Creating and testing arbitrage strategies - page 6

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pronych:

By the way, the difference can be called the discount ;)

which difference? // the confusion is already making me uncomfortable ;)

between the bid and the ask?

 
MetaDriver:

what's the difference? // the confusion makes me feel uncomfortable ;)

Between the bid and the ask?

If there are two instruments, one is traded at a discount to the other.

if there is more than one, then one is traded at a discount to the basket. One because only one can be quoted. The rest of the basket is market-based.

At this point (when quoting), you should consider that the discount should be correctly calculated as asc+(-ask), bid+(-bid) for direct correlation and asc+(+bid), bid+(+ask) for reverse.))

It's a bit confusing, but it seems to me to be the only correct solution. It's already in the back of my mind. I can propose a deal. You help me with logarithmetic (I seem to have skipped this lesson), I will help you figure out this confusion, if you don't understand))))

 
pronych:

If there are two instruments, then one trades at a discount to the other.

if there is more than one, then one is traded at a discount to the basket. One because only one can actually be quoted. The rest of the basket is market-based.

At this point (when quoting), you should consider that the discount should be correctly calculated as asc+(-ask), bid+(-bid) for direct correlation and asc+(+bid), bid+(+ask) for reverse.))

It's a bit confusing, but it seems to me to be the only correct solution. It's already in the back of my mind. I can propose a deal. You help me with logarithmetic (I seem to have skipped this lesson), I will help you figure out this confusion, if it is not clear)))

let's do it tomorrow.

And in private (for starters. We'll see there)

 
And then there are spread glasses. It should be even more fun there. You have to calculate each band in terms of volumes. Here is an algorithm for calculating them, perhaps it can shed some light on the correctness of the approach. I even tried to ask questions on the thematic forum. But it seems I was looked at ... obliquely ... )) In short, I don't know. Maybe someone here knows.
 
MetaDriver:

let's do it tomorrow.

and in person (for starters. We'll see).

OK.
 
IRash:
The spread is the difference. Within one instrument, it is the difference of the bid-ask. Within two - the high of one and the low of the other.
This is not quite correct. Within two instruments it is the arbitrage spread: the bid of the instrument we buy and the ask of the instrument we sell.
 
pronych:

I don't understand why there are two baskets either.

There is such a thing as basket-trading. Two baskets of correlating securities from different sectors are put together. In our market, it could be something like this:

sberbank+rosneft versus vtbr+lukoil. Sberbank and VtbR are from the banking sector, while Rosneft and Lukoil are from the oil sector. I did that off the top of my head, didn't check it.

The upper chart shows the sums of the basket symbols, and the green line on the lower chart is the correlation of the two baskets. So we trade that correlation.

Assuming the correlation is below 99.9, we buy the spread - i.e. buy the left hand basket and sell the right hand basket. When the correlation reaches 100, we close the spread buy, i.e. we sell the left hand basket and buy the right hand basket. The spread is sold the other way around. All this is already built into the Expert Advisor.

 

Yes, that's understandable. It is simply possible to transfer from the left-hand bin to the right-hand bin with a different sign.

 
pronych:

Yes, it's understandable. It is simply possible to transfer from the left-hand bin to the right-hand bin with a different sign.

I agree, you could have done that. But my version is clearer and more convenient and corresponds to the arbitration term left foot - right foot.
 
IRash:
I agree, you could have done it that way. But my version is clearer and more convenient and corresponds to the arbitration term left foot - right foot.
OK. We'll talk about it when you go for limit orders with these legs.))
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