LockCL2 Arbitrage Settings: Difference between revisions

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[[File:Lockcl2 settings.png|right|frameless|735x735px]]
In this tab general strategy parameters are configured:
'''Label''' - the software generates a unique label for each strategy.


'''Fast quotes session''' - you can select the fast feed session provided by our company: BJF Feed (London) or BJF Feed (NY), or add any of your fast connections in sessions and select it.


'''Slow session 1''' - your slow session (broker) for arbitrage trading.
'''Label''' –  allows to assign a unique label to strategy. By default it is generated automatically.
[[File:Cl2222.png|right|frameless|580x580px]]
'''Fast quotes session''' – allows to select one of the fast feed session provided by our company, BJF Feed (London), BJF Feed (New York), BJF Feed (Tokyo), or any other of your connections from session list to be used as a source of fast quotes.  


'''Slow session 2''' - your slow session (broker) for arbitrage trading.
'''Slow session 1/2''' – allows to select slow sessions (accounts) for arbitrage trading.


=== Offset recalculation group ===
=== ''Offset recalculation group'' ===
'''Period''' – time distance between recalculations.
Sometimes there is a constant shift in prices between liquidities from different sources. It is rarely happens on currencies, but usual thing if you trade indexes or spot vs futures. Offset calculation allows to consider this shift in calculation of arbitrage differences automatically.  


'''Interval''' – time interval, which is used to collect the ticks used for recalculations (from fast and slow broker)
'''Period''' – time between recalculations.


'''Min ticks''' – minimum number of ticks on any (fast or slow) broker to perform recalculation.
'''Interval''' – interval used to collect the ticks used for recalculation (from both fast and slow broker)


'''Show results in log''' - please, tick if you want to check offset recalculation results.
'''Min ticks''' – minimum number of ticks on any (fast or slow) required for calculation.


=== Mapping group ===
'''Show results in log''' – allows to show or do not show offset calculation results in strategy log.
'''Suffix''' – if your broker provides symbols in format EURUSDxxx, you need to specify xxx as Postfix.


'''Mapping''' – in this field you need to specify specific symbols (CFDs, commodities) mappings. Each new mapping should be in separate line. The format is SymbolNameOnFast=SymbolNameOnBroker. For example. GDAXI=GER30.
'''''Error control'''''  


'''Error Control''' - maximal number of allowed consecutive losses.
'''Max locking attempts X''' – maximum number of attempts to open a lock position. If it fails to open it after all the attempts, remaining position will be closed and trading disabled.


'''Allow arbitrage''' - check if you allow the software searching for the arbitrage situations on this side.
=== ''Open/close parameters group'' ===
'''Open with limit''' – allows to send FOK or IOC limit orders for opening trade (for FIX API only).


'''Allow open''' - check if you allow the software opening orders on this side.
'''Close with limit''' – allows to send FOK or IOC limit orders for closing trades (for FIX API only).


'''Close with S/L''' - the software will place stop loss when arbitrage situation appears on distance from the current price equal value specified in slippage in the instrument and orders tab.
'''Allow arbitrage''' – allows to search arbitrage signals on this side.


'''Max delay''' - maximally allowed delay for order opening in ms.
'''Allow open''' – allows opening orders on this side.


'''T/P delay''' - set time in ms to make a pause before TP applying.
'''Close with SL''' – when arbitrage signal detected, instead of closing position by market price it will place stop loss at a distance equal to the Slippage value specified in the Instruments and orders tab.


=== Open/close parameters section ===
'''Max delay''' – if no updates during max delay period arbitrage signals are ignored till the next update. Used to prevent opening trades triggered by outdated quotes.
If you use the FIX API connection for trading, you can open FOK or IOC limit orders instead of market orders.


'''Open with limit''' - please, tick if you want to use limit orders instead of the market and select FOK limit or IOC limit.
'''T/P delay''' – allows to set delay for applying initial T/P. Expressed in milliseconds


'''Close with limit''' - please, tick if you want to use limit orders instead of the market and select FOK limit or IOC limit.
=== ''Mapping group'' ===
'''Suffix''' – if your broker uses symbols with suffix, like EURUSD.ecn, you need to put .ecn to suffix field to apply it for all instruments automatically.


=== Trading options group ===
'''Mapping field''' – used to set mapping for specific symbols (CFDs, commodities). Mapping for each instrument should be placed in a separate line in the following format: SymbolNameOnFast=SymbolNameOnSlow. For example: GDAXI=GER30.
'''Time to start trade''' - a time when the software will start searching for the arbitrage situations.


'''Time to stop trade''' - the time when the software will stop searching for the arbitrage situations.
'''''Trading options group'''''


'''Minimal order lifetime''' - this option is not available for the latency arbitrage.
'''Time to start trade''' – time to start searching for arbitrage signals. VPS local system time is used for this option.


'''Hard S/L factor''' - if you want to place real hard stop loss together with hidden stop los, you need to set Hard S/L factor value and the software will calculate hard stop loss like hidden stop los value x Hard S/L factor.
'''Time to stop trade''' – time to start searching for arbitrage signals. VPS local system time is used for this option.


=== Lock Management group ===
'''Trade pause''' – pause between opening arbitrage orders on a certain instrument.  
'''Automatically close all locks''' - you can select day(s) of week and Close time correspondent to your VPS time when the software will close all opened locks automatically.


'''Pauses'''
'''Min. order lifetime''' – allows to set minimal trade duration.


'''Between closing locks''' - pause in sec between closing 1st lock and 2d corresponding lock for the corresponding instrument.
'''Hard S/L factor''' – allows to set visible to broker SL (by default it is hidden). Visible SL is calculated as SL value in Instruments and orders table*Hard S/L factor value. For instance,  if S/L is set to 30 points and  Hard S/L factor is set to 20 points, visible stop will be set to 30*20=600 points.


'''Between opening locks''' - pause in sec between opening 1st lock and 2d corresponding lock for the corresponding instrument.
'''Disable trading after disconnect''' – disables strategy if slow session gets disconnected.


'''Between arbitrage orders''' - pause in sec between arbitrage orders.
'''''Lock management group'''''


'''Reopen lock after''' - the software will reopen lock automatically after this time in seconds.
'''Automatically close all locks –''' allows to automatically close locks on selected day and time. VPS local system time is used for these options.


=== Equity management group ===
'''''Pauses:'''''
'''Enable''' – controls if the equity management enabled or not.


'''Max total equity''' – the part of equity you can afford to lose. Can be expressed either in currency or in percents.
'''Between closing locks''' – pause between closing locks on different symbols.


'''Equity total minimum''' – if equity on account reaches specified value, the trading on the connection will be disabled.
'''Between opening locks''' – pause between opening locks on different symbols.


'''Check news filter''' - please, check if you want to take into account economic news releases.
'''Between arbitrage orders''' – pause between opening position in initial lock and between sending arbitrage orders on a certain symbol.  


'''Trade on the news''' - please, check if you want to trade only on specific news releases.
'''''Random lots:'''''


'''Do not trade on the news''' - please, check if you do not want to trade on specific news releases.
'''Enabled –''' activates/deactivates order randomizer
 
'''From/To –''' allows to set lot range
 
'''Step –'''  minimal change step for each iteration.
 
'''Reopen Lock After X seconds –''' allows to open initial lock or reopen lock after a certain time automatically.
 
'''Random correction from X to X seconds –''' allows to add random correction from a certain interval to automatic closing and reopening locks.
 
'''Check news filter''' – enables news filter for the strategy.
 
'''Trade on news''' – enables trading during news period only. The rest of the time trading will be disabled.
 
'''Don't trade on news''' – disables trading during news period only.
 
'''Alerts: Send Alert if execution time exceeds X ms''' – allows to receive Telegram alerts if execution time exceeds certain value.

Latest revision as of 18:32, 4 September 2023

In this tab general strategy parameters are configured:


Label – allows to assign a unique label to strategy. By default it is generated automatically.

Fast quotes session – allows to select one of the fast feed session provided by our company, BJF Feed (London), BJF Feed (New York), BJF Feed (Tokyo), or any other of your connections from session list to be used as a source of fast quotes.

Slow session 1/2 – allows to select slow sessions (accounts) for arbitrage trading.

Offset recalculation group

Sometimes there is a constant shift in prices between liquidities from different sources. It is rarely happens on currencies, but usual thing if you trade indexes or spot vs futures. Offset calculation allows to consider this shift in calculation of arbitrage differences automatically.

Period – time between recalculations.

Interval – interval used to collect the ticks used for recalculation (from both fast and slow broker)

Min ticks – minimum number of ticks on any (fast or slow) required for calculation.

Show results in log – allows to show or do not show offset calculation results in strategy log.

Error control

Max locking attempts X – maximum number of attempts to open a lock position. If it fails to open it after all the attempts, remaining position will be closed and trading disabled.

Open/close parameters group

Open with limit – allows to send FOK or IOC limit orders for opening trade (for FIX API only).

Close with limit – allows to send FOK or IOC limit orders for closing trades (for FIX API only).

Allow arbitrage – allows to search arbitrage signals on this side.

Allow open – allows opening orders on this side.

Close with SL – when arbitrage signal detected, instead of closing position by market price it will place stop loss at a distance equal to the Slippage value specified in the Instruments and orders tab.

Max delay – if no updates during max delay period arbitrage signals are ignored till the next update. Used to prevent opening trades triggered by outdated quotes.

T/P delay – allows to set delay for applying initial T/P. Expressed in milliseconds

Mapping group

Suffix – if your broker uses symbols with suffix, like EURUSD.ecn, you need to put .ecn to suffix field to apply it for all instruments automatically.

Mapping field – used to set mapping for specific symbols (CFDs, commodities). Mapping for each instrument should be placed in a separate line in the following format: SymbolNameOnFast=SymbolNameOnSlow. For example: GDAXI=GER30.

Trading options group

Time to start trade – time to start searching for arbitrage signals. VPS local system time is used for this option.

Time to stop trade – time to start searching for arbitrage signals. VPS local system time is used for this option.

Trade pause – pause between opening arbitrage orders on a certain instrument.

Min. order lifetime – allows to set minimal trade duration.

Hard S/L factor – allows to set visible to broker SL (by default it is hidden). Visible SL is calculated as SL value in Instruments and orders table*Hard S/L factor value. For instance, if S/L is set to 30 points and Hard S/L factor is set to 20 points, visible stop will be set to 30*20=600 points.

Disable trading after disconnect – disables strategy if slow session gets disconnected.

Lock management group

Automatically close all locks – allows to automatically close locks on selected day and time. VPS local system time is used for these options.

Pauses:

Between closing locks – pause between closing locks on different symbols.

Between opening locks – pause between opening locks on different symbols.

Between arbitrage orders – pause between opening position in initial lock and between sending arbitrage orders on a certain symbol.

Random lots:

Enabled – activates/deactivates order randomizer

From/To – allows to set lot range

Step – minimal change step for each iteration.

Reopen Lock After X seconds – allows to open initial lock or reopen lock after a certain time automatically.

Random correction from X to X seconds – allows to add random correction from a certain interval to automatic closing and reopening locks.

Check news filter – enables news filter for the strategy.

Trade on news – enables trading during news period only. The rest of the time trading will be disabled.

Don't trade on news – disables trading during news period only.

Alerts: Send Alert if execution time exceeds X ms – allows to receive Telegram alerts if execution time exceeds certain value.

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