daniil wrote:Is there any way to calculate the expected returns on the fly based at FPI value?
Once the FPI ring is open, you can calculate what is the current profit/loss if you would close the FPI ring at the current set of live prices.
daniil wrote:What entry/exit levels of FPI you use? i mean 0.9998, 0.9997.... (for not exotic pairs).
It depends on:
- total costs for the selected FPI ring - the more costs, the more deviation you need to cover those costs
- individual settings of the automated FPI framework user that tell the framework to either take:
- more arbitrages with a lower average profit (and possibly having to wait longer for exit or having to exit at a loss), or
- less arbitrages with a higher average profit
daniil wrote:If the FPI value is abnormally high or low, does your framework proceed with orders?
Sure. The more extreme the FPI value, the bigger the arbitrage profit potential. But as I said earlier, the FPI framework does not initiate any orders during the time of day / week that has been set as being too risky based on expected volatility.
daniil wrote:What is the percentage of successful Triarbs of the framework you are developing?
If properly set up, the percentage of profitable FPI arbitrages can be 100%. If you risk more by setting up the framework to trade during extra volatile times, letting it open the FPI rings before the rollover, allowing it to open FPI rings at near-equilibrium values etc., this percentage obviously goes down. It depends on the risk appetite of the user. You can safely go for the above mentioned 100% if you're ok with less trades. We'll see how this fares in a prolonged live testing.
daniil wrote:Is it better to focus at 3Rings or 4Rings?
More pairs in a ring mean more execution risk, more costs, but also more arbitrage opportunities as there are more elements that can break the equilibrium. So once again, it depends on what do you prefer. Quid pro quo.