Code Base

Theory:

Lets consider how does it work on EURUSD. Imagine that we have two synthetic pairs EURUSDx and EURUSDy.

They have similar dynamics, so if we open two opposite positions on these pairs we will have a hedged position.

In the experssion presented above we know the value of the first bracket (BUY EURUSDx and SELL EURUSDy).

The value of the second bracket is known after positions close (SELL EURUSDx and BUY EURUSDy)

Practice:

Trade-Arbitrage expert advisor uses it (you can modify for any other condition).

In a realtime it looks for cases when BIDx > ASKy for ALL of the possible synthetic pairs (thousands cases) and opens the corresponding positions.

It means that Trade-Arbitrage expert advisor is always has a multicurrency hedge.

It creates the file ArbitrageStatistic.txt with sorted (by frequency) arbitrage cases.

The file ArbitrageStatistic.txt

If Monitoring is TRUE, the expert advisor adds some arbitrage details to file Arbitrage.txt.

Arbitrage.txt with details

The trading is performed with pairs, defined in the file Trade-Arbitrage.txt (the file location is: experts\files).

Trade-Arbitrage.txt file example

Also it logs some details for further analysis (deals, reasons, and results):

Trade-Arbitrage advisor results (above), NettoTrading (left) and CheckMyArbitrage (right) script results

The multicurrency hedge can be checked by using a cycled script CheckMyArbitrage.

Input parameters:

• Currencies - currencies list used for synthetic pair.
• MinPips - minimal allowed (as arbitrage) difference in points (old) between BIDx and ASKy.
• SlipPage - slippage in pips allowed by broker for Market orders (different brokers have different values).
• Lock - locks are allowed (TRUE) or not (FALSE).
• Lots - Position volume for open/close.
• MaxLot - maximal lot allowed by broker (real).
• MinLot - minimal lot allowed by broker (real).
• Monitoring - log all of the arbitrage cases to file (TRUE) or not (FALSE). Loggint can take some time, that could be critical for the arbitrage.
• TimeToWrite - Log time period (in minutes) for arbitrage statistical data logging (ArbitrageStatistic.txt).

Expert works correctly (it doesn't break multicurrency hedge):

• Trade order errors (Rejects etc).
• Partial execution (Partial Fills). Some of the brokers allow it.
• feature, with minimal possible Lot, allowed by broker (MinLot).
• if Lock = TRUE it uses a mininal trade orders минимально.
  
• It can prohibit lock cases (Lock = FALSE).

Possible problems:

• The negative slippages and commissions are eating the profit.
• Long-term execution of trading orders, there are some cases when the other symbols prices are changed significantly
• Asynchronous processing of trade orders by broker.
• Small arbitrage time.

Possible impovments:

• Limit orders use.
• Simultaneous send for various symbols (asynchronicity emulation) of trade orders from multiple terminals for one account.
• Time control of the broker asynchronicity.
• The collection and use of more statistical information for use by other MinPips conditions of arbitration. For example, BIDx - ASKy> SPREADx + SPREADy.
• The collection and use of statistical information about the time duration of the arbitrage.
• Priority of the Market-orders queue (for example, the symbol with the largest tick volume or symbol with extremal local price.

Features:

• Multicurrency, so it cannot be used in strategy tester. It can be executed as script.
• The price history doesn't used. The arbitrage theory uses the market inefficiency (quote inefficiency), so the quotes nature is not important.
  
• Advisor works without losses.

Editor's remark:

Note that it's a mirror translation of the original Russian version.

If you have any questions to the author, suggestions or comments, it's better to post them there.