Spread trading in Meta Trader - page 113
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rid: Ты уверен что твой индикатор строит правильную синтетическую пару ? У меня другой индикатор Syntetic строит совсем иначе. Я его проверял на EURGBP - он точно строит.
Yes, of course.
int k; for(k = 0; k < iBars(Symbol_1,Period()); k++) {
double bidSymb1=iClose(Symbol_1,Period(),iBarShift(Symbol_1,0,Time[k],false));
double bidSymb2=iClose(Symbol_2,Period(),iBarShift(Symbol_2,0,Time[k],false));
if(bidSymb1!=0 && bidSymb2!=0) {// synchronize bars
SpreadBid[k] = bidSymb1*K1 - bidSymb2*K2;//draw current spread line
}}
These indiceshave the same dimension and spread here is calculated not by division but by simply subtracting one symbol price from the other!
I.e. we obtain not a synthetic pair - but "intermarket spread" - exactly the way it is understood classically!
I'm used to it and I'm very comfortable to trade that way!
I've been meaning to tell you for a long time. I kept putting it off. But "I guess the time has come..." (C).
This is not about currencies, which are of less interest to me. And I will talk about all other instruments of commodity and stock markets!
_____ In our branch many times (including yesterday) it was said that when we trade a spread, for example (Dax + Futsi), we essentially trade a synthetic cross of Dax / Futsi.
But this is not the case!
Maybe, for currencies this may be true. But not for other instruments!
When trading the spread, we are not trading the Dax/Futsi cross at all , but the difference (Dax/Futsi) ! And probably there is a difference between the fraction of the FDAX/FTSE and the difference(FDAX-FTSE) !
That's why the indicator with price lines (green+blue) is made as an instrument difference - see fig.
And that's why the very first version of the spread line indicator from the "theme's founder" Fduch is also made - as the difference of analysed symbols!
"That's right ... ! (с)
That's the kind of thing I was thinking about this morning ...
fdax & fesx
Please tell me what is that spread indicator (synthetic pair) in that picture of yours ? Can you let me download it ?
Regarding the fact that indexes start at different times - I think the indicators do not build the missing clock. I.e. if one currency instrument starts at 8 a.m., and the other at 9 a.m., then the indicator will only show 9 a.m. when both of them will be working.
So you don't get a synthetic pair - but rather a "purely intermarket spread" - exactly as it is understood classically!
I'm used to it and I feel very comfortable trading this way
If we are talking specifically about "classics" (I hope the author of the respective thread will not show up here), then yes the difference "and no nails" (c).
In spread trading we are not trading a dax/futsi cross at all , but the difference (dax/futsi) ! And there is probably a difference between the quotient of the FDAX/FTSE division and the difference(FDAX-FTSE) !
But if you are aiming to estimate the change in spread "convergence" of the two instruments, then the choice of difference or division is not so straightforward. BUT multiplying by "convenient coefficients" (at least by point value, but no) raises big doubts about correctness.
And when it comes to automating the search for "suitable spreads", ....
By the way, if we consider the "proper spreads" chart as a new "synthetic instrument" and apply indicators to it (either by casting on it or by writing a new indicator with "...OnArray"), then we can try to formalize the overbought, dived spreads, etc. mentioned here and "there".
SZZ. And don't be fooled by the "arithmetic" posts, ie ... and mine too :).
Synthetic pairing between Light Sweet crude oil and paraffin.
CLJ0 ( 00-00, 23-15 )
XRBJ0 ( 00-00, 23-15 )
The timing is the same, so there are no discrepancies, no inaccuracies.
By the white lines I have marked the channel, on the upper border - to sell, on the lower one - to buy. If the price goes out of the channel, it's even better, because we know it will come back later and we may earn more by placing orders at the moment of a strong deviation from the average price and fixing profit at the moment of returning into the channel.
CRUDE OIL LIGHT SWEET CLJ0 tick size: 0.01, tick value: $10.000
GASOLINE RBOB XRBJ0 tick size: 0.0001, tick value: $4,200
Подскажите какой выбрать лот, чтобы уравновесить 2 эти пары ? По какой формуле рассчитывается ?
CRUDE OIL LIGHT SWEET CLJ0 размер тика: 0.01, стоимость тика: $10.000
GASOLINE RBOB XRBJ0 размер тика: 0.0001, стоимость тика: $4.200
The proportion is roughly like this (see the bottom turkey of the spread line):
Thank you. I've started trading oil/kerosene now...
Anyway, can I know the exact formula to calculate the number of lots, so that I can calculate it myself ?