Exchange arbitrage, is it worth digging into? - page 11
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Has anyone tried digging arbitrage between indicators? At different brokers.
I don't think so, because nobody knows what arbitrage between indicators is.
It is when you buy an indicator from one broker (or better, download it for free in the code base) and sell it to another broker for a triple price.
You have to be a sales idol to do that)
Quoted a couple of instruments on arbitrage levels today ...With a ping of 60ms (from home I was minting). )) Because of the volatility in Euro, I got unwound like a gopher by the same arbitrage market makers, faster on a direct connection (as I've found out by analyzing the history of the tape (unsynchronized Tvm) and the glass). I have lost all my two-weeks profit in Si and Eu trading - I disabled the risk manager on purpose, to bring statistics in this case later.
Based on indirect calculations( having MarketData data with resolution in a second, the ping value in ms and the execution time in ms), came to the conclusion that my algorithms on the speed (sending a request-registration to the exchange) had to "jump out" of 4 ms, to at least do not lose in this situation (in the 15^30-17^00 period). And this is a calculation with the utopian assumption that the speed of MarketData - instant (in fact, it certainly is far from it).
Conclusions
1) MT5 - very fast platform, Quick does not stand beside (forts, stock, not checked).
But to compete with arbitrage market makers and other participants who use low latency strategies, you need direct access to the exchange with its infrastructure and with the appropriate material costs.
2)And there is as stiff competition as it may seem at first glance.
3)YES and arranging a direct access connection is not as difficult as it may seem at first glance. Even without the help of hired highly paid specialists.
I've been downing and pouring grief ...with beer today . It's very hard psychologically when you lose money in the market . Alcohol is not the answer, but still... Cheers, readers of this thread!
1) MT5 is a very fast platform, Quick is not even close (Forts, Stocks - not checked).
I am already happy about it! ) My ping is about 50 ms, execution is ~200 ms, slippage is up to 50 p. (only at order opening), but it works with a good price :) But I'm still racing on forex. On the other hand, I have no expenses for "infrastructure". It also depends on what you arbitrage with and what tolerances you have. For example, for Si, it is also unclear where the market date comes from, from the spot? If you have big delays there may be no point in trading with hft. 5-10 trades per news at most for example.
Quoted a couple of instruments on arbitrage levels today ...With a ping of 60ms (from home I was minting). ))
Ром:
I've been drinking a lot of beer today. It's very hard psychologically when you lose money in the market. Alcohol is not the answer, but still... Cheers, readers of this thread.
First, losing money in the stock market in general should not cause almost any emotion )
Are you arbitrage active (in the market) or passive? You don't stand a chance in an active one.
First of all, losing money in the stock market should cause almost no emotion at all )
Is arbitrage active (by the market) or passive? You don't stand a chance with active arbitrage.
and passive is what? just nervously smoking on the sidelines? )
i still haven't understood what Rom tried to arbitrage with with 60 ms pings... now i've opened a forts account, i'm just looking at my options... i just need to find a decent scheme. 50 pings result in a 60 action, which means i can get within 10 ms on a normal server, it makes no sense to go faster, it's not xft
Who live in Moscow, then I would recommend MGTS with their fiber-optic cable, they pulled it free of charge before (and I think now), the ping is really reduced by 80%, not checked on the stock exchange, but the forex brokers yes, but it must be considered, not all Wi-Fi routers pull the speed, in line all is clear.
Who live in Moscow, then I would recommend MGTS with their fiber optic cable,they pulled it free of charge before (and I think now), the ping is really reduced by 80%, not checked on the stock exchange, but the forex brokers yes, but it must be considered, not all Wi-Fi routers pull the speed, in line all is clear.
Just call the number on the site, say the house number, they look whether there is fiber there or not, if a few people want it and there is no fiber, they pull the cable to the house.
Why? Everyone uses PPS for bots.