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My Own Broker Arbitrage

  • #201
  • Jan 12, 2012 2:32pm Jan 12, 2012 2:32pm
Quoting natal
By the way I havent seen RR commenting on progress with his software ... do u think he changed his mind?
I know a lot of people are wondering why I haven't released a live trading version.

There is one main problem that I'm running across. The live trading version opens trades beautifully. It cannot close them well. That's the core of the bugs that I am running into. Generally I wouldn't have a problem releasing the code in its present form, if it weren't for those users who are lawsuit-happy. If you want the code in its present form, feel free to PM / e-mail me. I'll simply ask that you contact me on Skype / call me and allow me to record you saying that you promise not to hold me responsible for any adverse effects of this script and understand that there is a very strong chance it will lose money.

I have been perusing some other arbitrage style EAs and noticed that they are all most exclusively latency arb--not the type of arb I'm working on.

The script that is readily available proves quite clearly the existence of various arbitrage opportunities.
  • #202
  • Jan 12, 2012 2:49pm Jan 12, 2012 2:49pm
Hi Roland

Thank you for the update... I did not intend to rush you... release when u r confortable that it is doing what it suppose to do correctly.

I may still be interested to play with it do to get the feel... but I will PM u about it.

Thanks again for all that your are doing.

natal
  • #203
  • Jan 12, 2012 8:36pm Jan 12, 2012 8:36pm
Quoting natal
Hi FxSwordfish

first of all thank you for your reply.

1. If it is an EA which is commercially available why would u be in breach of anything ... surely the developer of the software would be more than happy to sell more of it.

2. If the arbs are worth 1-3 pips I presume that both the IN & OUT trades of of both legs of the arb are fully automated.

[color=black][font=Verdana]3....
It is the rule of Forex Factory that the individuals cannot promote commercial product. I personally would like to have a group of people use it and form a user group. It's not gonna happen here.
Yes, in and out should be automated or it is not worth using.
EA should be able to deal with requotes (set max number of attempts)
I am just trying it out live. Time will tell. Like they say " It will work, unless it doesn't."
  • #204
  • Jan 13, 2012 4:21am Jan 13, 2012 4:21am
Hi FxSwordfish

I think that Forex Factory have a problem with vendors trying to promote their products over here, but user discussing what tools they are using should not be a problem.

I v been studying the arbitrage option for a while and gains tons of knowledge. I think that your idea of forming a user group regarding the topic is an excellent idea... we can add great value to each other that way.

Perhaps we can do it on Skype.

Pls PM me if u r keen.

Kind Regards
natal
  • #205
  • Jan 16, 2012 12:19pm Jan 16, 2012 12:19pm
Quoting FxSwordfish
It is the rule of Forex Factory that the individuals cannot promote commercial product. I personally would like to have a group of people use it and form a user group. It's not gonna happen here.
Yes, in and out should be automated or it is not worth using.
EA should be able to deal with requotes (set max number of attempts)
I am just trying it out live. Time will tell. Like they say " It will work, unless it doesn't."
Are you using the Arb software from the Company in Canada? I have seen in their site but never interested. The company has been in buss for a while. First they had it couple with "client" favority scalper.. meaning when your scalper triggered order. The arb software took the trade with the best price. I guess later they turn it into a stand alone.
.
  • #206
  • Jan 16, 2012 12:53pm Jan 16, 2012 12:53pm
Sorry I've been away for a while. Family stuff.

What's the error you're getting on the closing of orders? Or is it just not triggering the close?

Quoting Ronald Raygun
I know a lot of people are wondering why I haven't released a live trading version.

There is one main problem that I'm running across. The live trading version opens trades beautifully. It cannot close them well. That's the core of the bugs that I am running into. Generally I wouldn't have a problem releasing the code in its present form, if it weren't for those users who are lawsuit-happy. If you want the code in its present form, feel free to PM / e-mail me. I'll simply ask that you contact me on Skype / call me and allow me to record you saying...
  • #207
  • Jan 16, 2012 12:54pm Jan 16, 2012 12:54pm
Fielder did his on Demo accounts. Put it on live retail brokers, it falls flat on it's face. He doesn't take into account freeze levels.

Quoting w177
i think it's really cool what ronald had done here, yet not profitable, then how jasonfielder get profit??when arb's what we talking about here.
i'm newbie @forex thing, just googling about this stuff and read ,want to ask ronald which want's better arb or corelation pairs ex eurusd buy ,another pairs sell (i don't know what pairs) that against eurusd and in the same broker and terminal,which want more profit?thank you.sorry my english bad
  • #208
  • Jan 16, 2012 12:59pm Jan 16, 2012 12:59pm

  1. You don't understand how this arb works. This EA isn't a 'latency' arb. Differences are:

    1. Positions are open for longer than 1 second. Can last hours.
    2. We rarely get back in on the same pair immediately on the same brokers.
    3. You won't have 100% wins on an account. Just won't happen.

  2. Brokers look for trades open and closed and opened again etc. in a VERY short amount of time. ie., < 1second.

There are more reasons, but I'm just getting back to it here.

BTW, I've never been banned from a blackjack table for counting cards. They've just upped the number of decks on my each time. I also spread out my loss hands to "throw them off".

Quoting nqm0t0
Brokerages have their radars set for arbs, believe me. Now, the bad part is that you're going to get banned like card counting blackjack players do - for something, thats not strictly speaking illegal/forbidden. But I guess that makes you undesirable. Casinos, brokerages don't like to be taken advantage of, no matter what.
  • #209
  • Jan 16, 2012 1:40pm Jan 16, 2012 1:40pm
By the way, out of interest, is this arb program developed by RR, is it designed for MT4 platform only or for other platforms as well?
  • #210
  • Jan 16, 2012 2:03pm Jan 16, 2012 2:03pm
Quoting nondisclosure00
What's the error you're getting on the closing of orders? Or is it just not triggering the close?
I can see the close being triggered, but by the time the close is executed, the price has moved and a winning trade turns into a loss. I think it's taking too long to send the 'trade close' message during a cycle. There are sometimes areas where I have as many as 300 unpaired trades open across 6 demo accounts--their pairs often were closed because of the stoploss.

In reviewing some of the arb logs, there seem to be fewer arb opportunities showing up. Might suggest that the best time(s) to trade are really end of Q4, beginning of Q1.
  • #211
  • Jan 16, 2012 4:58pm Jan 16, 2012 4:58pm
Hmmmm. This is kind of what I thought.

This may require a fundamental change in thought here. One EA per symbol. The loop through all pairs in one EA is taking up time as we can't get to the next pair while we're waiting for the last pair to finish up it's work.

Quoting Ronald Raygun
I can see the close being triggered, but by the time the close is executed, the price has moved and a winning trade turns into a loss. I think it's taking too long to send the 'trade close' message during a cycle. There are sometimes areas where I have as many as 300 unpaired trades open across 6 demo accounts--their pairs often were closed because of the stoploss.

In reviewing some of the arb logs, there seem to be fewer arb opportunities showing up. Might suggest that the best time(s) to trade are really end of Q4, beginning of Q1.
  • #212
  • Jan 16, 2012 4:59pm Jan 16, 2012 4:59pm
MT4 only.

Quoting natal
By the way, out of interest, is this arb program developed by RR, is it designed for MT4 platform only or for other platforms as well?
  • #213
  • Jan 17, 2012 4:05am Jan 17, 2012 4:05am
Quoting nondisclosure00
Hmmmm. This is kind of what I thought.

This may require a fundamental change in thought here. One EA per symbol. The loop through all pairs in one EA is taking up time as we can't get to the next pair while we're waiting for the last pair to finish up it's work.
I had a similar issue on another EA, running an instance of MT4 per pair worked fine with all instances of MT4 logged in to one account, just all kept apart by magics.
But be aware I found a bug in MT4, once I had 100 charts open across x amount of MT4 instances then MT4 started to get buggy, screen updates stopped, menus were inaccessible. A solution was to run a VM and you get another 100.
  • #214
  • Jan 18, 2012 8:38am Jan 18, 2012 8:38am
Quoting nondisclosure00

  1. You don't understand how this arb works. This EA isn't a 'latency' arb. Differences are:

    1. Positions are open for longer than 1 second. Can last hours.
    2. We rarely get back in on the same pair immediately on the same brokers.
    3. You won't have 100% wins on an account. Just won't happen.

  2. Brokers look for trades open and closed and opened again etc. in a VERY short amount of time. ie., < 1second.

There are more reasons, but I'm just getting back to it here.

BTW, I've never been banned from a blackjack...


Am going to add support to this post , in an effort to get more people reading it . To re-iterate, the 'normal' reasons for MM type brokers to object to this 'arb style' of trading can be largely mitigated by making sure the positions are open longer (this is NOT an open/close latency arb) and by managing equity so that the more dubious broker accounts lose and the better brokers win (if you dont understand what i mean then you misunderstand the principles behind this arb operation) Its not a perfect technique but will likely satisfy most bucket shops

Please don't comment on the merits of general latency arb until/unless you understand how it is intended to work
  • #215
  • Jan 18, 2012 8:50am Jan 18, 2012 8:50am
Quoting nondisclosure00
Hmmmm. This is kind of what I thought.

This may require a fundamental change in thought here. One EA per symbol. The loop through all pairs in one EA is taking up time as we can't get to the next pair while we're waiting for the last pair to finish up it's work.
This occurred to me .. I havent look at the scripts yet so pull me up if i have the wrong idea but any mechanism that attempts to export a feed by outputting prices for multiple pairs from 1 EA is going to be EVENT triggered on the chart it is placed, and POLLED for other pairs - and polling just won't hack it ...

I would think that you need a dedicate EA per pair so you do at least process each pairs feed events in a timely manner

One rebuff to this might be that all or most chart update roughly together, except:
1. They should not
2. If the chart pair is early in the feed update Q it will trigger a poll of other pairs, possibly JUST BEFORE the prices are likely to change on those other pairs !!!

So, for accessing the feed, i believe one EA per pair is necessary, and for several reasons
  • #216
  • Jan 18, 2012 9:17am Jan 18, 2012 9:17am
Quoting ianj1
This occurred to me .. I havent look at the scripts yet so pull me up if i have the wrong idea but any mechanism that attempts to export a feed by outputting prices for multiple pairs from 1 EA is going to be EVENT triggered on the chart it is placed, and POLLED for other pairs - and polling just won't hack it ...

I would think that you need a dedicate EA per pair so you do at least process each pairs feed events in a timely manner

One rebuff to this might be that all or most chart update roughly together, except:
1. They should not
2. If the...
It's currently looping through known currency pairs and appending them to a string.

That seems to be plenty fast for the reporting script, but not fast enough for the trading script.
  • #217
  • Jan 18, 2012 11:22am Jan 18, 2012 11:22am
Quoting Ronald Raygun
It's currently looping through known currency pairs and appending them to a string.

That seems to be plenty fast for the reporting script, but not fast enough for the trading script.
Maybe I misread but are you reporting every quote every time or just the updated quotes? The former would seem to introduce an obvious bottleneck in the processing (trading script).
  • #218
  • Jan 18, 2012 11:33am Jan 18, 2012 11:33am
Quoting FXEZ
Maybe I misread but are you reporting every quote every time or just the updated quotes? The former would seem to introduce an obvious bottleneck in the processing (trading script).
The slaves loop through the known pairs. If RefreshRates() is true, it has to rescan all the known pairs. If refreshrates() is false, it just resends previously sent data.
  • #219
  • Jan 18, 2012 12:32pm Jan 18, 2012 12:32pm
Keeping one eye on this thread. Maybe it's already noticed, but have a look over here:
http://www.forexfactory.com/showthread.php?t=337102

Guy claims that modifieing an order every 28 seconds will keep the connection with mt4 open and thereby a trade will be executed 0.5 seconds longer. Might be usefull here
  • #220
  • Jan 18, 2012 5:16pm Jan 18, 2012 5:16pm
That's actually not a bad idea. I'd go down to 20 sec's on it.

Ronald, might be worth it to put out to the testers to see if their order execution speeds get better.

Quoting esquire
Keeping one eye on this thread. Maybe it's already noticed, but have a look over here:
http://www.forexfactory.com/showthread.php?t=337102

Guy claims that modifieing an order every 28 seconds will keep the connection with mt4 open and thereby a trade will be executed 0.5 seconds longer. Might be usefull here
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