|
2 registered members (AndrewAMD, Quad),
509
guests, and 1
spider. |
|
Key:
Admin,
Global Mod,
Mod
|
|
|
Re: Multiple broker connection - beta testers wanted!
[Re: Sphin]
#470232
01/04/18 02:01
01/04/18 02:01
|
Joined: Dec 2016
Posts: 71
firecrest
Junior Member
|
Junior Member
Joined: Dec 2016
Posts: 71
|
What do you mean with "not successful" - technically or financially? Didn't the script trade at all or weren't the trades profitable?
I use the 'Simple broker arbitrage example' actually only to record spread and price (there is no commission at the used brokers) to find out a practical threshold and to view the relations between these components in a real environment. I mean financially. Technically Zorro works great. "not successful" means that the Demo accounts in both brokers are making a loss instead of gain. I use higher threshold and no trades are triggered. If I use lower threshold, trades are not profitable and losses are limited. The differences between prices of the same asset are too small (about 2- 3 pips) for profit. It can work if only one has almost zero commission and connection speed to capture this. I think another way to work around this is to trade Indices instead of FX. I have not tried out indices yet but I think it maybe possible. I am sharing what I know to the community and hope this help.
|
|
|
Re: Multiple broker connection - beta testers wanted!
[Re: Grat]
#470289
01/07/18 12:53
01/07/18 12:53
|
Joined: Dec 2013
Posts: 568
Fuerth, DE
Sphin
User
|
User
Joined: Dec 2013
Posts: 568
Fuerth, DE
|
There are some things I cannot comprehend. For searching reasons of lost trades I added this line to the simple broker arbitrage example before any enterX() or exitX() command:
print(TO_LOG, "\nPriceA: %.0f, PriceB: %.0f, Difference: %.0f", PriceA, PriceB, Difference);
Setting slippage = 0 I expected the logged prices to be the same as the traded ones but:
[4: Tue 18-01-02 04:00:00] 66.73 0 1/3 (13605.60)
PriceA: 13069, PriceB: 13412, Difference: -343
[Asset_A::L0501] Long 100@13069.00000 at 04:00:00
[Asset_B::S0502] Short 1@13204.59961 at 04:00:00
[5: Tue 18-01-02 05:00:00] 66.73 -155 1/5 (13412.70)
[6: Tue 18-01-02 06:00:00] 66.73 -131 1/5 (13197.10)
PriceA: 13294, PriceB: 13231, Difference: 62
[Asset_A::L0501] Sell 100@13294.00: +162 at 06:00:00
[Asset_B::S0502] Cover 1@13431.50: -283 at 06:00:00
While the logged PriceAs are the same at long entry and sell exit, the differences of logged PriceBs to its short entry is 208 and to its cover exit -200. The deviation is so extreme that the exit condition is simply not met because PriceA (13294) minus 'traded' PriceB (13431) is -137 and therefore still lower than 0. So the negative result is no surprise. Any hint where those deviations can result from?
|
|
|
|
