Nerr Smart Trader - Triangular Arbitrage Trading System | Forex Factory

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Nerr Smart Trader - Triangular Arbitrage Trading System

  • #1
  • First Post: Jan 4, 2013 10:32am Jan 4, 2013 10:32am
I know triangular arbitrage strategies have been around for quite some time on Forex Factory - however I ran across what appears to be a new one the other day and am hoping the community can take a look, and maybe improve upon the strategy. I tried to get in contact with the author but have yet to hear back.

Take a look at the code and brief description here: https://github.com/nerr/nst_ta Both in MT4 & MT5. I had to make some edits to the MT4 version to get it to compile. It's probably important to note that you'll need to have a local MySQL server running.

It appears to be an interesting strategy though not sure on how "polished" it is yet.

Full set of files (EA, templates here: https://github.com/nerr/nst_ta/archive/master.zip)

http://www.forexfactory.com/attachme...1&d=1357317070
Attached Image (click to enlarge)
Click to Enlarge Name: triangulararbitragescreen - Copy.png Size: 97 KB
  • #2
  • Jan 4, 2013 11:15am Jan 4, 2013 11:15am
Thanks for posting this, I'm very interested in Triangular Arbitrage. Does the EA trade? Did you commit your edits to the MT4 files to the repository?
  • #3
  • Jan 4, 2013 1:31pm Jan 4, 2013 1:31pm
I literally just finished coding a triangular arbitrage ea in mt4, and so far I have concluded that there are so few opportunities that it isn't worth running.
  • #4
  • Jan 4, 2013 2:33pm Jan 4, 2013 2:33pm
I'm not trying to be negative just a messenger so to speak:

1. Oportunities are rare
2. This is an explotation used by major banks and they have the opportunity to react far more quickly than we as brokered traders do. The down side is that banks exploit arbitage to return rates to balance, so that's why it is so rare. So in effect you are racing a horse cart against a ferrari.
3. Very large arbitage gaps usually result from news and the spreads during news events (i.e. your trading costs) will kill you.

Arbitrage looks great because it looks like a hole or flaw in the system, and it is for the banks and they deal with it. For us, dealing with brokers, you will never be able to get your orders through fast enough to take advantage of it without the spread biting you in the rear.

Just a cautionary note.
  • #5
  • Jan 4, 2013 5:47pm Jan 4, 2013 5:47pm
Quoting Spudfyre
I'm not trying to be negative just a messenger so to speak:

1. Oportunities are rare
2. This is an explotation used by major banks and they have the opportunity to react far more quickly than we as brokered traders do. The down side is that banks exploit arbitage to return rates to balance, so that's why it is so rare. So in effect you are racing a horse cart against a ferrari.
3. Very large arbitage gaps usually result from news and the spreads during news events (i.e. your trading costs) will kill you.

Arbitrage looks great because...
Very true.

A couple of things to note. If you are trading on a retail platform, it isn't a matter of being as fast as other banks, because almost all of the opportunities that they can exploit do not even exist in the data you are given by your broker. It takes having a connection to a network with high participation, where the bid/ask is simply the lowest/highest limits entered by other participants, like currenex,hotspotfx,lmax etc.

The other thing is that it's pretty easy to take the variable spread into account when calculating triangular arbitrage (or any deterministic arbitrage with one or more intermediate currency), so the spikes aren't a problem. The problem is that the returns are worse than most successful traders get with more conventional methods.
  • #6
  • Jan 4, 2013 7:37pm Jan 4, 2013 7:37pm
These kinds of exploits never fail to surprise me. For me this is the human equivalent of a dog chasing his tail. If the guys who came up with these tactics spent the same amount of time learning real trading discipline, their lives would be changed forever.
To improve is to change. To perfect, is to change often.
  • #7
  • Jan 4, 2013 9:51pm Jan 4, 2013 9:51pm
Quoting forexhard
These kinds of exploits never fail to surprise me. For me this is the human equivalent of a dog chasing his tail. If the guys who came up with these tactics spent the same amount of time learning real trading discipline, their lives would be changed forever.
It isn't really like that. If you are going to price the same assets in different ways, like pairing them up differently in the case of currencies, then arbitrageurs are inevitable and necessary to correct mispricing.
  • #8
  • Jan 7, 2013 10:50am Jan 7, 2013 10:50am
@TheMaxx - It has been trading, so far I'm just sitting in a bit of a drawdown however... I didn't end up putting the revised version on github, all I had to do was take out some comments that had been improperly truncated and move a function to get it to compile on MT4. Can upload the .mq4 file here however.

@Everyone else - I didn't intend to start a philosophical debate about the ethical ramifications of triangular arbitrage.
  • #9
  • Jan 7, 2013 11:02am Jan 7, 2013 11:02am
Quoting Forex2k10
@TheMaxx - It has been trading, so far I'm just sitting in a bit of a drawdown however... I didn't end up putting the revised version on github, all I had to do was take out some comments that had been improperly truncated and move a function to get it to compile on MT4. Can upload the .mq4 file here however.
If you could post I would really appreciate it, thanks!
  • #10
  • Jan 7, 2013 11:12am Jan 7, 2013 11:12am
Sure - not a problem. Here's my copy, looks to work and compile fine in my MT4.
Attached File(s)
File Type: mq4 NerrTriArbForex2k10Edits - Copy.mq4   21 KB | 3,378 downloads
  • #11
  • Jan 7, 2013 1:57pm Jan 7, 2013 1:57pm
Quoting Forex2k10
Sure - not a problem. Here's my copy, looks to work and compile fine in my MT4.
I had a look and I can't say that I'm impressed. For one thing, the external database is completely unnecessary...
  • #12
  • Jan 8, 2013 3:12am Jan 8, 2013 3:12am
Quoting Forex2k10
Sure - not a problem. Here's my copy, looks to work and compile fine in my MT4.
thanks
  • #13
  • Apr 8, 2013 3:58pm Apr 8, 2013 3:58pm
Quoting forexhard
These kinds of exploits never fail to surprise me. For me this is the human equivalent of a dog chasing his tail. If the guys who came up with these tactics spent the same amount of time learning real trading discipline, their lives would be changed forever.
I'm not sure that labeling the foundation upon which the entire modern retail foreign exchange market is built as an "exploit" is appropriate.
  • #14
  • Apr 8, 2013 4:10pm Apr 8, 2013 4:10pm
Quoting saussiche
I literally just finished coding a triangular arbitrage ea in mt4, and so far I have concluded that there are so few opportunities that it isn't worth running.
I agree and feel that creating applications like tri arb strategies within the MT4 framework puts the developer at a serious disadvantage. In applications like this, the data is king. Metatrader's chart-centric data handling is not well suited for this type of high speed, data intensive operation. Metatrader is all about charting but for arbitrage type strategies, charting is optional.
  • #15
  • Jul 25, 2013 11:03am Jul 25, 2013 11:03am
Hi, I modified the expert simplifying certain functions and make it easier, I've put in mt4 but not open orders, file attachment, appreciate your help thanks.
Attached File(s)
File Type: mq4 nst_ta_test.mq4   33 KB | 2,050 downloads
File Type: ex4 nst_ta_test.ex4   46 KB | 1,174 downloads
  • #16
  • Aug 26, 2014 2:49am Aug 26, 2014 2:49am
I am writing algorithm to trade triangular arbitrage. Do you guys recommend me going forward with setting up my servers to do so? I will use FXCM. If anyone has experience, please kindly guide me.
  • #17
  • Aug 28, 2014 9:29am Aug 28, 2014 9:29am
Hi all,
I'm new to Forex (although not trading) and I'm interested in arbitrage strategies. Is the triangular system the most popular? I guess a carry trade could also be classified as arbitrage? I know this thread is quite old but I'm only a jr member so can't start a new one yet.
  • #18
  • Last Post: Mar 6, 2016 9:15am Mar 6, 2016 9:15am
Anybody successfully using this EA?
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