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Is there a free forex arbitrage calculator?

  • #1
  • First Post: Feb 28, 2006 11:27am Feb 28, 2006 11:27am
Is there any forex arbitrage calculator which is free? Something with streaming real time forex quotes and a meter showing the arbitrage opportunities all calculated in real time?
  • #2
  • Mar 1, 2006 8:09am Mar 1, 2006 8:09am
There was a good discussion about building one here awhile back.

The fellow who was a programmer backed out of the project due to other time demands.

I'd still really like to see this thing take off!

Cet.
  • #3
  • Mar 1, 2006 8:32am Mar 1, 2006 8:32am
Preferraby the real time calculator should be suitable for use with retail online forex companies, not those used by the banks themselves.

Manual calculation is a bit too slow, and too error-prone.
  • #4
  • Edited 12:52pm Mar 2, 2006 12:47pm | Edited 12:52pm
I have already written a real-time arbitrage calculator linked to TWS. On the demo data feed (15 min delayed) it has some impressive results. Once I activated the papertrading account (Real-Time Data), the opportunities that do exist are *VERY* minor and usually turn into a loss due to slippage. I have tested when the arbitrage occurs between EUR/USD --> EUR/GBP --> GBP/USD that profits can be made, albeit very far a part and very small amounts. I have tested both the spot and futures markets with this program.

The actual P/L includes commissions from IB (0.00002*Amount), usually about 2.50 each way, so that would be approx 7.50 in commissions on one exchange. If we were using another forex broker that has a built in spread, I could only imagine the results would be worse.

If anyone has any arbitrage pairs to test or other ideas to code, I would be happy to modify the code, plug them in and run a trial... If it turns out successful, I will post the code here...
  • #5
  • Mar 2, 2006 1:07pm Mar 2, 2006 1:07pm
I think the one you refer to is suitable for the bank's not for things like retail forex or futures trading.

Although, if you write the program eg. for EUR/USD --> EUR/GBP --> GBP/USD, and it spots a suffiiciently wide profit to be made from the arbitrage, eg. 10 to 20 pips, that can be useful.
  • #6
  • Mar 2, 2006 2:51pm Mar 2, 2006 2:51pm
I'd be interested in helping you guys create a real-time calculator, but I have a question...

how exactly would you take advantage of arbitrage?

Like how would you actually trade arbitrage?

If I buy the EUR/USD, sell the EUR/GBP and sell the GBP/USD I would have 3 open positions.

I suppose this is because I'm trading on the spot market. Is there a broker I can trade to take advantage of arbitrage? Can I do this with a broker like FX Solutions or MBTrading?

A little bit of direction would go a long way to motivating me to create a simple calculator.
  • #7
  • Mar 2, 2006 3:03pm Mar 2, 2006 3:03pm
That situation is a 3-way arbitrage. If you are in the banks you have the facilities to do that. There must be an actual flow of the currencies to different parties.

For the spot market you refer to, one way to use the 3-way arbitrage is to choose the 1 of the 3 and hope you get it right.

Using 3 pairs to choose 1 the certainty is not as high.
  • #8
  • Mar 2, 2006 3:11pm Mar 2, 2006 3:11pm
Then why the need for a real-time arbitrage calculator?

What advantage does that bring if there are no brokers (or whatever) that allow you to trade in this manner.

You're right, though...picking 1 and hoping it's right is nearly impossible as a successful strategy.

When I did my initial search on arbitrage calculators, this method came up...in fact, the previous post in this thread mentioned triangular arbitrage.

If that's an incorrect assessment of what you're trying to accomplish, please explain further...I'd love to know if there truly is an opportunity using arbitrage.
  • #9
  • Mar 2, 2006 4:57pm Mar 2, 2006 4:57pm
Realize, the only thing that keeps the rates "in-sync" is arbitrage. While we all try to take advantage of it (and it CAN be done), I am finding out we would have to take advantage of "cross-broker" arbitrage to take advantage of any latency in bank feeds. Any ideas on this? Simply trying to triangulate with one broker, their feed systems have "anti-arbitrage" algorithms to prevent any large disparities.


Any more ideas???
  • #10
  • Mar 2, 2006 9:24pm Mar 2, 2006 9:24pm
There is no need for a cross-broker operation.

If you use two-brokers to accomplish an arbitrage all you have to do is look at the same contract quoted by the two-brokers to see any discrepancies in the pricing. Or, you can achieve the same effect by using eg. spot and futures.

The arbitrage calculator is useful for trading the forex rates as there are, no need for cross-brokers.

1 out of 3 is not very certain, however, if there are 2 sets of 1 out of 3's and both show that a particular rate should be a "buy" then the probability is higher that that particular rate is likely to rise.

Such a calculator will be useful in pinpointing the opportunities within an hour. Example, if it can spot 2 to 3 opportunities of 5 pips of high probability wins, then it would be worthwhile sitting in front of the computer 10 hours a day making about 10 pips an hour and 100 pips a day.
  • #11
  • Mar 2, 2006 10:39pm Mar 2, 2006 10:39pm
Munch munch, send me the details and I will code it up and let it run... The system is already written and has a real-time datafeed, just need to enter the parameters.
  • #12
  • Mar 2, 2006 10:47pm Mar 2, 2006 10:47pm
Those ARE the details.

If you have one set of 1 out of 3, the certainty is not so high. If you have 2 sets of 1 out of 3, the certainty is higher. If you have 3 sets of 1 out of 3, even higher.
  • #13
  • Apr 1, 2006 7:45am Apr 1, 2006 7:45am
Quoting kwallace
Munch munch, send me the details and I will code it up and let it run... The system is already written and has a real-time datafeed, just need to enter the parameters.
How is the arb calculator running? Anny success? thanks
Profitsee - Knowing the future is not enough.
  • #14
  • Apr 1, 2006 10:05am Apr 1, 2006 10:05am
At this time I'm writing this, the following exists (this is from forex-markets.com, no endorsement, just the souce I'm going from). It was like this for the past 1 hour on this Saturday (NY EST)

Bid: EUR/GBP = .6971
Ask: EUR/USD = 1.2118
Bid: GBP/USD = 1.7373

I did this mock up in an Excel using Goal Seek tool:

The Bid for GBP/USD should = 1.7383 (10 pips); The Bid for EUR/GBP = .6975 (4 pips), the Ask for EUR/USD = 1.2110. These are based at the Ask: EUR/USD price of 1.2118. (8 pips); the spread are 3, 5 and 1 respectively.

Am I understanding this correctly that buying at the current Ask price of 1.7376 for GBP/USD, buy at the current Ask for EUR/GBP of .6975, and shorting EUR/USD at now current 1.2117 would yield a guaranteed profit? No matter which way these three will move, they all have to be +total pips - spread which in this came comes to 22 pips - 9 pips.

Tell me whree I blew it, thanks
Profitsee - Knowing the future is not enough.
  • #15
  • Apr 1, 2006 1:50pm Apr 1, 2006 1:50pm
Quoting Profitsee
At this time I'm writing this, the following exists (this is from forex-markets.com, no endorsement, just the souce I'm going from). It was like this for the past 1 hour on this Saturday (NY EST)

Bid: EUR/GBP = .6971
Ask: EUR/USD = 1.2118
Bid: GBP/USD = 1.7373

I did this mock up in an Excel using Goal Seek tool:

The Bid for GBP/USD should = 1.7383 (10 pips); The Bid for EUR/GBP = .6975 (4 pips), the Ask for EUR/USD = 1.2110. These are based at the Ask: EUR/USD price of 1.2118. (8 pips); the spread are 3, 5 and 1 respectively.

Am I understanding this correctly that buying at the current Ask price of 1.7376 for GBP/USD, buy at the current Ask for EUR/GBP of .6975, and shorting EUR/USD at now current 1.2117 would yield a guaranteed profit? No matter which way these three will move, they all have to be +total pips - spread which in this came comes to 22 pips - 9 pips.

Tell me whree I blew it, thanks
As far as I can see it according to your quotes for GBP/USD & EUR/GBP:
1.7376 * .6975 = 1.2119

So you will be buying EUR/USD @1.2119 & selling @1.2117 with a garanteed loss of 2 pips.
  • #16
  • Apr 2, 2006 3:47am Apr 2, 2006 3:47am

Forex arbitrage, although a great idea, is such a rare opportunity these days. Information is updated far too quickly for you to take advantage of the few opportunities that exist on a daily basis.

  • #17
  • Edited 9:13am Apr 2, 2006 9:09am | Edited 9:13am
Quoting eddie0816

Forex arbitrage, although a great idea, is such a rare opportunity these days. Information is updated far too quickly for you to take advantage of the few opportunities that exist on a daily basis.



Eddie & Baboon,

Thanks for your feedback. Although my resources are limited, arbs are so fascinatating! Your entirely right on arbing major currencies.

My previous post had some severe errors (no surprise there! )!!!!,

Given the bid/asks for EUR/USD, GBP/USD and EUR/GBP at this moment, the "out of whack" number is the spread on the GBP/USD should be tighter or the GBP/USD pair should be lower (it now stands at 1.7374 / 1.7379). Not an arb, the pair is not accurate when accounted for by the other two pairs.
Profitsee - Knowing the future is not enough.
  • #18
  • Apr 2, 2006 10:51am Apr 2, 2006 10:51am
Calculated at current prices at this posting

Trade 1: Sell 1 GBP for USD @ 1.7374
Trade 2: Buy EUR with USD @ 1.2117 (1.7374 / 1.2117) = 1.4338 EUR
Trade 3: Sell EUR for GBP @ .6971 (1.4338 *.6971) = .9995 GBP

My read on is this is that one is selling 1 GBP at trade 1 and buying it back at .9995, capturing a .0005 per 1 GBP sold.

Is this correct? Where did I blow it now? I'm more interested to see if this 3-curr. arb someone described if this is the calulation one deploys?
Profitsee - Knowing the future is not enough.
  • #19
  • Nov 17, 2007 7:00pm Nov 17, 2007 7:00pm
Quoting Profitsee
Calculated at current prices at this posting

Trade 1: Sell 1 GBP for USD @ 1.7374
Trade 2: Buy EUR with USD @ 1.2117 (1.7374 / 1.2117) = 1.4338 EUR
Trade 3: Sell EUR for GBP @ .6971 (1.4338 *.6971) = .9995 GBP

My read on is this is that one is selling 1 GBP at trade 1 and buying it back at .9995, capturing a .0005 per 1 GBP sold.

Is this correct? Where did I blow it now? I'm more interested to see if this 3-curr. arb someone described if this is the calulation one deploys?

Have you made any progress on this topic?
  • #20
  • Dec 23, 2008 10:19am Dec 23, 2008 10:19am
Here is the EA that will do Triangular Arbitrage
Attached File(s)
File Type: ex4 TRIANGULAR ARBITRAGE HEDGE-DAILY-TRIAL5-MM.ex4   43 KB | 3,946 downloads
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