Hedge Arbitrage Settings: Difference between revisions

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'''List of parameters:'''
 
== List of parameters ==


'''''Session 1 and 2 trading options'''''
'''''Session 1 and 2 trading options'''''


'''Open with limit''' – allows to send FOK or IOC limit orders for opening trade (for FIX API only).
; 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).
; 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.
; 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
; 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 Used to prevent opening trades triggered by outdated quotes.
; 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 Used to prevent opening trades triggered by outdated quotes.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
: '''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
If limit order rejected – allows to select action for reject.
: allows to select action for reject.
 
; Volume limit
'''Volume limit''' – max allowed total volume of open orders on the side.
: max allowed total volume of open orders on the side.
 
: '''''Open Method''''' – allows to control order queue on opening arb deal:
'''''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 both'' – orders on both sides will be sent simultaneously
: ''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
''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.
: allows to trail side 1 instead of instant closing by closing trigger.
 
; Trail side 2
''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.
: allows to trail side 2 instead of instant closing by closing trigger.
 
: '''''Close Method''''' – allows to control order queue on closing arb deal:
Trail side 1 – allows to trail side 1 instead of instant closing by closing trigger.
: ''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.
Trail side 2 – allows to trail side 2 instead of instant closing by closing trigger.
: ''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'''''
'''''Close Method''''' – allows to control order queue on closing arb deal:
; Time to start trade
 
: time to start searching for arbitrage signals. VPS local system time is used for this option.
''Close both'' – orders on both sides will be sent simultaneously
; Time to stop trade
 
: time to start searching for arbitrage signals. VPS local system time is used for this option.
''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.
; Random close
 
: allows to set random deviation for closing time.
''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.
; Time to stop close
 
: allows to set time to stop closing deas.
'''''Common'''''
; Apply for close
 
: apply trading hours fro closing delay, by default it it allowed to close deals anytime.
'''Time to start trade''' – time to start searching for arbitrage signals. VPS local system time is used for this option.
; Max errors
 
: after max errors number reached pair is blocked from trading.
'''Time to stop trade''' – time to start searching for arbitrage signals. VPS local system time is used for this option.
; Min. order lifetime, sec
 
: allows to set minimal trade duration.
'''Random close''' – allows to set random deviation for closing time.
; Trade pause
 
: pause between opening arbitrage orders on a certain instrument.
'''Time to stop close''' – allows to set time to stop closing deas.
; Check news filter
 
: enables news filter for the strategy.
'''Apply for close''' – apply trading hours fro closing delay, by default it it allowed to close deals anytime.
; Trade on news
 
: enables trading during news period only. The rest of the time trading will be disabled.
'''Max errors''' - after max errors number reached pair is blocked from trading.
: '''Don't trade on news''' – disables trading during news period only.
 
'''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'' ===
=== ''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.
 
'''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.
; 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.

Revision as of 19:47, 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.
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