FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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michal.kreslik
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Postby michal.kreslik » Sun May 06, 2007 9:13 pm

fiberangel wrote:Wanted to post a quick update about running FPI today during NFP. I decided to run the system on the live server just to see how it's going to perform and to my surprise even though I was slipped a lot and ended up with a minor loss (-$20), it was pretty stable. I was in and out of the 10K ring in 8 sec.

Regards,

Max


Max, what broker were you running it with?

Michal

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Postby fiberangel » Mon May 07, 2007 1:50 am

I run everything on MBT, both demo and live.

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Postby pineapples » Tue May 08, 2007 10:33 am

I readthrough this epic thread yesterday (Michal I bet you wish you never started this off :wink: ).

I see one potential way to work the fpi at the independent trader level.

Obviously super fast processing and execution are prerequisite for success.

First, swear a blood oath with two of your trading buddies to share profit/loss evenly OR open three separate trading accounts of your own.

Network three reliable PC's, each linked to an individual, reliable, trading account and each monitering one of the currency pairs.

The data is shared across the network and the same FPI calculator used on each PC.

When predetermined favorable conditions are reached, all three orders are placed in unison on each PC and account. This can be automated. NONE of the orders will be placed if one or more of the data feeds is out of synch as this would show on the shared FPI calculator.

The exit orders can also be automated when FPI calc hits target level, showing profit.

Who's up for it?

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Postby michal.kreslik » Wed May 09, 2007 8:04 pm

pineapples wrote:I readthrough this epic thread yesterday (Michal I bet you wish you never started this off :wink: ).

I see one potential way to work the fpi at the independent trader level.

Obviously super fast processing and execution are prerequisite for success.

First, swear a blood oath with two of your trading buddies to share profit/loss evenly OR open three separate trading accounts of your own.

Network three reliable PC's, each linked to an individual, reliable, trading account and each monitering one of the currency pairs.

The data is shared across the network and the same FPI calculator used on each PC.

When predetermined favorable conditions are reached, all three orders are placed in unison on each PC and account. This can be automated. NONE of the orders will be placed if one or more of the data feeds is out of synch as this would show on the shared FPI calculator.

The exit orders can also be automated when FPI calc hits target level, showing profit.

Who's up for it?


But what if the FPI scanner would determine that the current conditions are favorable for one of the 4-way FPI rings? Would you pass that opportunity just because you have set up only 3 PCs?

Also, you can flexibly place the orders with one broker, one account and one PC. Using different brokers is desirable if the rollover sum across those brokers for that partiular FPI ring is more favorable than the same rollover sum with just one broker. But if this is not the case, adding brokerage accounts to the equation only adds unreliability.

Another aspect might be that with more brokers, you are less visible with FPI, though.

Michal

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Postby michal.kreslik » Wed May 09, 2007 8:11 pm

Jonathan asked me about leveraging the FPI concept to take advantage of the composite rollover, here is my reply:


Although the interest rate / rollover issue is one of the criterion for realtime scanning for the most profitable FPI rings, I have to tell you a bitter truth: there are no interest rate positive FPI rings.

That's because the difference between the lending rate and the borrowing rate for the same currency will always differ to your disadvantage.

There are FPI rings that are just slightly interest rate negative and there are others that are heavily interest rate negative.

The only way on how to make money with FPI is to wait for the extremes and diminish the negative rollover risk (if you are forced to hold the FPI ring overnight) by picking the FPI rings that are not heavily rollover-wise negative.

Michal

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Postby michal.kreslik » Wed May 09, 2007 8:12 pm

fiberangel wrote:I run everything on MBT, both demo and live.


Is it MBT or EFX in particular?

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Postby fiberangel » Wed May 09, 2007 8:16 pm

It is MBT.
BTW, for the past 2 weeks or so, I'm rarely getting "signals" from the system as the market makes 3-way rings pretty close to 1 all the time. Are you getting it too? I have not tried it running with 4-way rings.
I understand that with Summer coming we will see less and less volatility so this sort of thing should be expected.

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Postby pineapples » Wed May 09, 2007 10:30 pm

I figured multiple accounts might diminish order processing time, as the three orders would each be treated as just one at each instance. It would not necessarily have to be different brokers.
If you can hit the FPI at one, surely that's desirable as you can then just wait for the inevitable swing into profitability. Entering FPI at one would also make price synchronicity more precise due to market inactivity.
Maybe simplistic theory but worth the brain cell resources I think.
There's a Euro or three somewhere in this...

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Postby fiberangel » Wed May 09, 2007 11:32 pm

pineapples wrote:I figured multiple accounts might diminish order processing time, as the three orders would each be treated as just one at each instance. It would not necessarily have to be different brokers.
If you can hit the FPI at one, surely that's desirable as you can then just wait for the inevitable swing into profitability. Entering FPI at one would also make price synchronicity more precise due to market inactivity.
Maybe simplistic theory but worth the brain cell resources I think.
There's a Euro or three somewhere in this...


Assuming that you could in one instant send those orders to the broker still will not necessarily mean that the orders will be executed/filled at that instance at time. Also, to synchronize sending of orders from multiple PC's will prove to be far more difficult task than the benefit (if any) that you would gain from running this strategy on multiple computers.
Those are just my thoughts, but I could be dead wrong or I could simply have misunderstood your thoughts.

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Postby michal.kreslik » Mon May 21, 2007 3:42 pm

fiberangel wrote:
pineapples wrote:I figured multiple accounts might diminish order processing time, as the three orders would each be treated as just one at each instance. It would not necessarily have to be different brokers.
If you can hit the FPI at one, surely that's desirable as you can then just wait for the inevitable swing into profitability. Entering FPI at one would also make price synchronicity more precise due to market inactivity.
Maybe simplistic theory but worth the brain cell resources I think.
There's a Euro or three somewhere in this...


Assuming that you could in one instant send those orders to the broker still will not necessarily mean that the orders will be executed/filled at that instance at time. Also, to synchronize sending of orders from multiple PC's will prove to be far more difficult task than the benefit (if any) that you would gain from running this strategy on multiple computers.
Those are just my thoughts, but I could be dead wrong or I could simply have misunderstood your thoughts.


  • having multiple accounts with the same broker does not ensure the execution of multiple orders is going to be any more instant than having just one account. It's because the broker is processing the orders based on the time when the order was received. It doesn't matter to the broker whether the orders are received from three different accounts or from just one account. The only thing that matters is the time. Apart from the basket order type of order (which is issued from one account), it's not possible to have more than one position initiated at the very same time, be it on one account or multiple accounts
  • attempting to open the FPI ring across multiple brokers is even less reliable timing-wise, even though it can be advantageous in a sense of having more FPI volatility available - more price streams feature more possible FPI ring combinations, constructed from the FX pairs from various brokers, thus giving you more non-synchronicity between the FX pairs


Michal

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