FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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CyberiaCafe
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Re: Tick vs. Timed MBT Data

Postby CyberiaCafe » Tue Apr 22, 2008 12:02 pm

I'm not using the MBT SDK directly, so I can't comment on that first hand. Anyway, in order to calculate the FPI value, you should look for all new quotes, i.e. changes in either the bid or ask.

I would not use the term "tick" in any communication as it's very confusing. It's not clear whether it refers to the snapshot of a quote or to a new trade.

In NeoTicker, the code recalculation can either get triggered by:
  • a "tick" (new trade), or
  • by a preset time interval (like 100 ms) or new trade
Obviously, it's more precise to trigger the recalculation by a preset time interval/new trade (such an indicator is called a "timer"). This way, you're not missing on the quote changes that happen between the individual trades.

Michal


Are you meaning to recalculate on the first of a preset time interval elapsing or a new quote arriving? Or have I got what you intended by "new trade" completely and utterly wrong?

Also, could you check your PMs?

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Postby androfx » Tue Apr 22, 2008 12:25 pm

michal.kreslik wrote:My code published in the introductory article checks whether there is more than one valid ring in the tested matrix present and if so, it discards the whole matrix. Obviously, the valid rings will appear in another matrix combination. So there are no duplicate rings and no missing rings in the output.

michal.kreslik wrote:To declare the currently tested FPI ring as valid:

...

the tested combination must not contain more than one valid FPI ring


I did not bother to re-read the first post and check it in the code :oops:. Anyway - respect to quality of your code.

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michal.kreslik
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Re: Tick vs. Timed MBT Data

Postby michal.kreslik » Tue Apr 22, 2008 1:15 pm

CyberiaCafe wrote:Are you meaning to recalculate on the first of a preset time interval elapsing or a new quote arriving? Or have I got what you intended by "new trade" completely and utterly wrong?


NeoTicker only offers two low-level update schemes:
  • update by "tick" (they actually mean "new trade")
  • update by preset time interval or by "tick"
While the former will only trigger the recalculation of the code when there is a new trade that happened at your broker, the latter will trigger the recalculation every time when a preset time interval elapses (actually, it's not so precise, but still better than the other way round) or when there is a new trade.

Unfortunately, there is no update scheme that would trigger the recalculation on a change in either the bid or ask.

Michal

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Postby CyberiaCafe » Tue Apr 22, 2008 1:56 pm

Let slip the dogs of C# and roll your own?

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Postby michal.kreslik » Wed Jun 11, 2008 10:34 pm

CyberiaCafe wrote:Let slip the dogs of C# and roll your own?


I have already let slip the dogs of war and I'm not fully dependent on a third party software. But rolling out my own solutions wouldn't actually pay off. Automated trading pays off big time. Producing software does not as much.

Besides, why should I be creating a competition to myself by making my tools generally available? After all, there are surprisingly few forex traders in the world who are making a living by real trading. The absolute majority is making a living by selling signals or systems, doing the seminars and selling books instead.

Michal

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Postby davidf » Thu Jun 12, 2008 6:12 am

Hi Michal are you still working on FPI software or make you something news system?

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Postby michal.kreslik » Thu Jun 12, 2008 6:26 am

davidf wrote:Hi Michal are you still working on FPI software or make you something news system?


I'm still working on the FPI framework, but at this point it's certain the FPI arbitrage can't be run on the retail platforms because of the sloppy execution and order processing imperfection in general. I'm in the works of setting up direct deals with the banks.

I'm trading my other systems on an automated basis.

Michal

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Postby davidf » Fri Jun 13, 2008 6:19 am

Hi, Michal
point it's certain the FPI arbitrage can't be run on the retail platforms because of the sloppy execution and order processing imperfection in general. I'm in the works of setting up direct deals with the banks.


but this is not for us with small account, its a pity. I am curious on your FPI framework for banking dealing, if you will be shared with us.

DavidF

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Postby Stretchdss » Fri Jun 13, 2008 7:45 pm

I hate to disagree, but I think this can work for a retail trader...

Let me start by saying, that yes, I am new to this forum.
I have read all 67 pages on this topic, and I think I understand what we are talking about...
I believe that stategy can work for a retail trader.

I would like to suggest a few minor "improvements", that may make it possible for a retail trader to use / and profit from this strategy.

1. Let's forget about Interest Swap, that horse is DEAD !!

2. I recall a post a number of pages back that suggested using statistics to find the amount of time that a given ring deviated from "1" by a chosen number of points.
( ie, 90% of the time between 0.9993 and 1.0007, etc.).
I think this is a critical factor in finding rings that CAN BE profitable for the retail "investor".

3. The investor MUST know the Combined Spread of the ring he is trading.
You must calculate the Combined Spread immediately prior to entering a "trade".
If the spread is too wide you should not take the "trade".
If the spread calulation can be automated, it can be used as a filter to keep you out of bad trades. It can alao allow you to get into trades that might otherwise have scared you away.
For example, immediately after News Events...
Once the spread returns to normal, there may be an opportunity to get into trades while the ring deviation is still pretty wide.
This "Spread Filter" might allow you to trade while others sit on the bench waiting for "normal" market conditions.

If, as in the example I gave, the ring spends most of it's time between
0.9993 and 1.0007 (a 14 point range), the "investor" MUST be trading a ring with a Combined Spread of less than 14 (much less would be better), or he/she would have no hope of profitting.
AND, that "investor" should only place orders when the ring is at (or beyond) one of the extremes, and close that ring when it reaches the other extreme.
You MUST know the potential of the ring BEFORE you "trade" it !!!

For example, if the ring has a Combined Spread of 7 (actaully, you can find them as low as 3...), plus a commission of 1 (times 3), for a total of 11. The ring I have illustrated above would return a PROFIT of 3 each time it reached 0.9993 or 1.0007...

please correct me if I'm wrong.

4. I would concetrate my processing power on a FEW rings (maybe 10, with the lowest normal spread), instead of all possible combinations.
If the markets are active, your processor will be working as hard as it can to keep up with all the incoming tick data...

Can this work ? Sure it can !!!
Maybe it will only hit a few "trades" per day...

3 PIP's - nothing to get excited about right ?

I disagree !!!
You give me 3 PIP's, a couple times a day,
with virtually NO RISK ....
I'll quit my day job !!!

I have created a sheet that shows spreads (during London/New York) on the MBTrading platform (I can't remeber where I got it... might have been here !! ).
I used that to find Combined Spreads for a number of possible rings.
Some have remarkably LOW Combined Spreads.
Have a look, it's attached


I need a programmer !!!
I only learned Basic and Fortran back in the 80's
I'm too old, and don't have the time to learn now...
I would like to use the MBTrading platform, so I guess we'll need to program in API...

First, we'll need to use find the extemes as I mentioned above,
then filter by the spread, then make trades when all variable agree.

I am not asking for a hand-out...
I will compensate whoever can help me.

I hope my suggestions are helpful,
and I hope that somehere would be willing to help me...

Thanks to all,

Stretchdss
Attachments
FPI Spread Study.xls
(21.5 KiB) Downloaded 175 times

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Postby craig66 » Sat Jun 14, 2008 8:42 pm

How do you work out a cumulative spread for a ring when the units for each symbol may be different?

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