FORTS: Strategies and how to implement them - page 27
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If you really traded on FORTS arbitrage you wouldn't make posts with blatant ignorance of how arbitrage is traded!
It doesn't matter exactly how you buy the 1st leg, it's important how quickly you manage to buy the 2nd leg and HFT has nothing to do with it!
You keep on "puffing up your cheeks", go on.
And changing your nickname won't do you any good because no one else will tell you anything.
(There are only 2-3 people who trade on the FORTS Market ).
Bye.
Yes, maybe those people are not here any more. But there were some interesting thoughts in this forum thread in 2015, surely colleagues have progressed since then in understanding which leg and how fast to take.
I've studied quite well exactly how arbitrage is traded by "slow" guys like Yudin promoting his Robinson via Quick. And I know how and what the "fast" guys like Kiryanov from Alor trade on direct connect.
They are the very gurus of arbitrage and I see a vacant niche between their approaches. If you don't see that niche, I'm sorry (:
But there are surely other guys working through MT5, with all the clear advantages and disadvantages of MT5. Those who have progressed at least a little bit since 2015 from empty cup limits and ask-ask arbitrage.
prostotrader:
(There are only 2-3 people here who trade on the FORTS real, and only by indicators).
Bye.
This is obvious from the published code snippets containing PositionSelect. Nothing personal :)
The TS Pair Trading.
Here https://smart-lab.ru/blog/339963.php, the essence of this TS is written briefly and quite lucidly.
But the pair can include not only one instrument from one side (Leg 1), but also from the other side (Leg 2).
I want to share my observations concerning the pair WTI (CL-XX.XX) <--> BRENT(BR-XX.XX)
Due to the fact that WTI is a guide for Brent, there is no need to calculate the percentage equilibrium of the pair.
Both contracts have 10 barrels each, both are traded in currencies even the prices are very close.
They are essentially the same commodity - oil.
Therefore there is no need to calculate correlation, cointegration and regression.
You can read about these terms herehttps://utmagazine.ru/posts/6789-parnyy-treyding-para-akciy-korrelyaciya-kointegraciya-spreda-investicionnyy-portfel
Analyzing the delta since the birth of the futures CL-XX.XX on the FORTS, a pattern was found that the delta always passes 100 points
(charts are in points) to one side or the other.
You can see the rest of the charts yourself.
The indicator works only on the real account, it calculates very slowly.
It remains to learn how to accurately determine(calculate) the direction of the delta trend ...
Added
This EA is slowly being written...
The TS Pair Trading.
Here https://smart-lab.ru/blog/339963.php, the essence of this TS is written briefly and quite lucidly.
But the pair can include not only one instrument from one side (Leg 1), but also from the other side (Leg 2).
I want to share my observations concerning the pair WTI (CL-XX.XX) <--> BRENT(BR-XX.XX)
Due to the fact that WTI is a guide for Brent, there is no need to calculate the percentage equilibrium of the pair.
Both contracts have 10 barrels each, both are traded in currencies even the prices are very close.
They are essentially the same commodity - oil.
Therefore there is no need to calculate correlation, cointegration and regression.
You can read about these terms herehttps://utmagazine.ru/posts/6789-parnyy-treyding-para-akciy-korrelyaciya-kointegraciya-spreda-investicionnyy-portfel
Analyzing the delta since the birth of the futures CL-XX.XX on the FORTS, a pattern was found that the delta always passes 100 points
(charts are in points) to one side or the other.
You can see the rest of the charts yourself.
The indicator works only on the real account, it calculates very slowly.
It remains to learn how to accurately determine(calculate) the direction of the delta trend ...
Added
An Expert Advisor is being written ...
I wonder why this indicator is not glued? (it may be a dumb question, I don't know, I have never made indicators). But it is not only that BR and CL have different expiry dates, but our exchange (and brokers) began to make troubles with current contracts after the incident with negative prices. And it is more convenient to operate with data for the whole history rather than monthly segments.
Although, Otkritie does not have CL gluing, that's for sure. But anyway, it's easier to glue it together myself, it seems to me.
The TS Pair Trading.
Here https://smart-lab.ru/blog/339963.php, the essence of this TS is written briefly and quite lucidly.
But the pair can include not only one instrument from one side (Leg 1), but also from the other side (Leg 2).
I want to share my observations concerning the pair WTI (CL-XX.XX) <--> BRENT(BR-XX.XX)
Due to the fact that WTI is a guide for Brent, there is no need to calculate the percentage equilibrium of the pair.
Both contracts have 10 barrels each, both are traded in currencies even the prices are very close.
They are essentially the same commodity - oil.
Therefore there is no need to calculate correlation, cointegration and regression.
You can read about these terms herehttps://utmagazine.ru/posts/6789-parnyy-treyding-para-akciy-korrelyaciya-kointegraciya-spreda-investicionnyy-portfel
Analyzing the delta since the birth of the futures CL-XX.XX on the FORTS, a pattern was found that the delta always passes 100 points
(charts are in points) to one side or the other.
You can see the rest of the charts yourself.
The indicator works only on the real account, it calculates very slowly.
It remains to learn how to accurately determine(calculate) the direction of the delta trend ...
Added
This EA is being written ...
Good thing you didn't trade CL-5 which went -40 ))))
I jumped in time when I noticed the manipulation of settlement futures.
You can trade for a while, but at one point, when you don't expect anything, they shake out and there is no way to hedge. Settlement, non-deliverable MMM futures are manipulations, gamblers.
Good thing you didn't trade CL-5, which went negative -40 ))))
It was CL-4.20, you remember it :)
Good thing you didn't trade CL-5 which went negative -40 ))))
I jumped out in time when I noticed the manipulation of settlement futures.
You can trade for a while, but at one point, when you don't expect anything, they shake out and there is no way to hedge. Settlement, non-deliverable MMM futures are manipulations, gamblers.
Hi Seryozh!
If people did everything right and on time (not just in trading),
then everyone would be rich and happy:)
But the world works in a different way, unfortunately :(.
There are not only good trades all the time, but
It's important that there are much more positive ones!
For example, I have finished my CL-BR Expert Advisor, but I cannot test it on demo,
So I will have to test it on a real account (if I have made a mistake somewhere (1400 lines of code) - losses may be expected).
Test - ok, bought 5 contracts each to widen the spread.
Test - ok, bought 5 contracts each to widen the spread.
I wonder what is the point of trading not the current brent contract but the next one?
I wonder what the point of trading not the current brent contract but the next?
You wrote that you were an "experienced" arbitrageur...