FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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Oli
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Postby Oli » Mon Nov 19, 2007 11:42 am

I heard that Kreslik has made close to $1M with his full on hedge fund clients who are desperate for the amazing FPI.... :shock:

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Postby juangecko » Mon Nov 19, 2007 1:41 pm

wow...do you know what return in % are they achieving?

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michal.kreslik
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Postby michal.kreslik » Tue Nov 20, 2007 9:15 pm

Oli wrote:I heard that Kreslik has made close to $1M with his full on hedge fund clients who are desperate for the amazing FPI.... :shock:


Hi, Oli,

I've just returned home from Stockholm, otherwise I would have replied to you earlier.

I have not made close to $1M with FPI, though I wish I did :)

But it's true there are about 9 hedge funds seriously interested in getting my fully automated FPI framework once it's fully operational and stable. Anyway, this is not a subject I'd wish to discuss publicly before any deal is settled.

Let's talk about the FPI mechanics instead in this thread.

Michal

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daniil
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Postby daniil » Wed Nov 21, 2007 12:57 am

Yes Michal! Let's talk about FPI mechanics... :D
let's imagine that we have the smallest latency time ever.
so what is the way to make it stable (at least with MBT\EFX)?
BRGDS, Dan

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Postby michal.kreslik » Wed Nov 21, 2007 10:19 pm

daniil wrote:Yes Michal! Let's talk about FPI mechanics... :D
let's imagine that we have the smallest latency time ever.
so what is the way to make it stable (at least with MBT\EFX)?
BRGDS, Dan


I guess you're talking about the internet connection latency. This kind of parameter is not as crucial as is the time needed to process the order at the broker. This is not to say that with a latency of 3 seconds you can run the FPI arbitrage, that would be a suicide. But a physical round trip ping of up to 250 ms is ok. I'm getting an average of about 190 ms round trip ping to EFX servers and about 125 ms to IB here in Europe.

Quite obviously, the lower the round trip ping, the better. In the near future, I'll be moving the data collecting servers to the NIX backbone here in Europe, so I can post updated results on ping values here if you're interested.

I don't quite get your question about making "it stable". When I was talking about building a stable FPI framework, I meant stable in a programmatic sense (no program crashes).

Unfortunately, the question of order processing speed does not depend on the quality of your internet connection directly. One can assume that once you set up yourself to run the FPI arbitrage with millions of dollars, your data connection is backed up at least from three sources etc., but that does not provide you with any advantage in terms of the order processing speed.

My FPI framework is using a set of parameters that restricts it from opening or closing the FPI rings during times when there is a high volatility expected. There are basically two ways on how to do this:
  • expected fundamental news: these dates and times have to be entered by hand. You can then set the pre- and post- time span when you don't want the FPI framework to run the arbitrage. For instance, if you enter the date and time of the next NFP, you can set that you don't want to run the arbitrage 10 mins before the news and 45 mins after the news is out
  • statistics of average tick volume: this takes the statistics of the average tick volume during a trading week (Sun 5 pm - Fri 5 pm ET) for the given FX pair, calculated over some longer time interval (like last 12 months) from SQL and the user can then set the maximum average volatility that he or she has got the guts for. The higher the value, the more arbitrage opportunities, but the higher the risk of the broker not processing your order on time. Again, if you've got an excellent broker, you can do more arbitrages.


This is just a brief glimpse of the overwhelming complexity the FPI implementation takes.

Michal

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Postby daniil » Thu Nov 22, 2007 3:32 am

Hi Michal!
i suppose you tried the Impeccable Hedge with MBT/EFX.
in that case i suppose the "expected fundamental news" shutdown of the framework can be successfully programmed using "MbtAlerts" events.

BRGDS, Dan

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Postby Oli » Thu Nov 22, 2007 4:14 pm

juangecko wrote:wow...do you know what return in % are they achieving?


well you know how groundbreaking this whole FPI thing is - I mean it is just way out there in terms of sophistication and breaking new ground. And just think about coding it in C-sharp to run on NeoTicker!!! Just amazing.

I am surprised it is just 9 hedge funds! I thought it would be way more considering how cutting edge both the strategy and the implementation are...

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Postby michal.kreslik » Thu Nov 22, 2007 4:38 pm

daniil wrote:Hi Michal!
i suppose you tried the Impeccable Hedge with MBT/EFX.
in that case i suppose the "expected fundamental news" shutdown of the framework can be successfully programmed using "MbtAlerts" events.

BRGDS, Dan


MBTCOMLib.MbtAlerts collection is specific for the MBT/EFX platform, so it can't be used in a solution that aims to be broker independent.

Michal

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michal.kreslik
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Postby michal.kreslik » Thu Nov 22, 2007 4:48 pm

Oli wrote:well you know how groundbreaking this whole FPI thing is - I mean it is just way out there in terms of sophistication and breaking new ground. And just think about coding it in C-sharp to run on NeoTicker!!! Just amazing.

I am surprised it is just 9 hedge funds! I thought it would be way more considering how cutting edge both the strategy and the implementation are...


The FPI concept is not groundbreaking. It's equally commonplace as a wheel.

Michal

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Postby daniil » Fri Nov 23, 2007 6:53 am

Michal! Some more questions:
Is there any way to calculate the expected returns on the fly based at FPI value?
What entry/exit levels of FPI you use? i mean 0.9998, 0.9997.... (for not exotic pairs).
If the FPI value is abnormally high or low, does your framework proceed with orders?
What is the percentage of successful Triarbs of the framework you are developing?
Is it better to focus at 3Rings or 4Rings?

BRGDS, Dan

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