toddanderson wrote:Does any one know how daily pip range effect lot size
for your hedge calculation
The FX pairs' daily ranges do not affect the calculation of position sizes.
Michal
Moderator: moderators
toddanderson wrote:Does any one know how daily pip range effect lot size
for your hedge calculation
fiberangel wrote:Michal,
While I agree that using something like NeoTicker adds to the ability of quickly change the brokers, there is also another side of the story. First, I don't want to pay over $1K for the platform if I can very quickly write an adapter/connector to broker's API myself; second, as you stated in the beginning, ALL arbitrage strategies are VERY time sensitive and if I can shave off milliseconds here and there by going directly to API, I recommend doing it.
It's an argument with no right answers, I'm just posting my thoughts.
Regards,
Max
fiberangel wrote:Luke,
I downloaded your code (before you removed it). I don't have much time to look at it right now, but at the first glance I think you are calculating position sizes incorrectly (if at all, because I can see you are doubling on reversing thus reversing position [i.e. if you are short -10K and go long 20K you will end up with +10K long] ). I think it's wrong because for EACH ring/EACH direction you have to recalculate position sizes to have optimal hedged ring. Hence, you have to send a separate order to close each individual position in the ring (if you are using just one ring you can just close ALL positions) and when ALL successfully closed you can open reversed ring. Anyway, good luck.
Regards,
Max
cruzader wrote:Michal, i've been testing your ring. it seems to me that the ring stays flat only for 3 to 7 years. In 22 years test, the ring seems to lose its flat line (isn't it should be flat for eternity? or am i wrong assuming that). why so?
thanks Michal,
cruz