FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

Moderator: moderators

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1039
Joined: Sat May 13, 2006 2:40 am
Reputation: 9
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

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

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

User avatar
pineapples
rank: <50 posts
rank: <50 posts
Posts: 45
Joined: Fri May 04, 2007 11:49 am
Reputation: 0
Location: Belgium
Gender: Male

Postby pineapples » Fri May 25, 2007 9:51 pm

quote: "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."
Thats the very reason I suggested multiple traders (two's company, three's a crowd) with separate accounts opening a trade with their respective brokers at exactly the same time.
If nothing else it would be a blast with your mates.
But if a "basket order" can be placed, then the most logical strategy would be to hit the markets during the quietest and most static time. If the fractional equation equals one so much the better, it's going to swing.

This method seems the most viable entry strategy to me in terms of minimal risk.
The exit is another story as profit only shows when the market is volatile. Though I am sure there are points at which the inefficiency holds for long enough to close everything and line the pockets. Sweet.

Pipscorer
rank: <50 posts
rank: <50 posts
Posts: 1
Joined: Sat May 26, 2007 2:35 am
Reputation: 0
Gender: None specified

Postby Pipscorer » Wed May 30, 2007 1:48 pm

Thanks for this wonderful thread..I have tried the 3 currency hedge for 2 weeks and up to now it is still flat. The Swap rate has been eating the balance slowly. I would like to try the 4 or 5 currency hedge, can anybody teach me formula for the lot allocation for 4, 5 or 6 currency hedge. Thanks

toddanderson
rank: <50 posts
rank: <50 posts
Posts: 7
Joined: Sat Dec 02, 2006 12:25 pm
Reputation: 0
Gender: None specified

How does daily pip range effect lot size

Postby toddanderson » Thu May 31, 2007 1:18 am

Does any one know how daily pip range effect lot size
for your hedge calculation



Pipscorer wrote:Thanks for this wonderful thread..I have tried the 3 currency hedge for 2 weeks and up to now it is still flat. The Swap rate has been eating the balance slowly. I would like to try the 4 or 5 currency hedge, can anybody teach me formula for the lot allocation for 4, 5 or 6 currency hedge. Thanks

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1039
Joined: Sat May 13, 2006 2:40 am
Reputation: 9
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Thu May 31, 2007 1:36 pm

Pipscorer wrote:Thanks for this wonderful thread..I have tried the 3 currency hedge for 2 weeks and up to now it is still flat. The Swap rate has been eating the balance slowly. I would like to try the 4 or 5 currency hedge, can anybody teach me formula for the lot allocation for 4, 5 or 6 currency hedge. Thanks


It's very simple: you just need to include every currency on both sides of the market. I.e., if there's a USD in your FPI ring, there has to be USD buy and USD sell part with the same position size present in your FPI ring.

You can get a listing of FPI rings that are available for (I guess) 25 most widely traded FX pairs. I posted the listing earlier in this thread.

Michal

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

okabija
rank: <50 posts
rank: <50 posts
Posts: 2
Joined: Sat Jun 02, 2007 7:23 am
Reputation: 0
Gender: Male
Contact:

Newbie Question

Postby okabija » Sat Jun 02, 2007 10:13 am

Hi....

I've read your 1st post about this strategy, although I didn't understand all, but i think its "safe" system that I'm looking for.
I'm not famous with NeoTicker, I use metatrader broker, WHC with spread 2 - 3pips.

I have few question :
* SellShort EUR/USD
* Buy EUR/JPY
* SellShort USD/JPY
this mean we should open those position exactly at the same time ?
and close it at same time ?
but how could I do the same open position at same time ? any metarader user could help me ?

How to determine to close and open position ?

thanks for reply

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1039
Joined: Sat May 13, 2006 2:40 am
Reputation: 9
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Re: Newbie Question

Postby michal.kreslik » Tue Jun 05, 2007 12:07 am

okabija wrote:Hi....

I've read your 1st post about this strategy, although I didn't understand all, but i think its "safe" system that I'm looking for.
I'm not famous with NeoTicker, I use metatrader broker, WHC with spread 2 - 3pips.

I have few question :
* SellShort EUR/USD
* Buy EUR/JPY
* SellShort USD/JPY
this mean we should open those position exactly at the same time ?
and close it at same time ?
but how could I do the same open position at same time ? any metarader user could help me ?

How to determine to close and open position ?

thanks for reply


Hello, Okabija,

all these questions have been answered in this thread earlier in detail. I'm thinking that I should put some sort of FAQ on FPI together here. Some people are even asking me to do a live seminar on FPI :) Well, if enough people would be interested in that, it'll be a pleasure for me to do that.

Anyway, according to my present knowledge (please correct me anyone if I'm wrong), MetaTrader brokers are paying a commission to MetaQuotes out of every client who is using MetaTrader with their brokerage. That's why MetaTrader is "free" for clients, but, unfortunately, this introduces a concept of hidden fees for these clients - fees that are not directly related to the trading mechanics itself.

For FPI to work at all, it's heavily dependent on prices that are as close to the real interbank (let's say, EBS) prices as possible with as low trading costs as possible. You don't know how much are you paying in the above mentioned hidden fees, so trading FPI thru such a broker might be as good as going to Las Vegas and playing black jack. In Las Vegas, you're gonna have some fun at least.

Michal

okabija
rank: <50 posts
rank: <50 posts
Posts: 2
Joined: Sat Jun 02, 2007 7:23 am
Reputation: 0
Gender: Male
Contact:

FAQ

Postby okabija » Tue Jun 05, 2007 4:05 am

Thanks for reply,

I agree to post FAQ on the first page. Because newbie like me, must be confuse. Especially English is not my main language, so I don't understand all of "science word" 8)
May be you could create a group for metatrader or if possible you also post indicator in metatrader.
Could you post example trading, how to trade, indicator, profit / loss with simple way ? I think this system in marvelous.

thanks,

regards,
okabija

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1039
Joined: Sat May 13, 2006 2:40 am
Reputation: 9
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Re: FAQ

Postby michal.kreslik » Tue Jun 05, 2007 6:21 pm

okabija wrote:Thanks for reply,

I agree to post FAQ on the first page. Because newbie like me, must be confuse. Especially English is not my main language, so I don't understand all of "science word" 8)
May be you could create a group for metatrader or if possible you also post indicator in metatrader.
Could you post example trading, how to trade, indicator, profit / loss with simple way ? I think this system in marvelous.

thanks,

regards,
okabija


Okabija,

I'm not using MetaTrader nor do I think it's viable to run FPI arbitrage profitably with a broker that pays commissions to Metaquotes. MetaTrader is by no means a great platform, but their licensing model simply does not fit into the set of broker-related requirements for a price-highly-sensitive arbitrage model like FPI.

As for the trading examples: there have been a couple of them posted here in this thread. The underlying idea behind FPI is quite simple, but the implementation is quite a complex task.

I'm going to post a simple program in C# that will enable the user to calculate the correct position sizes and expected profit based on input Bid/Ask quotes for open and close of the FPI ring impeccable hedge position soon (right after I finish one smaller project for one of my clients).

Michal

User avatar
Patch
rank: 500+ posts
rank: 500+ posts
Posts: 941
Joined: Sat Jan 06, 2007 6:13 pm
Reputation: 0
Location: Virginia
Real name: Jeff
Gender: Male
Contact:

Postby Patch » Wed Jun 06, 2007 3:42 am

Hi Michal

I think you are really smart, if not a trading and programming genius.

I've been reading this thread for a long time and wondering, what about auto trading to make The Impeccable Hedge have a profitable end result? The three smartest traders I know, use autotrade systems to remove their emotions from the trading equation.

Please tell my your thoughts, plus and minus.

Patch the Pirate
In VA

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


Return to “NeoTicker indicators”