Latency Arbitrage

Latency arbitrage or 1 leg arbitrage is a classic arbitrage strategy based on price discrepancies between single slow broker and a source of fast quotes (fast feed). It compares prices between a slow broker and a fast feed and once arbitrage difference detected it places trade in the direction of arbitrage difference. For instance, if EURUSD price on a slow broker is 1.08567 and 1.08540 on a fast feed it enters sell position on EURUSD. After that position is trailed and closed by one of the closing trigger (SL, TP, trailing stop, time stop).

Latency arbitrage can be used for Forex brokers and crypto exchanges.

Latency arbitrage strategy Instruments and orders Tab

In this tab main trading parameters are set.

Description of the parameters:

Enabled – enables or disables trading on a selected instrument.

Name – symbol name on a fast feed.

Lot size – lot size to be traded.

Lot type – allows to switch between Fixed or Balance % lot type. Balance % lot type is calculated based on the following formula:

LotSize = (YourAccountBalance/1000)*(PercentValue/100).

Decimals – number of decimal places in symbol quotes.

Spread SL – allows to calculate SL based on spread. When Spread SL is enabled actual SL is calculated as a current spread multiplied by S/L value.

S/L – hidden stoploss for an arbitrage trade.

T/P – hidden takeprofit for an arbitrage trade.

Min profit – starting point for trailing.

Pips for Min Profit – when set Min profit parameter comes into effect after price reaches Pips for Min profit value. Used for brokers with wide stop/freeze levels.

Trail distance – distance arbitrage trade is trailed at.

Trail units – allows to switch trailing units between points and percents. Trailing in % mostly used in crypto arbitrage.

Order lifetime – maximum arbitrage deal duration (expressed in seconds)

Slippage – max allowed deviation from the price order is sent at. If price goes beyond allowed deviation order gets reject or requote. Works only for instant execution accounts and limit orders on FIX API accounts. For market execution accounts it has no effect.

Commissions – can be set if broker charges commissions. Commissions are calculated per million (10 standard lots) so if broker charges $7 per standard lot they should be set to 70. Parameter has no effect on trading, it affects only on profit display.

Diff calculation method – allows to switch between several calculation modes of arbitrage difference:

Standard (univeral mode, suitable for most setups)

BuyDiff = FastAsk - SlowAsk

SellDiff = SlowBid - FastBid

SpreadCorrected (recommened when spreads on a slow broker are lower than on a fast feed)

BuyDiff = (FastBid - SlowAsk)

SellDiff = (SlowBid – FastAsk)

Reversed (experimental mode)

BuyDiff = FastBid - SlowBid

SellDiff = SlowAsk – FastAsk

Include spread – allows to include or exclude spreads from difference calculation. We recommend to keep this option checked.

Diff to open – difference between prices on a slow broker and a fast feed for opening arbitrage deal.

Units – allows to switch trailing units between points and percents for all the parameters except Trail distance. Percents are used for crypto arbitrage.

Direction – allows to set directions for orders. If selected 'Buy only' or 'Sell only' it will open trades only by signals in allowed directions. 'Both' allows to open trades in any direction.

Min Spread Slow – minimal allowed spread for a slow broker. If actual spread is lower than Min spread slow value, arbitrage signals are ignored.

Max Spread Slow – maximum allowed spread for a slow broker. If actual spread is higher than Max spread slow value, arbitrage signals are ignored.

Max Spread Fast – maximum allowed spread for a fast feed. If actual spread is higher than Max spread fast value, arbitrage signals are ignored.

Bid offset – constant distance between bid on a fast and bid on a slow broker (in points).

Ask offset – constant distance between ask on a fast and ask on a slow broker (in points).

Offset Calc – allows to enable automatic offset calculation.

Comment – internal order identifier. If several instances of the same instrument are used in the strategy, comments for each instance should be different.

Diff limit – maximum allowed difference for opening arbitrage trade. If actual difference it higher, signal is ignored.

Statistical parameters (can't be modified):

Curr Buy Diff – current buy difference between a fast feed and a slow broker.

Curr Sell Diff – current sell difference between a fast feed and a slow broker.

Max Buy Diff – maximum buy difference between a fast feed and a slow broker detected since the last software restart or the last Max diff values reset.

Max Sell Diff – maximum sell difference between a fast feed and a slow broker detected since the last software restart or the last Max diff values reset.

Curr Spread Slow – current spread on a slow broker (in points)

Curr Spread Fast – current spread on a fast broker (in points)

Right-click menu parameters:

Columns – allows to hide or show selected symbol columns.

Clear max diff – resets Max diff values.

Add instrument – allows to add a new instrument to table.

Remove instrument – removes selected instrument from table.

Adjust settings automatically – automatic configuration based on spreads.

Reset settings to default – changes settings back to the default preset.

Save as template – allows to set current symbol configuration to template file.

Enable all – enables all the symbols in the settings table

Disable all – disabled all the symbol in the settings table