TRO's 3 pairs diff

links and discussion on trading-related learning resources

Moderator: moderators

rank: <50 posts
rank: <50 posts
Posts: 1
Joined: Sun Aug 28, 2011 11:05 pm
Reputation: 0
Gender: None specified

TRO's 3 pairs diff

Postby Althair » Mon Aug 29, 2011 9:33 am

HI guys!

I am a newbie, but got very excited about this website very quickly, as well as got very interested in what TRO is sharing with us.

I have a basic question on one of the modules shared by TRO.

What is the point of the code? Is it trying to identify arbitrage mismatches between 3 pairs? If so, what is the meaning of the P/L?

Did anyone try to trade using this indicator?

In the past, I tried to identify arbitrage opportunities with GFT using three linked pairs (like those in TRO example), but never managed, because the mismatch across the 3 pairs is very well "absorbed" by the comissions on each of the three pairs...

I do not understand the code very well: is it comparing the open price in the last daily bar to the current (close) price of the last bar and checking the mismatch between the 3 pairs?

Why would it need to store the max of this diff?

What is the assumption of the P/L? That one trades on the 3 currencies, using which strategy?

I know it is a lot of questions, and probably many people have already asked them, but if someone can either help me understanding or suggesting a post where TRO addresses this, I would be very grateful.


Please add to your ad blocker white list.
Thank you for your support.

Return to “learning resources”