Basket trading, pair trading. - page 12

 
Yesterday put arbitrage robot (not MT) ASK-ASK, BID-BID. On calendar RTS9.9 RTS12.12 (forts). I lost three hundred by the moment. Do not have time to hedge contagion. Ping 100-300ms. And still ahead of the curve. For a classic, it seems you need a fast computer, fast Internet and a direct gateway. Maybe it'll work then. I'll have to think...((
 
pronych:
.... is still ahead of the curve. For classic, it looks like you need a fast computer, fast internet and a direct gateway. Then it might work. I'll have to think...
The reason is that they try to put servers at a visible distance from the exchanges building, so the latency is up to 20ms, that's where they scalp.
 
07041982: Code Base has published new indicators for paired trading: "Second Chart" and "Spread_Of_Symbols".
I looked at the code of your indicators - I don't even want to comment on them, at least show me how to use them for paired trading
 
IgorM:
I looked at the code of your indicators - I do not even want to comment on them, at least show me how to use them for pair trading
As it is written there, they are needed for a simple visual assessment of the correlation, and how to trade with them is another matter, these indicators can help to determine the tools for spread trading
 
07041982:
It says that they are needed for a simple initial visual assessment of the correlation, and how to trade on them is another matter, these indicators can help determine the tools for spread trading
Mm-hmm, I get it, but sometimes it's better to ignore questions you can't answer
 
When choosing trading instruments for pair trading and selecting baskets (synthetic instruments) everyone usually thinks about the correlation of currency pairs, but in fact the most important thing is not correlation but cointegration, it is certainly difficult to understand, but you can try. Does anyone have any experience with it?
 

Greetings to all of the inhabitants of this thread! While searching for information about steam trading I came across this thread by accident. For some time now I've been developing this system (or rather adapting it to my needs), but I mostly work in MT4, due to well-known reasons mentioned in this thread. I have my own developments, some kind of Expert Advisor, which even trades and most interestingly, profits :) I have recently started thinking about maybe moving to MT5, but I don't have much experience and knowledge about the new platform yet ... I don't know if it is allowed to post links to other forums, but if necessary I can indicate the main place of my current abode, as well as my (and not only my) experience with this system. I hope on possible productive cooperation in this field, so I'll probably appear here from time to time ;)

And now on the topic:

07041982:
When choosing trading instruments for paired trading and selecting baskets (synthetic instruments) everyone usually thinks about the correlation of currency pairs, but in fact the most important thing is not correlation but cointegration, which is certainly difficult to grasp, but you can try. Does anyone have any experience with it?

It depends in what context you propose to consider cointegration - in fact, correlation is just a more obvious, so to speak, more visible and predictable manifestation of cointegration. In other words, cointegration, in one way or another, occurs in almost all economically determined processes, it just needs to be discerned. Are you suggesting to pay attention to anything other than currency pairs? say price indices, commodities, oil?

As hrenfx rightly pointed out - it all comes down to finding correlations and working with short-term deviations from the usual rhythm. But it's not just a matter of finding what those correlations are, it's also a matter of finding the right method to analyse and interpret the data available.

 
Zaaartu:

Greetings to all of the inhabitants of this thread! While searching for information about steam trading I came across this thread by accident. For some time now I've been developing this system (or rather adapting it to my needs), but I mostly work in MT4, due to well-known reasons mentioned in this thread. I have my own developments, some kind of Expert Advisor, which even trades and most interestingly, profits :) I have recently started thinking about maybe moving to MT5, but I don't have much experience and knowledge about the new platform yet ... I don't know if it is allowed to post links to other forums, but if necessary I can indicate the main place of my current abode, as well as my (and not only my) experience with this system. I hope on possible productive cooperation in this field, so I'll probably appear here from time to time ;)

And now on topic:

It depends on the context in which you propose to consider cointegration - in fact, correlation is just a more obvious, so to speak, more visible and predictable manifestation of cointegration. In other words, cointegration, in one way or another, happens in almost all economically determined processes, it just needs to be seen. Are you suggesting to look at anything other than currency pairs? say price indices, commodities, oil?

As hrenfx rightly pointed out - it all comes down to finding correlations and working with a short-term deviation from the usual rhythm. But it's not just a question of finding what-if connections, but also of finding the right method of analyzing and interpreting the data at hand.

Greetings. If you have already moved to mcl5 there is nothing to think about, just start running faster, it is faster and better in all senses, with one exception that not all brokerage companies have moved to it yet and those that have already moved have few trading tools, today probably the best brokerage company with mcl5 - instaforex. I would like to ask what are your experiences with doubles/basket trading. What do you trade with? How do you select your instruments?
 
For those interested, an online correlation calculation is useful: http://www.forexticket.ru/ru/tools/01-01-correlation
Forex Корреляция
Forex Корреляция
  • Forexticket
  • www.forexticket.ru
Приведённые ниже таблицы показывают корреляцию различных валютных пар на валютном рынке. Коэффициент корреляции свидетельствует о сходстве между двумя движениями паритетов. Если корреляция высокая и положительна, то валюты движутся в том же пути. Если...
 
07041982:
When choosing trading instruments for pair trading and selecting baskets (synthetic instruments) everybody usually thinks about the correlation of currency pairs, but it's not really about correlation but about cointegration, it's hard to figure out but it's worth trying. Does anybody have any experience with it?

Do brokers with MT5 only provide "currency pairs" or any "stocks" as well?

To answer your question: I don't have much experience, but "currency pairs" are a vicious circle. For example: EURUSD; USDJPY; EURJPY. And so on and so forth. In my opinion, this is a road to nowhere.