Trading report for Oct 8, 2007
2007-10-08 04:36:10
So far, so good...
Read more: report
, Trading
BcLib further corrections needed
2007-10-03 14:45:56
It seems when I inserted the MaxPasses parameter in ReliableOrderSend and ReliableOrderClose they became really broken. Last correction solves the issue, however there is still a bug:Examining the corrected codes of the functions: copy from here and replace in BcLib.mq4! CODEint ReliableOrderSend(string symbol,int cmd,double volume,double price,int slippage,double stoploss,double takeprofit, string comment="",int magic=0,datetime expiration=0,color arrow_color=CLR_NONE,int MaxPasses=0) { int Gle=ERR_TRADE_CONTEXT_BUSY; string ErrType=""; string ErrText=""; string ErrExplanation=""; int passes=0; int res=-1; while (Gle==ERR_TRADE_CONTEXT_BUSY||Gle==ERR_REQUOTE||Gle==ERR_INVALID_PRICE||Gle==RR_PRICE_CHANGED||Gle==ERR_OFF_QUOTES) {
BcLib (and many others) update... discoveries, bugs and mistakes
2007-10-02 04:42:11
Last week our fellow TradeLover from the forum (who is also a contestant in MetaQuotes Automated Trading Championship 2007 - let's give him an for that) made a shocking and very disturbing discovery: a tick is not quite a pip in forex (we even argued for that, but he was right - never take anything for granted)Running a simple script like this:int start(){ Print("tick size= ",MarketInfo(Symbol(),MODE_TICKSIZE)," - tick value= ",MarketInfo(Symbol(),MODE_TICKVALUE));return(0);}what he got after some hours was this:22:40:03 ticksize GBPCHF,M1: tick size= 0.0001 - tick value= 8.5322:40:13 ticksize GBPCHF,M1: tick size= 0.0001 - tick value= 8.5322:40:20 ticksize GBPCHF,M1: tick size= 0.0001 - tick value= 8.5322:40:24 ticksize GBPCHF,M1: tick size= 0.0001 - tick value= 8.5322:40:27 ticksize GBPCHF,M1: tick size= 0.0001 - tick value= 8.5322:40:30 ticksize GBPCHF,M1: tick size= 0.0001 - tick value= 8.5322:40:31 ticksize GBPCHF,M1: tick size= 0.0002 - tick value= 17.0722:40:32 ticksize GBPC
Read more: discoveries
New kids on the block: Currency Futures, Islamic Banking and Spot-to-Futures Arbitrage
2007-09-17 13:28:35
As I promised to my readers, I am returning with an article about the "new" currency futures contracts introduced by the non-NFA regulated brokers. Together with arbitrageable commodities, currency futures prove to be some of the most valuable contracts to be found in a broker's datafeed.1. Basics of Currency
Futures======================Currency futures are the standardized, transferrable version of currency forwards. Currency forward contracts lock in the price at which an entity can buy or sell a currency on a future date. But how is a currency futures priced?A spot forex rate is the rate at which two currency amounts are equal : for example, 10000 USD are (at a moment, "spot") equal to 1.230.000 JPY at 123 JPY/USD rate. Since the time value of a currency is given by the interest, the currency futures rate which equalizes them incorporates the differential rate.Suppose we have two currencies, A and B, both equal now, as A/B = 1 spot rate.A interest in 20%, while B interest is 5%so
Read more: Arbitrage
, Islamic
, block
BcLib update
2007-09-16 05:09:56
Updates list:> Swap2Interest_Volume function now supports swap type 1 also;> "Swap Functions" block renamed to "Financial Math";> "Financial Math" block expanded to include functions for calculation or discount of currency futures;> GetCurrency() now works when market is closed too;> Added optimization types OPTIMIZE_SWAP_ONLY_VIRTUAL , OPTIMIZE_PRICE_ONLY_VIRTUAL to BcArb as possible parameter values for GetBestCross();> Added variable bool SupportOneAtomCrosslists = false that can work as a switch to influence CreateCrosslist() and CreateCrosslistsTable() to discard or not one-atom crosslists;...and perhaps others which I don't remember.Check also the new and repaired SwapFinder_script that uses everywhere UnitsToLots().
Attached File(s)
bclib_update_sep_16_2007.zip ( 50.95K )
Number of downloads: 32
SwapFinder_script_repaired_160907.mq4 ( 21.77K )
Number of downloads: 24
Arbitrage in commodities markets
2007-08-26 04:57:32
The explosion of brokerage firms on the Internet leads to an ever increasing competition among them ; one of the ways to have a better offer than the competitors is offering more markets to the trader , broadening his trading horizons from the narrowness of random forex; and since we're talking about MetaTrader, the most easy to automate and yet free platform of this kind, this is done by non-NFA regulated brokers, since NFA forbids the implementation of other contracts as CFDs (futures , stocks and bonds can't be implemented on MetaTrader the way they are). Ultimately, this is what traders wanted from the beginning: a single automated platform usable for trading many markets , in order to deploy logical and profitable strategies, not only indicator-hunting strategies... Perhaps NFA has its reasons for banning CFDs, however, if technical solutions are not found to this problem, US brokers will be effectively wiped out by the competition abroad on the retail segment where MetaTrader
Read more: commodities
, Arbitrage
Be the house, not the player
2007-08-25 02:33:37
Have you ever considered that a large amount of brokers work as online casinos trading against their clients and getting not only the spreads, but also their money? What makes them "play the house" in this game? Newbie traders greed and confidence? They know that the traders that make money are only the 10%, why not taking the money of the rest...Let's think for a moment: what kind of money management do you need to have in order to see the broker as a player
, while you have the house?How to make the a large number of losses not affect you and boost up equity during small gain series?Let's consider the market as a binary stream of situations that are equal (as a huge stream of 0 and 1 digits). Let the 0's be the loss situations and 1's the win situations. How not to lose to much cash? Don't play too much on each situation. Suppose you divide your capital in 256 parts, and play each part to be won or lost. That means that after a huge number of say 20 consecutive losses, you lost 2
Swap Arbitrage
2007-08-19 03:53:34
First of all, for who doesn't know what swaps are, they are implementation of differential interest rates. We aren't going to present here the implementation of swaps starting from the differentials, but the purpose of the article is to show how the swaps may be used to make money with a small amount of risk.Swap Arbitrage
, as a hedging for interest technique, is another application of Kreslik currency rings: this time there is no need for FPI calculation or generation of virtuals. All it matters is that the currency ring to be correctly placed, and to generate interest by its simple existence. I called it "Swap Arbitrage", because, if we cut out the forex impact, which is usually fixed due to hedging, it's like buying lower and selling higher swaps. The tinier the results, the more risky Swap Arbitrage is, because the swaps need longer time to recover spread loss, time in which fundamental events may alter the interest rates.1. Generating all the possible versions of available Kres
Evolution and principles of the Intercross Arbitrage
2007-08-15 13:59:59
I. Evolution
towards Intercross Arbitrage
1. Triangular Arbitrage================It is perhaps one of the most known arbitrage strategies learned in finance school. It consists in converting a given amount of cash in a currency thru some other currencies and back to original currency and getting profit, thus completing a currency ring transformation. It can be applied as an N-angular Arbitrage, when it has N currencies to deal with, but usually it's about three and this is why it's called Triangular Arbitrage. So, if we'd have some USD and market rates would allow arbitrage, it would mean, for example, to convert it to EUR, then to JPY and back to USD and have profit.Example: we have $500Market Rates:EURUSD 1.3700/03EURJPY 162.09/12USDJPY 118.18/20So we decide to:1. sell USD to buy EUR (LONG EURUSD @ 1.3703) : 500 USD/1.3703 = 364.8836 EUR2. sell EUR to buy JPY (SHORT EURJPY @ 162.09) : 364.8836 EUR * 162.09 = 59143.9827 JPY3. sell JPY to buy USD (LONG USDJPY @ 118.20) : 59143.9827 /
BcLib update
2007-08-15 13:59:46
Place BcLib and BcArb in experts\include folderPlace BcTools.Dll and BcWin.exe in experts\libraries folderFirst compile BcLib then BcArb.
Attached File(s)
bclib_update_aug_15_2007.zip ( 50.21K )
Number of downloads: 74
Trading report for Oct 17, 2007
2007-10-17 08:01:36
You're right Andi, I have kinda forgot posting results...After a jump last week from around $150 - $250 now it's consolidating in $300 - $350 area. The time it happened the DiscountedBasis indicator jumped over 0 ; generally it's negative (-1 to -7, average -3 to -5), except for the unhedged hour when Globex is shut down.
Read more: Trading
, report
Drawing the line : First trading month
2007-10-26 10:22:10
Well, a yield of 41% surely beats the hell of the Barclay's Hedge Fund Index This result was at a DiscountedBasis value of about 2 points. I have to mention that starting from morning of Oct 25, right after Globex respawn, the DiscountedBasis indicator, which was working at -5...-3 for about two weeks jumped around 0 and is averagely positive, meaning that the 6J future (direct quote) is slightly underpriced, compared with last week, when it was a bit overpriced (compared to the theoretical value). That means there is still room for average length arbitrages, shorter than a month.The strategy risks are practically extinct. But the moral hazard risks?.... Don't ask!
Read more: First
Forex Quasi-arbitrage Hedge System
2007-11-04 11:14:32
I thought about this system several months ago. I wasn't able to find a suitable implementation, because I tweaked it to the point I completely screw it up, so I'll put it the way I initially thought it.Trader's Fallacy: Hey, I can follow that trend and make cash like a pro!Traders love charts. Perhaps our reason for entering stock , forex or other markets was watching trending markets and simple indicators. The simplest indicator that someone gets in touch with when entering forex or stocks is the Moving Average (MA). Look how beautiful it is:You always used the MA as an indicator and always it tricked you! Damn whipsaws! But the MA is pretty neat. Whatever happens and wherever far the market will go, eventually it will slow down and be catch up by the MA.Haven't you ever dreamed that the MA to be an asset to hedge agains the market itself ? Say go short the market, long the MA, and get profit on cometogether?Look at the highest peek, it's so far from that 200 values MA at about
Read more: Forex
, Hedge
, System
I was shut down!
2007-11-09 10:58:30
Damn! With that big -978.76 bucks swap....I had to close! This will not remain unpunished!
Finally found the basis glitch
2007-11-08 12:07:45
Since I'm using this strategy, I observe that sometimes the account stays a lot constant, then jumps suddenly. Finally
found the catch. Here is also my account status for november 8:As you can see in the first red circle, before Globex shut down hour on Nov 7 , the discounted USDJPY futures was under USDJPY value. During this time, USDJPY moved down. Once the Globex started up, the discounted futures had to come towards USDJPY from its upward position, and it was stopped by the market's evaluation nearby USDJPY but in the upper side, since it came from up. It started to fluctuate around this value, this is why we see the DiscountedBasis average jump from negative to positive.This second picture is to answer Juan's request to see how much basis modified since last month: As you can see, the basis reduced from about 98 pips on Nov 9 to almost 43 pips now. Isn't that cool ?I appeal again at my readers to help me with the parameters of T-notes, as I want to check about arbitrage window
Read more: glitch
BcLib update
2007-11-20 01:20:45
Updates list:- Updated code for ReliableOrderSend(), ReliableOrderClose() as I wrote earlier in this blog;- Modified fast Order_**** functions to lookup history , after checking current trades ; added function Order_Pool to retrieve the place of an order: MODE_TRADES, MODE_HISTORY, or -1;- Replaced calls to ObjectsRedraw() with calls to WindowRedraw().The RealTickValue() function remains in place as a proxy for getting tick values, although MetaQuotes corrected the MODE_TICKVALUE bug since build 211.P.S. We are still working on the FXIndia issue...
Attached File(s)
bclib_update_nov_12.zip ( 51.56K )
Number of downloads: 0
BcLib update - New powerful trading functions
2007-11-23 05:41:21
This BcLib issue adds new trading functions:- ReliableModifyTakeProfit() and ReliableModifyStopLoss(), which attempt to place and repair the TP and SL levels , by moving them up or down (take profit, for buys and sells) , down or up (stop loss, for buys and sells) in order to avoid ERR_INVALID_STOPS, which is the only error handled by these functions. The fast functions ModifyTakeProfit() and ModifyStopLoss(), older, simply attempt to do this once without handling any error.- ReliableOrderPlace(), which is an upgrade of the ReliableOrderSend() . The difference is that SL and TP are integers , given by the user in pips. ReliableOrderPlace() calls ReliableOrderSend() to manage placing of the order without SL and TP, then it uses ReliableModifyTakeProfit() and ReliableModifyStopLoss to set TP and SL levels. This is why, if any errors appear in the log, they are reported by ReliableOrderSend(), not by ReliableOrderPlace().
Attached File(s)
bclib_update_nov_23.zip ( 52.21K )
Nu
Finally out of the mess...
2008-02-12 09:51:41
Well, finally managed to pull money out of FXINDIA. Was it a good broker? Well, they payed. (Perhaps because we didn't make noise on their forums, who knows). Did they do everything against us? Well, after the tricky swap charge they saw we are more stubborn than anticipated and decided to get rid of us and almost banned logins. Thanks to Matt we managed an awesome rate of about 170%... But again, trading on the edge, with more than MT4. The natural exploit of difference in volatility between forex and futures has been one of the keys used in this situation. But now it's over. Have to look at other brokers... Does anybody know RELIABLE brokers offering same datafeed as WHC ?
Read more: Finally
Back in trading!
2008-04-02 12:17:31
After weeks of making a long, costly and complicated SWIFT transfer , I finally managed to open account with WHC. (Tell you guys that do SWIFT, always wire to the final beneficiary bank, disregarding any info on the corresponding bank). With 10% of equity consumed during this madness , also caused by the fact WHC wasn't quite accepting EUR deposits, as stated on their IB's website, I was almost pissed off. However, their real datafeed is beyond my previous expectations : lots of forex (including the dangerous, but easy tradable USDHKD - easy to forecast due to Hong Kong's monetary council regime), stocks (common and some preferred), all kinds of commodities , indexes and currency futures, with various expiries and some quoted on different exchanges. I didn't have the patience to count all
Code release
2008-05-24 14:39:40
I'm answering to Pion's request to release the code for BcWin and BcTools. These were both written in Dev-Pascal. I am attaching the pas and project files , as a test script for them too.
Attached File(s)
Source_EXE_DLL.zip ( 4.97K )
Number of downloads: 0
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