Registered: Jun 2004
07-30-12 03:17 PM
Live by the sword, die by the sword. The AUD/NZD strategy took a bit hit this week losing 114 ticks. I was on the wrong end of a bad fill this week. IdealPro (currency exchange venue IB uses) is supposed to be closed from 14:00 to 14:15 each day. I was filled on a order at 14:01 when the price spiked down. I contracted IB and asked how I was filled AFTER the market was supposedly closed. They explained that the IdealPro ‘closed’ time is like a rolling shutdown where each bank that acts as a market maker will begin their shutdown period starting at 14:00, but some banks may still be online for a few minutes. So basically, liquidity disappears starting at 14:00 until all banks are offline.
This is the first week that I also begin trading EUR/DKK, HKD/JPY, and USD/SGD with minimal position sizes in the live account to see how they perform. All results include commission.
Week of 7/15/12
Winning Trades: 76.5%
Total P/L: -114 ticks
Winning Trades: 72.2%
Total P/L: -70.6 ticks
Winning Trades: 76.9%
Total P/L: +0.90 ticks
Winning Trades: 87.5%
Total P/L: +26.9 ticks
Total since inception (3/11/12)
Winning Trades: 77.5%
Total P/L: +293.1 ticks
Update on Progress of the Arb Trader Application
This week I will be moving to live trading the following features/bugfixes.
- Ensure that all orders are cancelled by the IdealPro close time of 14:00, and resubmitted by the 14:15 open time.
- Make sure trades placed on Sunday evening have the correct parameters based ONLY on Sunday’s hourly prices, and not on Friday’s
- Add timestamp to output that is displayed in the app’s text area.
End-of-Day ETF arb strategy
This strategy has closed 1 round turn trade at this point. The strategy takes its positions near the close of the market. It begins looking for entry/exit signals 1 minute before the market closes. I will be taking this value down to 15 seconds before the market closes instead.