Arbitrage Again

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Hi,

I was reading on another forum (kreslik or something similar) about arbitrage opportunities due to price mismatch between correlated pairs.

I wrote an indicator that I think will draw a bar on the chart when the mismatch is above a certain number for pips.

See attached chart and indicator. For now, use it on an EURJPY 1 minute chart. The symbols are variables, so you can play with it. Let me know what you think. I made an EA out of it but it is not working. Maybe someone can make an EA out of this indicator that works. Please post it here if you are able to come up with an working EA. Also, please point out if there are any bugs in this indicator.

Good luck.

Files:
triangular_arbitrage.mq4  5 kb
 

Here is a screen shot of a possible arbitrage opportunity.

Files:
eurchf.gif  14 kb
 

Maji,

you would do well to speak with Nickolishen on this. I read his postings on the other forum, and despite a few differences he and i have had, he is really on to something with this idea and knows his stuff.

You won't be able to do this at a retail broker other than OANDA, or unless you get MT with a multibank feed like FXLQ or Velocity offers.

HTH.

 

Scott,

Thanks for your email. Why do you say that it can't be done other than Oanda? If there is a 5 pip difference (say that is the setting), you buy and sell accordingly. This difference is calculated using the bid and ask prices, so you should be filled. The problem is of course slippage. Other than that, what is the other obvious problems that I am missing out on?

Thanks.

 
Maji:
Scott,

Thanks for your email. Why do you say that it can't be done other than Oanda? If there is a 5 pip difference (say that is the setting), you buy and sell accordingly. This difference is calculated using the bid and ask prices, so you should be filled. The problem is of course slippage. Other than that, what is the other obvious problems that I am missing out on?

Thanks.

Brokers will shut you down, requote, play the normal games. It does happen with certain places. I think FXDD would not do this much, although I do not trade with them much anymore. I trade mainly at Velocity's retail feed and would not recommend it there. They have a Multibank feed (via FXLQ) that would also be great for this. $5 r/t also. Can't beat it with a stick. You can get them down to $4 with a decent volume commitment.

In a nutshell, execution is what you need best. OANDA can do this for you the best, or the multibank feed would also work. Talk with Nick about this though I think he may have a better suggestion than I.

hope it helps!

 

Thank you for the suggestions.

For some reason, I can't get an EA using this system to work on demo. The logic is pretty simple so I don't know what is wrong. Will take a little detective work. In the mean time I posted the indicator. Someone else may be able to code an EA using this indicator.

Maji

 

how are you calculating the inefficiency? are you using the same method as FPI or just based on the spreads?

PM me with the EA or email scott @ compoundfx.com and i can help you with it, if you'd like.

edit: i just tried your indicator and can't get it to work - keep getting the "less than minimum bars" error. what am i doing wrong? it goes on all pairs, all TF's and gives me that error. i have decent history logs.

 

Have you had any luck with this indicator. Any update on it. How to use the indicator when you see those bars. What pairs you trade?

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