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My Own Broker Arbitrage

  • #121
  • Dec 25, 2011 4:05pm Dec 25, 2011 4:05pm
Quoting tommbstone
All this talk about how arbing wont work makes me wounder even more if what Jason fielder (forexArb) did is really just a 2k scam?
I think now we know why he did not automate it.
I'm glad i kept my money.
We are not saying it WILL NOT WORK - we are saying it is difficult to get it to work for any SUSTAINED period (say 3 hands worth of days). The easiest brokers to arb are also the 'dirtiest' brokers and are likely to take back any profits .. and perhaps more - or complete screw up trading at significant loss

What IS important is to be able to test software in a LIVE environment before spending loads of dosh - especially if the general consensus is that it is unlikely to work well or at all, unless you get strong corroborative evidence that it does/can work in the intended environment

EA sellers sometimes rely on the fact that it can be very difficult to get a refund on purchases and that many buyers just will not bother. 2k with no effective trial and no decent corroborative evidence is possibly throwing the money away - or worse

Better still - give it to a charity, or even me - i guarantee it will go to a good cause ;-)

RR - remember my offer is open - if i can offer a hand, ill try and find the time - no guarantees though
  • #122
  • Dec 25, 2011 4:58pm Dec 25, 2011 4:58pm
Quoting ianj1
RR - remember my offer is open - if i can offer a hand, ill try and find the time - no guarantees though
I appreciate your offer and may have to take you up on that. Currently I have three components:

 

  1. (Script) Master - This is responsible for receiving the data feeds (terminal, price, and trade) from the slaves, aggregating the information, and distributing instructions
  2. (Script) Data Slave - This is responsible for sending the data feeds to the master.
  3. (EA) Execution Slave - This is responsible for queuing and executing trade orders.

Waiting on the market open to test out this new infrastructure.



Should this end up not working, I'll have to move to a mesh network of sorts, and that will definitely be hairy.

  • #123
  • Dec 25, 2011 5:46pm Dec 25, 2011 5:46pm
Quoting Ronald Raygun
Should this end up not working, I'll have to move to a mesh network of sorts, and that will definitely be hairy.
A mesh will be real hairy as it will grow exponentially as each new broker is added (n^2), whereas a master server will just add 1 connection (or maybe a pair - one for feed and 1 for orders - or possibly worse - one connection per pair to pick up ticks in best time - unless they are aggregated in MT4 before sending over a shared feed for the MT4 instance to the server) per broker (n*m where m is the connections required per MT4 server)

Its probably not a good idea to write that server in MQL, but as long as the protocol is standardised you can write it in anything .. If i start something it will be in java so you'd have to be willing to pick it up from that. I can put a basic server, some basic comms, and a feed together if and when you are ready - you can then play about with it as the skeleton would be in place
  • #124
  • Dec 25, 2011 10:49pm Dec 25, 2011 10:49pm
I currently transmit a 1600 character string from each slave. That string has the price, terminal, and trade data.

That's about as 'standardized' as I've gotten.

In terms of the infrastructure, writing the server in MQL is not ideal, I know. But is definitely a start. Once the market opens, I can test the trade queuing function to accept trade orders from the master, and queue it for the slave to manage.
  • #125
  • Dec 26, 2011 3:27pm Dec 26, 2011 3:27pm
Speculation

Quoting sidhujag
If thhe broker is not an ecn they will prob ban you since they wont allow arbing
  • #126
  • Dec 26, 2011 3:33pm Dec 26, 2011 3:33pm
Thanks for the "fix". Nice pun; even if I do say so myself. It's been a while since I looked at this. Now seems to be a good time to do it again.

ProTrader does have it build it. I've played w/ it a lot. Downside is it only connects 2 brokers.

I've played w/ FPI but have had a lot of failure w/ it. If it's been successful for you, do you have a good link for me to go read up on it?

Thanks.

Quoting sidhujag
Also a note about trading thru the FIX api through the different exchanges like HOTSPOT and LAVA and EBS is that I heard there is a server induced latency of 10 or 15 ms.. not sure why, as arbing should create a more efficient market so why not? Probably the big boys trying to create a monopoly on the strategy. Proof of this and you can really make some money in court

I heard ProTrader allows a dual broker arb, the type of arb you are looking for. Its all built in, and you can connect Dukascopy and say MBTrading feeds and let it run all day....
  • #127
  • Dec 26, 2011 3:36pm Dec 26, 2011 3:36pm
Ah, got it. Although, I'd use something faster than sockets. Yes, it does exist.

Quoting ianj1
I suppose you could open sockets between terminals but this would not offer much flexibility with multiple brokers and might run into much more complex state management of messaging/threading

I am suggesting using a central server that arbitrates between an arbitrary number of MT4 instances. I currently use such a system to make N:M copying between MT4 instance servers possible (and can include Mt4 brokers if suitable adapters are written)

The threading/asynchronous issues can then be dealt with independently of the fragile Mt4 threading model...
  • #128
  • Dec 26, 2011 3:37pm Dec 26, 2011 3:37pm
You're dead on.

Quoting ianj1
I think because:
1. That is beyond the reach of most retail traders - Have you tried to open a real prime broker relationship ? Have you tried getting access to EBS/Reuters ? (Come back when you have) I believe the key (perhaps i misunderstood) unwritten constraint here is RETAIL brokers - please correct me if i got it wrong
2. MT4 brokers do sometimes publish 'attractive' prices - the question is whether they are hit-able (slippage on market orders)

And then of course the question is how long you will last on institutional platforms - i can count...
  • #129
  • Dec 26, 2011 3:41pm Dec 26, 2011 3:41pm
Damn! You read my mind! LOL

That's what I'm working on right now.

Quoting FXEZ
I don't think you gain any benefit (other than for simple display), and have lots of minuses in running the master script within MT4. A simple console application functioning as the master would seem the way to overcome much/all of your difficulties. In fact, the more processing you can remove from MT4 the more control over the outcome and performance you should have, including multithreading.

edit: I notice Ian said the same thing basically.
  • #130
  • Dec 26, 2011 4:10pm Dec 26, 2011 4:10pm
Quoting nondisclosure00
Damn! You read my mind! LOL

That's what I'm working on right now.
nondisclosure00,

You use ProTrader for arbitrage with 2 retail? brokers ?
  • #131
  • Dec 26, 2011 4:12pm Dec 26, 2011 4:12pm
Yep. I worked it on EURUSD. And it works almost as well as the 2 broker arb I wrote.

Quoting surfeur
nondisclosure00,

You use ProTrader for arbitrage with 2 retail? brokers ?
  • #132
  • Dec 27, 2011 12:39am Dec 27, 2011 12:39am
Nondisclosure,

Is there a manual for your 4xarb?

Thanks!
precords
  • #133
  • Dec 27, 2011 1:49pm Dec 27, 2011 1:49pm
No. I kind of left it as it is because I needed to add more brokers to the mix.

That's when I found this thread.

Quoting precords
Nondisclosure,

Is there a manual for your 4xarb?

Thanks!
precords
  • #134
  • Edited 4:34am Dec 28, 2011 4:02am | Edited 4:34am
Is is just me or do my trades take awfully long to close. (they never close despite hitting a profit)

my arb settings for master script is -0.5 for all.

Technically trades should close once in 0.5 profit no?

My trades are > 0.5 profit but it isnt closed

Also, same trades seem to be taken based on a single broker.
Shouldn't arbitrage be a pair? Please see screenshot.

Somehow when the master sends the close order to the slave, it doesn't close.
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  • #135
  • Dec 28, 2011 8:13am Dec 28, 2011 8:13am
Quoting iwillsurvive
Is is just me or do my trades take awfully long to close. (they never close despite hitting a profit)

my arb settings for master script is -0.5 for all.

Technically trades should close once in 0.5 profit no?

My trades are > 0.5 profit but it isnt closed

Also, same trades seem to be taken based on a single broker.
Shouldn't arbitrage be a pair? Please see screenshot.

Somehow when the master sends the close order to the slave, it doesn't close.
PM me the e-mail where you received the script.
  • #136
  • Dec 28, 2011 11:46am Dec 28, 2011 11:46am
Hello Ronald,

My name is Robert and I am new to the forum. I'm Italian and I live in Switzerland. I do not speak English very well but I hope to make me understand (help me the translator of google!)
I am interested in forex a few years and I recently received an email that advertised the EA "Forex arbitrage." I started to get interested in the topic and then searching the net I found your EA. Just yesterday I received an email with your upgrade.
I tried to install it and I think I've done the right way.
But to verify I tell you what I did. I chosee one broker and I installed in metatrader 4, on some chart, the FXARB master and on the same broker in another chart I installed the FXARB slave.
I then installed the FXARB slave in another 6 metatrader of other brokers. Messages that appear on the FXARB master indicates that the slaves are connected.
At this point, from what I understand, when there are favorable conditions should be open, for example, buy position on the master and at the same time sell position in one of the slaves and it should close automatically when it reaches the set profit.
Instead what happened is that we have many positions open on the metatrader where there is the master and slave, and many have closed with several stop-loss and many other positions are still open with significant gains and losses (from 30 to 150 pips).
As for the slaves, however, only one has opened many positions and even here many have closed with several stop-loss while others are still open with variable gains and losses.
Maybe I did something wrong?
What settings do you recommend for the master and slave?
I hope I have explained in an understandable way what happened. If you need other elements to understand what happened let me know.
Thank you in advance for your support

Roberto
  • #137
  • Dec 28, 2011 2:21pm Dec 28, 2011 2:21pm
What I find most bothersome is how some people don't read the instructions they are given.

To those who whine that it won't work, build the system and prove me wrong. Stop speculating. I'm here busting my ass trying to prove to myself whether or not it will work, and when it's done I will release it

for free.

Your collective discouraging comments are not constructive to this thread. It's like I tell my staff, "Don't come to me with problems, bring solutions too."

Further:

To those badgering me to release the code, I'll give you two options:

 

  1. Wait until I'm comfortable enough with the stability of the code so it's harder for an idiot to blow their account and sues me.
  2. Send me $10,000 so I can pay a lawyer the proper retainer to protect me against the lawsuit that will come if an idiot blows his account using the incomplete script.

I am writing it completely in MQL and using standard windows DLLs so that nobody can accuse me of hiding code in a DLL. Everything is open and more importantly easily accessible.


There are about 600 people who currently have the beta version. There are a number of issues that need to be worked out.



  • #138
  • Dec 28, 2011 3:24pm Dec 28, 2011 3:24pm
So to recap RR

Those who are beta testing report problems and thats it.

Those who are not beta testing, just sit on your hands and wait.
If you were not sent a beta dont ask. The man needs to code....

A second Xmas gift is coming to ff.
  • #139
  • Dec 28, 2011 9:18pm Dec 28, 2011 9:18pm
Quoting Ronald Raygun
To those who whine that it won't work, build the system and prove me wrong. Stop speculating. I'm here busting my ass trying to prove to myself whether or not it will work, and when it's done I will release it
[u]for free.
And this is largely the reason why I'm keeping my programming to myself.
People fail to understand proof of concept, and are only concerned with the end result (omg!!11 will i make monies!?).\
You provide something for free and as-is, yet people expect support and seldom offer constructive criticisms, etc.

Anyway, good luck with it.
  • #140
  • Dec 29, 2011 9:17am Dec 29, 2011 9:17am
Quoting nondisclosure00
Ah, got it. Although, I'd use something faster than sockets. Yes, it does exist.
Sockets are not a problem - Most C based sockets can work in around 300ns (nano). I have myself managed a round trip (a message from java to MT4 and a response back) in about 1-1.5ms (millisecond) - thats not a problem on MT4 timescales.

The advantage of sockets is the simpler server implementation and the potential for access from other machines (maybe an additional 0.5ms within the same LAN)
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