Dear all, After many researches, everyone insisted that Arbitrage is impossible. So I would like to open a topic to run Arbitrage system forward test and see if the result will keep on the growth (and see how long it will keep rolling) ? So a permission to share my live account results; day: 6 starting deposit: 995$ P.S. this is not an advertise thread, I will not give out the name of system or broker or account information. I only want to prove if Arbitrage is do-able these days.
What type of arbitrage are you claiming is possible (triangular?) and what level of latency from arbitrage existing until arbitrage has been executed? Are you using a single broker or arbitraging between brokers? I don't think anyone would claim arbitrage opportunities don't exist. It's more a matter of being able to execute them before a faster player. I'm not familiar with forex, but with such a decentralized market, I wouldn't doubt it's possible at some lesser established brokers, but then I'd question the ability to withdraw my funds at such a place. Perhaps you've found a place that arbitrage is possible (for now). If you're right, make the most of it while you can, because it probably won't last forever. Please use caution though as what you found may be an anomaly. Best of luck! EDIT TO ADD: My personal thoughts is that it's more likely that your trades just happen to coincide with small fluctuations in the prices that went in your favor. I do not expect this to work long term. Arbitrage is the simplest of automated strategies, so those with the resources to do very low latency should be expected to have already removed such opportunities. It follows that your profits are not a result of arbitrage, but are instead a result of "luck" (in that prices just happened to move in your favor).
His platform looks like MT4, and if so, I'm 99% sure he's just latency arb'ing some slow price feed broker. The broker will either be dumb and let him withdraw, or simply deny his profits after months of his algo working away once he tries to withdraw. If he's latency arb'ing, his average trade duration will tip off his broker to deny his withdraw request.
Hi Jack, thank you for your comment, please do not be hasty, I will keep forward testing going up and go on, I will withdraw my profit and post here (also, I will tell if I can not withdraw) and see if I can arbitrage using my new technology. Please do not compare with what you have ever seen, please keep watch what will happen here. I have experienced most of Arb EAs been there and done that.
Hi, Lee, thanks for your concerns, and with all due respect to your experience, but please let me inform you that the system you had was operating on Window Operating system (correct me if i am wrong) which always process quoting of asset prices with 25-30 ms. Plus, time that most fluid ECN broker send your execution price to LPs is around 30 ms. Moreover, your VPS to your broker is around 1-2 ms. And Finally, by the way you look at my profit executed, you are still sticking to LATENCY arbitrage attitude. Aware of aforementioned, we re-engineered all that (why do you think Hedge Fund making profit on daily basis?), and what I am doing here is to prove IF OR NOT what we have re-engineered will be working? Let see if I can jump out of the box. will keep it posted, thanks.
Hi GAT, I am sorry I am not being able to disclose strategy, as I said I only post here to prove IF OR NOT Arbitrage is still do-able.
I don't want your precise strategy, just a rough idea of what you are doing. That will give me some idea of whether your type of strategy really is do-able (which is what you say you want to prove). You posted a .jpg that could be mocked up in 5 minutes and proves nothing. Plus even if it was genuine the results wouldn't be statistically significant. As you say plenty of research and all common sense tells us that significant pure arbitrage opportunities are incredibly rare and do not persist for very long; you'd need some pretty strong evidence to back up a claim otherwise. GAT
Not sure why you assumed that I ever bothered to run a arbitrage based system in a live environment -- and if I did, it wouldn't be on Windows, in fact it wouldn't be running in software at all. Likewise you shouldn't assume running on a Linux VPS is low latency. I'll repeat what I said before: It is not impossible to make money on arbitrage. The problem is that the majority of people who come on this forum and talk about arbitrage think 10ms is fast. Most of the advice given on this forum, in general, should be implicitly assumed it is directed towards a typical retailer who lacks the resources (both technical and financial) to compete at the scale required to do arbitrage in a competitive market. If you are doing this against a counter-party forex broker, then you are not doing arbitrage in a competitive market. In this case, you don't have to be fast, you just have to be faster than the broker. I don't know the details of your infrastructure or the design of your system (I don't even know if it's hardware or software based), but this was your intention -- to be vague. For all I know you have $100B backing and have designed a system that will respond in < 100nano seconds. I haven't the slightest clue what the time scales that the top competition in arbitrage is running at these days because I don't work in finance, but I'd guess it's around 100ns on a pure arbitrage system in equities markets. I originally wrote a lot about my background, but I removed it. Lets just say I know latency more than most. Most people on this forum who talk about low latency probably couldn't design a system that emits an order < 10ms after receiving a quote. It's not about what I know, my caution was with regards to what you know since you were so vague it's hard to tell. You gave absolutely no details, so I suggested you be cautious and don't get too excited because of the following: 1) I do truly understand how fierce the competition is in arbitrage and I also recognize that the vast majority of people to even bother posting questions about it here are not likely to understand it to the degree that I do. 2) 6 days is too small a sample size to definitively know why you had profit. It is absolutely plausible that you got lucky with prices moving in your favor when you executed your trades and therefore that it's a statistical anomaly. 3) you may be using a counter-party forex broker that has a shitty market making algorithm. If this is the case, you're not actually doing arbitrage in a competitive environment. You've simply found a forex broker with a bad market making algorithm and you're exploiting it -- you're not competing against other arbitragers, but instead against the broker. In this case, you're not fast, your broker is just slow. 4) if you're using a broker as described in 3), you have a very real possibility of them preventing withdrawal or "fixing" their system so that you can't do this anymore. What I'd like to know is: 1) is your forex broker your counter-party? 2) what is your system's latency from last byte of quote received from the network (hardware level) to last byte of order leaving the network (hardware level)?
Hello Znail, Welcome to ET. Thanks for sharing your forward testing with the Arbitrage system. May I ask a few questions as I am also beginner programmer with NinjaTrader learning to program and properly test automated trading systems before going live with my own money. 1. What does Arbitrage system mean? Can you please explain to me what this means? Thanks