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Arbitrage between 2 brokers

  • #21
  • Aug 25, 2011 12:28pm Aug 25, 2011 12:28pm
Actually, I trade on both.

Thanks for the heads up on Alpari. I wasn't aware of that.

Do you have a link to the EESFX website?

Other brokers shouldn't be a problem. You could put the IBFX EA on say FXDD and the Alarpi EA on say Citi; and it would still work (you'd have to change the IBFX EA to handle orders like Alpari).

Good point though. I should change the EA's to be more generic.

The code isn't that hard to change in the EA's. You shouldn't have to make any changes to the DLL itself for EURUSD.

Thanks!

Quoting ScalperOne
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...
  • #22
  • Aug 25, 2011 1:13pm Aug 25, 2011 1:13pm
Quoting nondisclosure00
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
Hi.

The problem is that I could not find 4xArbEURUSD.dll in the zip file.
CAn you post it please?

Thks a lot
  • #23
  • Aug 25, 2011 1:14pm Aug 25, 2011 1:14pm
easy man...here you go: eesfx.com
Why the Market Makers call themselves Brokers???
  • #24
  • Aug 25, 2011 2:58pm Aug 25, 2011 2:58pm
the file is EURUSD.dll. The directory it goes in is c:4xArb

Sorry about that. I just looked at the zip. Hang on. I'll get up here in a few.

Quoting Kavklov
Hi.

The problem is that I could not find 4xArbEURUSD.dll in the zip file.
CAn you post it please?

Thks a lot
  • #25
  • Aug 25, 2011 3:03pm Aug 25, 2011 3:03pm
Somehow I screwed up the zip in the first post. Here's the compiled DLL.
Attached File(s)
File Type: zip EURUSD.zip   141 KB | 1,873 downloads
  • #26
  • Aug 25, 2011 3:38pm Aug 25, 2011 3:38pm
Quoting nondisclosure00
Somehow I screwed up the zip in the first post. Here's the compiled DLL.

Thanks a lot. I will test now..
You talked about EES, well I just got my hands on their demo acct. What I found out is that they have the same speed and quote as Master4x. So you can go to their Master site and download their MT and open an ECN acct and tested. Another thing that I found out is that the way to go is to get a FIX feed. check this fixprotocol.org
I will post if get any news about this feed.
  • #27
  • Aug 25, 2011 6:41pm Aug 25, 2011 6:41pm
Wow! Thanks! Keep us up to date on what you find.

I'm going over to take a look.

Quoting Kavklov
Thanks a lot. I will test now..
You talked about EES, well I just got my hands on their demo acct. What I found out is that they have the same speed and quote as Master4x. So you can go to their Master site and download their MT and open an ECN acct and tested. Another thing that I found out is that the way to go is to get a FIX feed. check this fixprotocol.org
I will post if get any news about this feed.
  • #28
  • Aug 25, 2011 6:51pm Aug 25, 2011 6:51pm
NO FREEZE LEVEL AT EES! That's a blessing!

Now, I just need to find another broker like them, and maybe we can arb between those two.

Quoting Kavklov
Thanks a lot. I will test now..
You talked about EES, well I just got my hands on their demo acct. What I found out is that they have the same speed and quote as Master4x. So you can go to their Master site and download their MT and open an ECN acct and tested. Another thing that I found out is that the way to go is to get a FIX feed. check this fixprotocol.org
I will post if get any news about this feed.
  • #29
  • Aug 25, 2011 9:08pm Aug 25, 2011 9:08pm
Quoting nondisclosure00
NO FREEZE LEVEL AT EES! That's a blessing!

Now, I just need to find another broker like them, and maybe we can arb between those two.
what do you mean by freeze level?
  • #30
  • Aug 25, 2011 9:29pm Aug 25, 2011 9:29pm
Hi nondisclosure00,
It's nice work no matter whether it works or not in real world.
More than a half decade ago, I had a similar project to get arbitrage in stock markets. We had almost unlimited fund to make the system and at that time there were not that much competitors, allowing us an wonderful play ground. I had a look at your code. (I'm not a coder.) For this type of work, setting up the safety guard is most important. For example, in case one of your platform is disconnected from broker while another is running, Ask and Bid prices from the disconnected broker must be altered to such as Ask=10000 Bid=0 (for instance, you could use IsConnected()). In this way, you can prevent any unnecessary order while this grey period is continued. In your current setting, after you lose signals, I guess Ask and Bid will remain the previous prices which could possibly lead to huge loss. This is just one of many examples. You should consider many details. I encourage you to keep updating your code. I'll give you comments as much as I can.
  • #31
  • Aug 26, 2011 1:04am Aug 26, 2011 1:04am
Thanks. I'll take a look at my code again and put in a '0' on disconnection.

I'm curious how you did an arb on stocks considering they're centrally traded.

Quoting dkwak
Hi nondisclosure00,
It's nice work no matter whether it works or not in real world.
More than a half decade ago, I had a similar project to get arbitrage in stock markets. We had almost unlimited fund to make the system and at that time there were not that much competitors, allowing us an wonderful play ground. I had a look at your code. (I'm not a coder.) For this type of work, setting up the safety guard is most important. For example, in case one of your platform is disconnected from broker while another is running, Ask and Bid prices from the...
  • #32
  • Aug 26, 2011 1:10am Aug 26, 2011 1:10am
http://kolier.li/dictionary/define-freeze-level

Lets use the following example: EURUSD Ask:1.23450 Bid:1.23460 Freeze Level (FL) is 30. Your spread is 10.

So let's say you go long. You set your take profit at 1.23470 (10 pips). The down side is that you won't be able to close your position at that price. Becuase w/ a FL of 30, you can't close until the Bid is either above 1.23490 or Below 1.23430.

That, in brief, is a Freeze Level (FL).

Quoting Blud4oilPrgm
what do you mean by freeze level?
  • #33
  • Aug 26, 2011 1:13am Aug 26, 2011 1:13am
Quoting nondisclosure00

I'm curious how you did an arb on stocks considering they're centrally traded.
You can easily arb them simply playing with latency...If you wanna scalp the etf you can take a server at Nyse and scalp them all they long...It is really expensive but it worth...
Why the Market Makers call themselves Brokers???
  • #34
  • Aug 26, 2011 10:27am Aug 26, 2011 10:27am
Quoting nondisclosure00
http://kolier.li/dictionary/define-freeze-level

Lets use the following example: EURUSD Ask:1.23450 Bid:1.23460 Freeze Level (FL) is 30. Your spread is 10.

So let's say you go long. You set your take profit at 1.23470 (10 pips). The down side is that you won't be able to close your position at that price. Becuase w/ a FL of 30, you can't close until the Bid is either above 1.23490 or Below 1.23430.

That, in brief, is a Freeze Level (FL).
I am testing on 4 brokers at the same time activ, alapri uk, masterforex and youtrade. Question: is there a difference in which arb ea goes to the broker? arb-alpari is the slow one? so I should use the arb-ibfx on the quicker one?
Still looking for the FIX feed.
  • #35
  • Aug 26, 2011 11:00am Aug 26, 2011 11:00am
Yes, ScalperOne is right. It's a matter of speed and money for building up infrastructures..
Quoting ScalperOne
You can easily arb them simply playing with latency...If you wanna scalp the etf you can take a server at Nyse and scalp them all they long...It is really expensive but it worth...
  • #36
  • Aug 26, 2011 11:33am Aug 26, 2011 11:33am
Essentially they're the same exact EA w/ one exception; the IBFX one handles sending orders differently because IBFX has a different way of fulfilling orders.

I'm going to work on 'generic' EA's to be uses on brokers that aren't IBFX. I'll make the changes to the DLL too. I will be working on this as soon as I get the time.

Stay tuned!

Quoting Kavklov
I am testing on 4 brokers at the same time activ, alapri uk, masterforex and youtrade. Question: is there a difference in which arb ea goes to the broker? arb-alpari is the slow one? so I should use the arb-ibfx on the quicker one?
Still looking for the FIX feed.
  • #37
  • Edited 12:24pm Aug 26, 2011 11:47am | Edited 12:24pm
Hi nondisclosure00,
Have you replaced your codes on post 1?
I've been playing with your codes and found several errors such as closeall() in Quick Scripts file for one of them is not a bool type function but at some point there was a place to require a return value from this function...and several more etc...(error in SymPoints value). But, it seems like the current version is okay with these issues.

Anyway, I've noticed other issues (which are still there) in an ecn account (once an order is placed EA doesn't set up TL and SL immediately. I saw there is no ordermodify() is called right after sell or buy orders in IBFX-Quick Scripts file.

You may notice that sell orders cannot be placed in your code. Please have a look at the condition inside funcGenerationSignal() for sell.
if (Bid>varOtherA&&varSpread&&(varOtherA-Bid)/Point >varDistance)
I believe (varOtherA-Bid)/Point >varDistance should be changed to (Bid-varOtherA)/Point >varDistance because of varOtherA-Bid<0.


I have seen other issues but I haven't figured out whether it made problems.

You're in the states right ? If so, I think using MBT and IBFX would be an ideal place where MBT's spread is always less than 10 while IBFX's one > 20. I've seen many events signaling 1 or 2 today.

I have a quick question. I can't figure out why funcCheckTime() is necessary. I think I miss something.... Also, it seems to me we could face with cases which don't turn "CloseSucess" in EnterLong/EnterShort functions to true even after closing orders... Well, I'll dig up more tonight. Please let me know if you update your code.
  • #38
  • Aug 26, 2011 4:51pm Aug 26, 2011 4:51pm
I'm curious as to what code your looking at. I've taken a look at the code and I don't see the issues. See comments inside the code.

And don't forget. You're always more than welcome to change the code! I don't claim to have any copyrights on it.

Well, all of my comments didn't make it. I'll be posting new code soon.
  • #39
  • Aug 26, 2011 5:16pm Aug 26, 2011 5:16pm
See post #1 for new code in zip along w/ compiled DLL in the same zip.
  • #40
  • Aug 27, 2011 9:06am Aug 27, 2011 9:06am
Hi nondisclosure00,
Yes, your previous version was okay except the sell order issue. I've gone through your current codes and it seems logically okay. Your codes for "generic" are intended for non-ECN broker right ? I've changed it for my brokers. I'll test them in IBFX/MBT or MBT/FINFX next week. I'll ask my previous colleagues for basic functions/safe nets the system must have. NYC is preparing Irene and luckily my place is not in zone A, but I'll definitely try to add some features and let you know. (I can't send PM now because I'm a junior member.)

May I ask you which brokers you're testing this system on ? ECN brokers don't have FL as far as I know. (I'm sure IBFX ECN and MBT don't have it.)

Cheers,
D

Quoting nondisclosure00
I'm curious as to what code your looking at. I've taken a look at the code and I don't see the issues. See comments inside the code.

And don't forget. You're always more than welcome to change the code! I don't claim to have any copyrights on it.

Well, all of my comments didn't make it. I'll be posting new code soon.
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