FORTS: Strategies and how to implement them - page 10
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It all makes sense. What you call delta, for me I call discount, i.e. the difference between the instruments.
And in general, what is described above looks like a truncated ToR for my robot. ))
The time series appeared to be particularly difficult to implement. Although we have lots and spreads on a bar, we cannot know where the Ask/Bid was when the bar was closed. Even the bloze gives us little information, it is not clear which best was struck by the market. Because of this, on low market some statistics or we should gather it ourselves, or it will be very approximate.
Ok... By the way, on FORTS the calendar system is poorly scalable. The trades are rare, and when liquidity increases, spreads narrow, then it starts to depend on the execution. But nothing prevents you from moving to the pref-customer bundle as well. You have to be very careful there. You have to be loaded to the minimum. Recently, I had a good dip in Surgut, when the prefs to common started to grow vigorously and I got greedy with the volumes. I had to cover myself, so I learned my lesson...
It's a pity that the discussion has "drifted" to the demonstration of charts
and meaningless ways to calculate the spread (delta).
I keep bumping into"Grail" seekers here (on the forum) (they do, but for some reason they don't find it).
This strategy will certainly not bring "mountains of gold", but having understood how prices are formed (not theoretically)
prices (on what they depend) in real trading, you could break-even constantly and with negligible
I have described how prices are formed (not theoretically) in real trading, you could earn money without any losses and with negligible risks. I am sure it will be long and prosperous.
Hereby, let me say goodbye....
Disadvantages:
1. There is little liquid market for "long-distance" futures.
2. due to the fact that there are no exact dividend payment dates,
The difficulty in determining the range of traded prices.
3. Too frequent changes of interest rates
4. Weak volatility between pairs (e.g. Si-6.15 and Si-9.15).
Turns from 100%profitable (in theory) to 90%unprofitable!
If 1 and 4 points will be corrected with time (by the way, they don't influence profitability - unprofitability),
then points 2 and 3 make the strategy as I describe it.
2. trade instruments for which there is no dividend. For example Si and BR.
3. the Central Bank usually changes rates at night. Do not start trading at market opening, but wait for the time when the rates do not change.
The rates are likely to fall in the current situation, respectively, the spread (delta) should decrease. Trade only in the direction of reducing the spread (delta).
... you could break even all the time and make money with negligible risk. Happily ever after.
A pittance. It would be foolish to arbitrage a futures contract that walks like a dog and market maker from another exchange. There will certainly not be more active players on long-distance contracts.
And with quite a lot of competition with guys who know how to do more than just talk.
1. The logarithm must be taken before subtraction. I.e. we have two arbitrage tools (A and B). Before they can be subtracted, the logarithm must be taken. The result is log(A)-log(B). For those who remember the school course.
log(A)-log(B) = log(A/B).
Thank you. ! I thought you meant something completely different... so I started guessing... Drunkenly anything can seem like that)))
By attitude I meant attitude difference) ... almost the same thing.
Logarithmic is correct to test synthetics, but then you have to potentiate to get back to the original quotes.
It is strange, but my formula and yours, Sergei, have got identical graphs.
Yes, with a large frequency of fluctuations the difference is not noticeable.
I'm not even sure that when trading the usual calendar spread difference the result will be somehow noticeably different than when using the logarithm method.
I didn't check it, but Sergei says there is a difference. And logically there should be one, but it's not significant.
A paltry sum of money. It is foolish to arbitrage a futures contract that walks like a dog and market makers from the price of a futures contract from another exchange. There will certainly not be more active players on long-distance contracts.
And with quite a bit of competition with guys who know how to do more than just talk.
Observe the market, i.e. check the availability of liquidity. Do not use MT5.
So, that's what attracted me to crypto exchanges, which I learned from TheXpet's topic.
They don't need any registrations, no direct gateway to buy, no left platforms to use and you can trade directly through API. And no HFTst will not charge you for speed as all in same conditions.
And the point is that all exchanges and all instruments are connected with each other with simple arbitrage links, and besides the instruments are traded through each other - and there are plenty of triangular arbitrage links - and for each of the instruments there is both depth and tape. This is a very cool topic.
I want to try to make a market maker, but I messed up everything at a certain stage - I wrote a pile of code and got irrevocably lost in it. Someday I will come back, when my level of programming is a little higher than current sucker's level. Good, at least market data blocks are intact - I won't have to redo them) I left OKcoin+Bitstamp+Bitfinex arbitrage against BTCe) and without detailed market depth control.
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Aren't you going to trade on Moscow Exchange via MT5?
This situation is practically impossible, you are buying one and selling the OTHER - a position in terms of funds = neutral
Your income (loss) is the difference in price between the futures at the time of entry/exit!
The rest of the time you lose NOTHING, but you gain nothing = neutral position.
(Go on the INTERNET and look up "The Calendar Spread" - there are innumerable detailed descriptions of this strategy).
Please do not mislead the newbies here! A spread position does not equal a neutral position. A spread position is also subject to price risk, and therefore can generate a substantial loss on your account.
Any calendar spread trading strategy is based on two factors:
The calendar spread is always an interest rate trade, albeit a veiled one. Money "today" is always worth more than the same money "tomorrow". Hence there is a positive interest rate for using the money. You can calculate the current market interest rate for the ruble. Today it is trading at 56.522 on the MOEX and the nearest future on it is 57976:
What does that mean? It means that by the time the Si-6.15 futures contract expires, the rouble will have lost: 57.976 - 56.522 = 1.452 roubles. Which from the current rate of 56.976 is 2.56%. Today is 06.04.2015, Si-6.15 expires on 15.06.2015, or in 69 days. I.e., the market has determined the cost of borrowing the ruble for 69 days to be 2.56%. It is not difficult to calculate that the current market interest rate is 13.34% per annum. After 69 days, the USDRUB_TODAY rate will theoretically match the futures rate, and we will earn by lending a dollar to someone today (selling USDRUB_TOD), and buying it back in 69 days, + we will get interest for using our currency. In order to avoid exchange rate risks, which are many times higher than the interest rate changes, we will buy back our currency today by buying a dollar futures contract (Si-6.15) by 15.06.2015 already.
Due to the fact that the futures contract is leveraged for free (essentially using the ratio of the value of the contract to its GO instead of leverage), the effect of a positive interest rate can be increased.
Not only currencies but also commodities are subject to inflationary processes. After all, if, for example, the rouble depreciates against the dollar, it will also depreciate against funds or commodities such as stocks or gold. It is therefore possible to draw up calendar spreads not only on currencies but also on other assets.
There are two main risks in calendar spread trading: