilPrgm
What sort of setup are you running the EA on? VPS or home pc with broadband? Network latency is the BIGGEST issue in trying to do these types of trades..

Based on my conversation with someone who has done this, you need to be at least in the 10 milisecond ping and lower from the lead broker in order to pull this off. Anything higher your wasting money.
  • #14
  • Aug 19, 2011 12:49am Aug 19, 2011 12:49am
I'm doing this w/ MT.

Quoting renga
lol only if u have reuters u can do this
  • #15
  • Aug 19, 2011 12:52am Aug 19, 2011 12:52am
....and you are correct. I am talking about 2 brokers.

Quoting tankokjian
hes talking about using 2 brokers , probably one to buy another to sell . this does not cause any problems however things get rather complicated when pairs get less volatile . this kind of strategy is good for risk appetite pairs where pairs go sideways.
  • #16
  • Aug 19, 2011 1:05am Aug 19, 2011 1:05am
You think try in live soon ?
  • #17
  • Aug 19, 2011 12:11pm Aug 19, 2011 12:11pm
We'll see. I'm going to go about 2 weeks on demo on EURUSD. I have to create the other pairs code. Once I've done that, I'll go about a month or 2 on all pairs.

If I'm happy w/ the results, I may go live.

Quoting surfeur
You think try in live soon ?
  • #18
  • Aug 21, 2011 11:35am Aug 21, 2011 11:35am
HI!! I can only suggest to you to avoid doing this in live with Alpari.
I absume you take the feed from IBFX and trade on Alpari UK....Well I had problems with Alpari due to scalping arbitrage and to make this short they didn't pay the profits...
Instead of taking the feed from IBFX take it from EESFX, their feed is the fastest I have ever seen and more it plots every tivks, it's impressivbe the diffrence you see on the tick chart on the order window....

PS how can I change your great ea to make it run on other brokers?

Sorry for my English
Why the Market Makers call themselves Brokers???
  • #19
  • Aug 22, 2011 3:20pm Aug 22, 2011 3:20pm
Quoting nondisclosure00
We'll see. I'm going to go about 2 weeks on demo on EURUSD. I have to create the other pairs code. Once I've done that, I'll go about a month or 2 on all pairs.

If I'm happy w/ the results, I may go live.
Hi There,

I tried to use your EA but keeps asking for this:
09:30:20 EURUSD Arb-alpari EURUSD,M15: cannot load library 'c:4xArbEURUSD.dll' (error 126)
Hence I was not able to test it yet.
Rgds
  • #20
  • Aug 25, 2011 12:27pm Aug 25, 2011 12:27pm
the dll goes in the c:4xArb directory.

If the dll is in there, check the code in the EA. specifically the #import to make sure it says c:4xArbEURUSD.dll

Quoting Kavklov
Hi There,

I tried to use your EA but keeps asking for this:
09:30:20 EURUSD Arb-alpari EURUSD,M15: cannot load library 'c:4xArbEURUSD.dll' (error 126)
Hence I was not able to test it yet.
Rgds
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