@forexcoder
var arbitrage = 1 * prices[EURCHF] * (1 / prices[USDCHF]) * (1 / prices[EURUSD]);
if(abs(arbitrage - 1) < .025 )
The first of the two lines says if I take 1 EUR and use it to buy first CHF, then use the CHF to buy USD, then the USD to buy EUR back again, how many EUR would I have? In a perfectly efficient market (ignoring spreads) the answer would be 1 EUR. Arbitrage is the difference between the prices, I think.
The second line says if the difference (positive or negative) is < 0.025 then do the line below. That line is used to discard outliers in the data so that the chart is drawn to an appropriate scale.
