Hedge Arbitrage Settings: Difference between revisions
Jump to navigation
Jump to search
Formatting cleanup: section headings, parameter definition lists, whitespace |
Formatting cleanup: unified image layout (block, no float, border) |
||
| (2 intermediate revisions by the same user not shown) | |||
| Line 1: | Line 1: | ||
[[File:H5.png| | [[File:H5.png|none|frameless|border|515x515px]] | ||
== List of parameters == | == List of parameters == | ||
'''''Session 1 and 2 trading options''''' | '''''Session 1 and 2 trading options''''' | ||
| Line 55: | Line 54: | ||
: '''Don't trade on news''' – disables trading during news period only. | : '''Don't trade on news''' – disables trading during news period only. | ||
=== | === 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. | 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. | ||
Latest revision as of 19:55, 21 October 2026
List of parameters
Session 1 and 2 trading options
- 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).
- Ignore triggers
- If trigger quote comes from the side with checkbox ticked, arbitrage situation will be ignored.
- Type
- allows to set order type for opening and closing
- 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 Used to prevent opening trades triggered by outdated quotes.
- TTL (for PrimeXM FIX API bridge only) – Time in Milliseconds an open order will stay active in the system. As the TTL expires the remaining amount of an open order will be cancelled and the order will be closed. The TTL can be any integer value >= 0 or -1 for unlimited ttl, i.e. a GTC order
- If limit order rejected
- allows to select action for reject.
- Volume limit
- max allowed total volume of open orders on the side.
- Open Method – allows to control order queue on opening arb deal:
- Open both – orders on both sides will be sent simultaneously
- Open side 1 first – opening order will be sent on side 1 first. Order on side 2 will be sent after the side 1 order is filled successfully. If side 1 order is not filled or rejected side 2 order will not be sent.
- Open side 2 first – opening order will be sent on side 2 first. Order on side 1 will be sent after the side 2 order is filled successfully. If side 2 order is not filled or rejected side 1 order will not be sent.
- Trail side 1
- allows to trail side 1 instead of instant closing by closing trigger.
- Trail side 2
- allows to trail side 2 instead of instant closing by closing trigger.
- Close Method – allows to control order queue on closing arb deal:
- Close both – orders on both sides will be sent simultaneously
- Close side 1 first – closing order will be sent on side 1 first. Order on side 2 will be sent after the side 1 order is filled successfully. If side 1 order is not filled or rejected side 2 order will not be sent.
- Close side 2 first – closing order will be sent on side 2 first. Order on side 1 will be sent after the side 2 order is filled successfully. If side 2 order is not filled or rejected side 1 order will not be sent.
- Common
- 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.
- Random close
- allows to set random deviation for closing time.
- Time to stop close
- allows to set time to stop closing deas.
- Apply for close
- apply trading hours fro closing delay, by default it it allowed to close deals anytime.
- Max errors
- after max errors number reached pair is blocked from trading.
- Min. order lifetime, sec
- allows to set minimal trade duration.
- Trade pause
- pause between opening arbitrage orders on a certain instrument.
- 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.
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
- Units
- use units for offset calculation
- Automatically close all locks
- allows to automatically close deals on a selected day and time. VPS local system time is used for these options.
- Close pause
- pause between closing deals.
- Sound notification on order execution
- enables/disables sound notification for opening/closing orders.
- Sound notification on order rejections
- enables/disables sound notification on order order rejections.