FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

Moderator: moderators

User avatar
daniil
rank: 50+ posts
rank: 50+ posts
Posts: 61
Joined: Mon May 07, 2007 6:40 am
Reputation: 0
Gender: Male

Postby daniil » Tue Jan 08, 2008 5:52 am

Michal!
You made me confused about "partial order filling" and "order does not fill at all" - so i began to think that you are using Limits instead of Markets.
Anyway i tried to program the Limits, so if they are not fillied within N ticks they are replaced with market ones.

I suppose there is no way for Market not to be filled or to be filled partially.

BRGDS, Dan

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

davidf
rank: <50 posts
rank: <50 posts
Posts: 24
Joined: Fri May 19, 2006 6:10 pm
Reputation: 0
Gender: Male
Contact:

Postby davidf » Tue Jan 08, 2008 5:41 pm

Hi Daniil,
where is advantage if you use limit order? You must predict 3 pairs price. Can you expalain me yhy you use limit instead of market orders.

Thx
DavidF

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Tue Jan 08, 2008 6:50 pm

daniil wrote:You made me confused about "partial order filling" and "order does not fill at all"


Ok, I need to clarify that. I meant when the market order does only get filled partially at the current price or it doesn't get filled at all at the current price. The current price being the price that the FPI framework decides to be a part of the FPI anomaly, thus being worth opening or closing the FPI ring with.

My automated FPI framework is taking these cases into account and handles them, but it can't substitute the lack of execution quality with any mathematical acrobatics.

Michal

User avatar
daniil
rank: 50+ posts
rank: 50+ posts
Posts: 61
Joined: Mon May 07, 2007 6:40 am
Reputation: 0
Gender: Male

Postby daniil » Wed Jan 09, 2008 1:37 am

To Davidf:
I must not predict anything. When FPI extremum occurs the framework fires 3 Limits, but they act like Markets, i.e. buy at Ask and sell at Bid (or better). if they are not filled within 5 ticks they are replaced with Markets. It seems 50-60% of time all 3 orders will be filled within 5 ticks, other 40-50% only 2 orders will fill (at least on Demo). But it seems Real limit filling is much better.
Once again - it is only the experiment, because i was confused with Michal's post :)

BRGDS, Dan

FAB4X
rank: <50 posts
rank: <50 posts
Posts: 8
Joined: Tue Aug 14, 2007 4:17 pm
Reputation: 0
Gender: Male

Unable to compile

Postby FAB4X » Wed Jan 09, 2008 4:43 pm

TheEconomist wrote:So many people downloaded the SwapFinder, guess it's up to me to announce I repaired it (works for InterbankFX and FXDD) in collaboration with a team of traders around here.
Use it carefully (we don't know yet how good it is) (especially on FXDD, no rings on InterbankFX, sadly) these swap points are fluctuating...


I downloaded these file in Metaeditor to compile and getting various errors. I am using build 211. Could you post a current working version

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

FAB4X
rank: <50 posts
rank: <50 posts
Posts: 8
Joined: Tue Aug 14, 2007 4:17 pm
Reputation: 0
Gender: Male

Re: FPI Demo Statement

Postby FAB4X » Sun Jan 13, 2008 2:45 am

giapel wrote:
holyguy7 wrote:Here is a demo of FPI I have been running since the Beginning of the year. As you can see, it seems to be doing quite well with some nice profit so far.

I use Velocity4x as the broker for a few reasons:

1. They have low spreads.
2. They offer many currency pairs.
3. They have smaller lot sizes than just minilots to make more precise hedges.
4. They seem to be a fair broker with good reviews at forexbastards.com

Note: Demo is currently using 50:1 leverage. On a live account, you are allowed 100:1 leverage so the profits you see here would be doubled.

If you want to keep track of the trades in real time in Metatrader 4, here is the login information:

207.38.2.84:443
Login : 9004563
Password : lyk5wzc (read only password)

To do this in Metatrader 4 follow these steps:

1. Open Metatrader 4
2. At the top, click Tools and Choose Options
3. Click on the Server Tab and type in the above information in Server, Login and Password and click OK.

Any questions, please IM me on Yahoo IM:
holyguy7

or email me at holyguy7@runbox.com



hi, holyguy
i am new on this forum and
i am interested to forward-test EA-FIP on metatrader... very good result
could you post me EA to test it

thank you, giapel


Hi

Did you end up getting the EA? If so could you post it also. I am looking for it too.

Thanks

richie
rank: <50 posts
rank: <50 posts
Posts: 12
Joined: Wed Oct 31, 2007 2:30 pm
Reputation: 0
Gender: None specified

Postby richie » Mon Jan 14, 2008 6:50 pm

Hi, I just reached this long thread. Michal, what FPI range do you use in order to open a trade or close ? is it 0.9998 - 1.0002 or else? and how many total pips would you expect to gain from the range? is it feasible despite the fact that EFX charges commission?

User avatar
daniil
rank: 50+ posts
rank: 50+ posts
Posts: 61
Joined: Mon May 07, 2007 6:40 am
Reputation: 0
Gender: Male

Postby daniil » Tue Jan 15, 2008 2:37 am

Michal! Did you mention that fact that while FPI extremum occurs the spread of one or two pairs is strongly negative?
Maybe it is easier to catch the negative spread opportunity? only 2 orders - only one pair? :)

BRGDS, Dan

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Tue Jan 15, 2008 3:16 pm

richie wrote:Hi, I just reached this long thread. Michal, what FPI range do you use in order to open a trade or close ? is it 0.9998 - 1.0002 or else? and how many total pips would you expect to gain from the range? is it feasible despite the fact that EFX charges commission?


Hi, richie,

first of all; only the absolute difference between the opening FPI and closing FPI is relevant. Also, the FPI values don't technically fluctuate around 1 in real life as you can see here:

http://kreslik.com/forums/viewtopic.php?p=2636i#2636

Thus, the answer to your first question is that I first need to know what is the distribution of the FPI values for a given FPI ring in particular and then I can assess what is the FPI values range that I want to use for the opening/closing of this FPI ring.

In my fully automated FPI framework, written in C# for NeoTicker, the framework client is given an option to gradually choose between frequent FPI arbitrages with lower average outcome or less frequent FPI arbitrages with higher average outcome. There are pros and cons to both of these options. You should implement this in your solution as well.

Your question concerning the pips cannot be answered by using the term "pips". Forex traders often tend to think in pips as it's the most common way on how to express the price difference. The truth is that a "pip" is being replaced by a "pipette" when there are quotes available in fractions of a pip (typically 1/10 of a pip) and also, for some pairs, it's difficult to say what a pip really is. Let's take USD/CZK. The current quote is 17.3660. Can you tell me, what on earth is the value of a USD/CZK pip? Is it 0.01? Or 0.0001?

For this and other reasons, I'm using almost exclusively the ppm (parts per million) measure instead in my calculations. With ppm, you can represent the price differences for various fx pairs in a comparable fashion. Example: ten pips range of EUR/USD trading between 1.4500 and 1.4510 translates to 689.42 ppm (if we take the arithmetic mean between the 1.4500 and 1.4510 as the reference point).

Another problem with pips is that, obviously, a pip has different values for different FX pairs when converted to your account currency. The question of how much profit in your account currency terms can you expect from a single FPI arbitrage depends on the FX pairs used, the FPI range employed and the exchange rates between the particular arbitrage outcomes in all the FX pairs that form the FPI ring vs. your "home" (account) currency.

As you can see, the FPI concept is not for wussies :)

The commissions are a big obstacle for FPI indeed, but the brokers are generally willing to adjust your commissions if you are willing to trade through them :)

Michal

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Tue Jan 15, 2008 3:32 pm

daniil wrote:Michal! Did you mention that fact that while FPI extremum occurs the spread of one or two pairs is strongly negative?
Maybe it is easier to catch the negative spread opportunity? only 2 orders - only one pair? :)

BRGDS, Dan


A negative spread is merely an error in a quotation. If something like that happens on your platform, you're not likely to be able to trade under these erroneous conditions.

FPI does not depend on any of the FX pairs having a negative spread. You're never gonna see this kind of error on a professional platform like EBS anyway.

Michal

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


Return to “NeoTicker indicators”