Spread trading in Meta Trader - page 6
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Not really. ! On the demo, just like on the real, positions are opened/closed at asc/bid ticker prices #I (and not at all LAST)!
It's strange. On my demo the opening goes to the symbol price without #I.
Messed up with the picture. I mean GCZ9, not GCG0 in the Market Watch table.
I've been following the topic almost since the beginning.
But, I don't quite agree with detecting both the average value and not quite clear on the issue of opening i.e. when.
I have described the spread (difference) somewhat differently.It may be crude, but it shows very interesting as an EA.
If you can, please give your opinion.
Of course my average value is not calculated correctly. For spread calculation we should take the difference between Ask of expected buy and Bid of expected sell.
I.e., Spread = MarketInfo(Symb1,MODE_BID) - MarketInfo(Symb2,MODE_ASK);
This requires that Symb1 and Symb2 are selected in such a way that Symb1 Price > Symb2 Price.
All of the above applies to the current spread. But because we do not have history with Ask, it is not possible to calculate the right average spread.
Now I'm planning to start an Expert Advisor, which will just collect the spread statistics in real time for a few days.
And a few words on how I think spread trading is correct. I would like to hear your comments.
Suppose: Bid(Symb1) > Ask(Symb2)
Then:
1) If Bid(Symb1) - Ask(Symb2) > AvarageSpread, then we can assume spread narrowing in the near term. And accordingly: Sell(Symb1), Buy(Symb2).
2) If Bid(Symb1) - Ask(Symb2) < AvarageSpread, then we can expect spread widening, Buy(Symb1), Sell(Symb2).
There was such an idea of pipsing on spreads. But I did not manage to check it on Demo. Once again, I personally may open positions only on symbols without the postfix #I, which are equal to LAST prices on COMEX for corresponding contracts. They do not correspond to prices to open positions on real accounts.
There was this idea of pips on spreads. But I couldn't test it on the demo. Once again, I personally can only open positions on symbols without postfix #I, which are equal to LAST prices on SOMEX for corresponding contracts. They do not equate to prices to open positions on real accounts.
Yes indeed. For some reason some instruments open/close at LAST prices.
On my demo GCGO works at ticker prices #I. And GCZ9 - for some reason, - at Last prices.
Didn't notice it right away. Yesterday my Expert Advisor made some profit on these instruments in half a day on my demo account. I put it in a real account with a small lot and found out that unlike the demo, all hedges are closing with a small minus. I did not understand what was the matter.
On a demo account the same trades at the same time are in the plus. And on the real account I'm in the red!
What the fuck? - I thought...
And only later I understood, that it's my Z9 contract, - it works without the "ticker" spread !
And a few words on how I think spread trading is correct. I would love to hear your comments.
Check out the theory section here. Replace EURUSDx and EURUSDy there with your real correlated trading instruments. Otherwise everything is identical.
Yes, indeed. For some reason some instruments open/close at Last prices.
On my demo, GCGO works at ticker prices #I. And GCZ9 - for some reason, - at Last prices.
..... realised that the "bothered" contract Z9 - which works without its "ticker" spread !
The answer of the technical support of the brokerage company:
"The new software is currently being tested on the demo server. For this reason closing of orders on demo account is different from closing on real account. I apologise for the time inconvenience."
And a few words about how I think it is correct to trade on spreads. I would like to hear your comments.
Suppose: Bid(Symb1) > Ask(Symb2)
Then:
1) If Bid(Symb1) - Ask(Symb2) > AvarageSpread, then we can assume a narrowing of the spread in the near term. And accordingly: Sell(Symb1), Buy(Symb2).
2) If Bid(Symb1) - Ask(Symb2) < AvarageSpread, then we can assume spread widening, Buy(Symb1), Sell(Symb2).
There was such an idea of pipsing on spreads. But I did not manage to check it on the demo.
Yes, probably. That is approximately how I am rewriting the code now.
Except for. - P.2), perhaps, should be written a bit differently.
Not so : 2) If Bid(Symb1) - Ask(Symb2) < AvarageSpread, ... ...
THIS IS: 2) If Ask(Symb1) - Bid (Symb2) < AvarageSpread, - (because we buy the 1st symbol at Ask and sell the 2nd one at Bid)
Small thing, of course - but this small thing will probably save 1-2 ticks in profit.
However. It's not really a small thing. Since the arbitrage tactic under discussion is essentially a scalper tactic, we should probably exploit every opportunity. If that opportunity allows you to beat the kitchen by at least one or two ticks. Any technique would be to the point.
These little things (eventually) add up to the final pibble.
Have a look at the "Theory" section here. Replace EURUSDx and EURUSDy there with your real correlated trading instruments. Everything else is identical.
Thank you, a very interesting expert. Strange that he didn't come to my attention earlier...
Roman , thanks for the comments. The change is really very significant. Doesn't order closing on demo already differ from real one? It is still the same for me.
For gold, everything remains the same. The ticker does not work on the demo.
For real account (in contrast to the demo, tickers are working) for gold, in the best case the Expert Advisor leaves with "own money" because of the wide spread of Z9 contract, and in most cases it "loses" little by little.
But for oil futures, everything seems to work the same on the real and on the demo. It is possible to test it on the demo. But different contracts of one instrument have different dimensions (e.g., oil CLGO = 74.36 and CLF0 = 73.10), therefore the average statistical spread should be corrected.
I tried to combine BRN and CL oil (corrected for difference in their dimensions), and also FDAX and FTSE. But till now I have not got a positive result.
Losses may work only long in this brokerage company, so nothing will work with them.