Exchange arbitrage, is it worth digging into? - page 8
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Today's volatility spikes after the sagging quote stream have led to suspicions that the broker is arbitrating its clients.
Of course, this is not as obvious as what happens in forex (where you don't have to match trades through the exchange), but still I have my suspicions. I will try to collect circumstantial evidence.
For what instruments?
Yes on practically all of the liquid ones. I was just thinking in my head. "If I were a broker and had access to the flow of traders' transactions before they entered the exchange and had the ability to slow down a little bit the flow of quotes non-symmetrically (on volatility spikes), then
how would I act if I wanted to earn more than commission?
How would I "plug" the arbitrage bots of my clients?
But in this case everything will be OK - fast, in a pinch you can send a requote.
The counter-application from a broker's friend is sent together with a trader's request to the exchange and executed there.
In short I thought today, my brain swelled - so I decided to drink beer. I will think about it later.
If I trade arbitrage smartly and carefully - MT5 is a good option. My arbitrage bots are all profitable.
But you have to be careful about hard quoting. Some brokers provide connectors for direct connection (for example smartcom from ity invest) I think, it is not as difficult as working directly with protocols without special knowledge and not so scary, as described in metaquotes. I'll change the quotes in another language and attach them to smartcom.
How do you deal with arbitrage using MT5? Do the bots meet your expectations?
How are you doing with arbitrage through MT5? Do the bots live up to expectations?
It's OK.
Sometimes there are big delays in order execution, up to 3 seconds. Even in the market you can see that the order is hanging and the price has gone up and down more than once but it is not executed. Especially at the opening of the market and with sharp fluctuations this happens. I don't know what this is about, either the exchange server is slowing down or the MQ server.
Normal.
There are big delays in execution, up to 3 seconds. Even in the market you can see that the order is hanging, the price has gone up and down more than once, but it is not executed. Especially at the opening of the market and with sharp fluctuations this happens. I don't know what this is about, either the exchange server is slowing down or the MQ server.
Normal.
There are big delays in execution, up to 3 seconds. Even in the market you can see that the order is hanging, the price has gone up and down more than once, but it is not executed. Especially at the opening of the market and with sharp fluctuations this happens. I do not know what it is because of, or exchange server is slowing down or MQ server.
But eventually it is executed or not?
After all, the request is transferred to a position in MT only after receiving a response from the exchange server about order execution.
I had a buy limit on price spikes for about ten seconds hanging way above the ASC)). I could not believe how it could be)))
In the morning, they say, the exchange only at the start of trading in a rare failure and formed a queue of orders. Well, and the answers, apparently, do not have time to hand out.
Metakvot say their server can handle about one hullabaloo of bids per second. And the exchange is bragging about their servers, too.
Maybe someone is behind our backs to rip us off.) Hmm. It's a guessing game...
Isn't mt5 connected to the exchange via plaza? They have a lot depends on the handicap of the programmers, how they hooked it up.) Maybe it makes sense to make the broker laugh.
Yes, through plaza 2.
A lot also depends on the cunning of the programmers, which, due to lack of information, can be mistaken for sleight of hand)
I don't know what's really going on here.)
I don't know if it makes sense to use a combined futures market, but it may take a lot of effort.
It makes sense, but the output is small. Very tight delta.And MT5 is problematic - you have to connect two terminals - one for futures and one for spot - and transfer quotes to each other. Loss in speed. And in arbitrage the competition is very serious with bots on direct connection, which will beat you in speed. Only scraps are left. And the primitive approaches (take difference, set median spread and levels, they won't work).
For me it makes sense to use the combined market depth and combined term-spot ribbon for other scalper strategies, but they may take too much time.
It makes sense, but the output is small. Very dense delta. And MT5 is problematic - you have to connect two terminals - one for futures and one for spot - and transfer quotations to each other. Loss in speed. And in arbitrage the competition is very serious with bots on direct connection, which will beat you in speed. Only scraps are left. And the primitive approaches (take difference, set median spread and levels, they won't work).
For me it makes sense to use the combined market depth and combined term-spot feed for other scalper strategies, but they need a lot of work.
Well, rent a server close to the exchange... the liquidity is low there, the gap on the gap on the minutes ) will always fall into holes)
and from the terminal to the terminal there will be less than a millisecond delay, I think it's ok, via rigs or RAM
Well, rent a server close to the exchange... the liquidity there is low, the gap on the gap on the minutes ) will constantly fall into holes )
For "malina" need a server in an exchange data centre and a direct connection, not through a broker's server. The market may be divided into two parts - a brokerage firm and a brokerage firm. Also take into account delays.
I am testing on tick history.