Spread between two futures - page 4

[Renat Akhtyamov]

Dmi3:

I am very sorry if I am asking too "intimate" questions, but I am used to getting into details.

What exactly you were sarbitrating on the 17th of September is not clear to me.

If GOLD-12.20-GOLD-9.20, then GOLD-9.20 from 12.30 on 17/09 does not change in price, as the settlement price of the contract has already been determined by the specification, so you do not have arbitrage, but a simple and uncomplicated counter-trend GOLD-12.20.

If GOLD-3.21-GOLD-12.20, how the hell did you get 62 contracts to enter + 62 contracts to exit = 124 contracts, despite the fact that the total volume of GOLD-3.21 trading on 17.09 was only 306 contracts according to exchange data?

As the result Variant two is not possible, Variant one is. But this is not arbitrage, you understand?

If a man throws a code and says there's a mistake in it.

then

Do you think it is worth believing?

[Mihail Marchukajtes]

prostotrader:

I have been trading arbitrage strategies on the FORTS since 2013 and I enter and exit the market naturally.

At the beginning of the year I opened another IIM:

Greetings colleague. The view of the balance curve is really good, but the yield is too low - about 5% per month. This is of course higher than a bank deposit, but it is not much for me.

Otherwise, I synchronise the futures as follows. I am writing a minutka to the file forcefully or when a new bar appears during a minute, but if it does not happen at 55 seconds I am adding this minutka. Why at 55 seconds? Because the terminal has no time to update several files at once for one second and it happens quite often, especially during night sessions. But in general, all files are synchronous and do not bother.... Naturally, when the connection is lost or missing more than one bar, the story is completed in the course of all missed bars, good thing the calculation of time is strictly fixed in our world. Good luck!

[Mihail Marchukajtes]

The indicator posted is interesting, I'll give it a try but why not use the right tool straight away?

https://www.moex.com/ru/derivatives/spreads/calendar-spreads.aspx

[Renat Akhtyamov]

Mihail Marchukajtes:

The indicator posted is interesting, I'll try to see but why not use the right tool straight away?

https://www.moex.com/ru/derivatives/spreads/calendar-spreads.aspx

It's all good, but it looks a lot like "here's a strategy, sign up, take a profit!!!".

It's more of a lure than anything else.

[Mihail Marchukajtes]

Renat Akhtyamov:

That's all well and good, but it sounds a lot like "here's a strategy, sign up, take profits!!!".

It's more of a lure than anything else.

No, that's how market makers work. They sell and buy spreads left and right, thus maintaining market liquidity. And now imagine that the pro-trader would have 4 Gs instead of 400 000, his profit today would be 940 instead of 94 000 in 9 months, and this is already normal money. Such a strategy is virtually a win-win situation, but its profitability is not great and I need good capital to make it palpable. I have downloaded the indicator and I will try to run it at market start. Let's see what it will show. Maybe this data will be useful for my TS, the yield of which is about 5% per week. But to trade spread one should be able to just know the rules, which I'm sure are very easy to write, but here I need to analyze the market window, as I understood. In general, let's see what is going on :-) However, I still have not found the calendar spread tool in MT5, that is, there will be problems with sending orders.

[Alexey Viktorov]

Mihail Marchukajtes:
......... So there will be a problem with sending orders.

There can be no problem at all. It is easy enough to write an EA with buttons, pressing which opens two positions for two futures. And if you want, the advisor will monitor the spread and open a position when the set amount is reached.

[Mihail Marchukajtes]

Alexey Viktorov:

There can be no problem at all. It is easy enough to write an EA with buttons, pressing which opens two positions for two futures. And if you want, the EA will monitor the spread itself and open a position when the set amount is reached.

Except that it should open them almost synchronously because the value of the spread is not very stable, it's just opening a position with one position with KC (calendar spread). They made this tool for, but why it is not available in MT5 at the opener is unknown :-(.

[Mihail Marchukajtes]

Well, the market has opened. Always when it's one minute to go I say "One minute to go and GOOL". :-)

Questions to the author of the indicator:

1. I have understood that the indicator does not write the history and it has to be written by myself somewhere in another EA?

2. Can you explain in more details what do the lines mean, what are the buffers themselves and what are the recommendations for working with this indicator? A little more details on the example of the current situation?

horizontal line? Is it true? Watching these minutes I saw attempts of the red buffer to break through the red line, but it was so transient that I cannot do it in time with my hands, and I think the robot with requotes has no time for it as well :-(

Thanks for the detailed reply?

[Mihail Marchukajtes]

On the main strategy the view is quite interesting, I knew even before the opening that we would go down, but when the opening was a strong rise only saw opportunities to sell at a better price, but alas :-(

[Mihail Marchukajtes]

Mm-hmm... unclear, but eerily interesting!!!!