Pair trading and multicurrency arbitrage. The showdown. - page 223

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Colleagues - here in passing - in the topic. In general, I have written such an indicator EURUSD/GBPUSD - (this is minus) EURGBP - and this is how it draws outflows - outflows....

Any suggestions how it can be used in trading - this synthetic construction EURUSD divided by GBPUSD minus EURGBP?

I.e. what to buy and what to sell? Which of these three symbols to buy and which to sell if this synthetic is sold - on the upside?

The economy will be seen and understood afterwards - by trading.... 



    Spread1[i] = NormalizeDouble(Symbol1_Vol*Symbol1_K*iClose(Symbol1_Name,0,iBarShift(Symbol1_Name,0,t,false)),_Digits);
    Spread2[i] = NormalizeDouble(Symbol2_Vol*Symbol2_K*iClose(Symbol2_Name,0,iBarShift(Symbol2_Name,0,t,false)),_Digits);
    Spread3[i] = NormalizeDouble(Symbol3_Vol*Symbol3_K*iClose(Symbol3_Name,0,iBarShift(Symbol3_Name,0,t,false)),_Digits);
   

     
    Spread[i] = NormalizeDouble((Spread1[i] / Spread2[i] - Spread3[i])*10000,_Digits);        
 
Roman Shiredchenko #:

Colleagues - here in passing - in the topic. In general, I have written such an indicator EURUSD/GBPUSD - (this is minus) EURGBP - and this is how it draws outflows - outflows....

Any suggestions how it can be used in trading - this synthetic construction EURUSD divided by GBPUSD minus EURGBP?

I.e. what to buy and what to sell? Which of these three symbols to buy and which to sell if this synthetic is sold - on the upside?

The economy will be seen and understood afterwards - by trading....



These are spikes due to lack of quotes. There are no fish here, I've written about this before.

https://www.mql5.com/ru/forum/448777/page218#comment_51354339
 
Sergey Gridnev #:
These are spikes due to lack of quotes. There's no fish, I've written about that before.
I remember reading that somewhere..... here are the closing prices....
And in fact the division itself means what to buy and what to sell....

 
Sergey Gridnev #:
These are spikes due to lack of quotes. There are no fish here, I've written about this before.

https://www.mql5.com/ru/forum/448777/page218#comment_51354339
Yeah. Oops - got it.
 
Roman Shiredchenko #:

Colleagues - here in passing - in the topic. In general, I have written such an indicator EURUSD/GBPUSD - (this is minus) EURGBP - and this is how it draws outflows - outflows....

Any suggestions how it can be used in trading - this synthetic construction EURUSD divided by GBPUSD minus EURGBP?

I.e. what to buy and what to sell? Which of these three symbols to buy and which to sell if this synthetic is sold - on the upside?

The economy will be seen and understood afterwards - by trading....



Give an indyk in a private message. THANK YOU

 
Roman Poshtar #:

Give an indyk in a private message. THANKS.

ok. Tonight.
 
Roman Shiredchenko #:

Colleagues - here in passing - in the topic. In general, I have written such an indicator EURUSD/GBPUSD - (this is minus) EURGBP - and this is how it draws outflows - outflows....

Spreads are gigantic at night. When you look for inefficiencies, always check them with a spread indicator (postic). Inefficiencies are almost always levelled by the spread.

And closing prices are not enough to find any inefficiencies. You need a tick indicator. You need to parse the tick stream of both symbols and match the ticks as if they were in real time.

 
trampampam #:

Spreads are gigantic at night. When looking for inefficiencies, always check them with a spread indicator (potyky). Inefficiencies are almost always levelled by the spread.

And closing prices are not enough to find any inefficiencies. You need a tick indicator. You need to parse the tick stream of both symbols and match the ticks as if they were in real time.

Thank you. I will take it into account in the robot. So far I'm using it on m30. And ask - bid spread on control symbols.....
 
Roman Shiredchenko #:
Thank you. I'll take it into account in the robot. So far I am using it on m30. And ask - bid spread on control symbols.....

still a little bit wrong...:-)

rightly said about tick streams, which should be quickly taken and synchronised.

Local spread (ask-bid of a separate real instrument) does not play a big role anymore. For all instruments synthetic chains bid1->ask2->bid3...and only at the end of two different chains you have the final ASK-BID.

Tick frequency can play - avoid moments when you will definitely get non-performance or slippage. This is close to "elevated spread" but not it

Stability is crucial - the situation you want to take advantage of must last at least dT time or N ticks, otherwise it's a measurement error or you just won't have time.

 
Maxim Kuznetsov #:

it's still a bit of a misnomer.)

rightly said about tick streams, which should be quickly captured and synchronised.

Local spread (ask-bid of a separate real instrument) does not play a big role anymore. For all synthetic instruments the chains bid1->ask2->bid3...and only at the end of two different chains you have the final ASK-BID.

Tick frequency can play - avoid moments when you will definitely get non-performance or slippage. This is close to "elevated spread" but not it

Stability is crucial - the situation you want to take advantage of must last at least dT time or N ticks, otherwise it's a measurement error or you just won't have time.

Yes... you've gone deep... :-)

I'll reread it again - I'll get the hang of it.....

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