LockCL3 Arbitrage: Difference between revisions

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[[File:LockCL3 new.png|frameless|1471x1471px]]
[[File:LockCL3 new.png|frameless|1471x1471px]]


'''Enabled''' - controls if the instrument is allowed to trade or not.
Description of the parameters:


'''Name''' – instrument name on feeder.
'''Enabled –''' enables or disables trading on a selected instrument.


'''Lot size 1''' – lot size to be traded on the left side account.
'''Name –''' symbol name on a fast feed.


'''Lot size 2''' - lot size to be traded on the right side account.
'''Lot size 1 –''' lot size to be traded on side 1.


'''Digits''' – how much digits instrument has in decimals.
'''Lot size 2 –''' lot size to be traded on side 2.


'''Spread SL''' - please check this box if you want to calculate Stop Los like percent from the spread.
'''Decimals''' – number of decimal places in symbol quotes.


'''S/L''' – hidden stop loss for the position in points, if box "Spread SL" is not checked and in percent from the spread, if box "Spread SL" is checked.
'''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.


'''T/P''' – hidden take profit for the position.
'''S/L''' – hidden stoploss for an arbitrage trade.


'''Min profit''' – how much profit the order should get (in points) for system to start trailing on this position.
'''T/P''' – hidden takeprofit for an arbitrage trade.


'''Pips for Min Profit''' – reserved, not used.
'''Min profit''' – starting point for trailing.


'''Trail distance''' – the distance (in points) that is used for trailing on position.
'''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.


'''Trailing units''' - Points / Present . The software can calculate trailing stop in points or like percent from instrument's price.
'''Trail distance''' – distance arbitrage trade is trailed at.


'''Order lifetime''' – the maximum time the position can be opened.
'''Trail units''' – allows to switch trailing units between points and percents.


'''Slippage 1''' – for instant execution brokers or FIX API brokers if you use limit orders - maximum allowed distance from requested price for the left side account.
'''Order lifetime''' – maximum arbitrage deal duration (expressed in seconds)


'''Slippage 2''' – for instant execution brokers or FIX API brokers if you use limit orders - maximum allowed distance from requested price for the right side account.
'''Slippage 1''' – max allowed deviation from the price order is sent at for side 1. If price goes beyond allowed deviation order gets reject or requote. Works only for instant execution mt4 and mt5 accounts and limit orders on FIX API accounts. For market execution accounts it has no effect.


'''Commissions1''' - you can set commissions for round turn for your left side account.
'''Slippage 2''' – max allowed deviation from the price order is sent at for side 2.


'''Commissions2''' - you can set commissions for round turn for your right side broker.
'''Commissions 1''' – commissions for side 1. Should 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''' - please select one of 3: Standard, Reversed, SpreadCorrected.
'''Commissions 2 –''' commissions for side 2.


Standard
'''Initial direction –''' allows to set initial directions for lock orders. If selected 'Buy on 1' or 'Sell on 1' it will open trades only by signals in allowed directions. 'Neutral' allows to open trades in any direction.
 
'''Diff calculation method''' – allows to switch between several calculation modes of arbitrage difference:
 
'''''Standard (univeral mode, suitable for most setups)'''''


BuyDiff = FastAsk - SlowAsk
BuyDiff = FastAsk - SlowAsk
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SellDiff = SlowBid - FastBid
SellDiff = SlowBid - FastBid


Reversed
'''''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
BuyDiff = FastBid - SlowBid


SellDiff = SlowAsk - FastAsk
SellDiff = SlowAsk – FastAsk
 
'''Include spread''' – allows to include or exclude spreads from difference calculation. We recommend to keep this option checked.


SpreadCorrected
'''Diff to open 1'''– difference between prices on a slow broker and a fast feed for opening arbitrage deal on side 1.


BuyDiff = (FastBid - SlowAsk)
'''Diff to open 2'''– difference between prices on a slow broker and a fast feed for opening arbitrage deal on side 2.


SellDiff = (SlowBid - FastAsk)
'''Min Spread Slow 1''' – minimal allowed spread for a slow broker 1. If actual spread is lower than Min spread slow 1 value, arbitrage signals are ignored.


'''Include spread''' - check this box if you want to include the spread for differ to open calculation. The slow broker's spread will be extracted from the difference to open.
'''Min Spread Slow 2'''– minimal allowed spread for a slow broker 2. If actual spread is lower than Min spread slow 2 value, arbitrage signals are ignored.


'''Diff to open''' – distance between price on slow and fast to open the position.
'''Max Spread Slow''' – maximum allowed spread for both slow brokers. If actual spread is higher than Max spread slow value, arbitrage signals are ignored.


'''Units''' - select units points or percent for difference to open calculation. the percent is useful for crypto currencies arbitrage.
'''Max Spread Fast''' – maximum allowed spread for a fast feed. If actual spread is higher than Max spread fast value, arbitrage signals are ignored.


'''Max spread slow 1''' - maximum allowed spread for the left side broker.
'''Bid offset 1''' – constant distance between bid on a fast and bid on a slow 1 broker (in points).


'''Max spread slow 2''' - maximum allowed spread for the right side broker.
'''Bid offset 2''' – constant distance between bid on a fast and bid on a slow 2 broker (in points).


'''Max spread slow''' -
'''Ask offset 1'''– constant distance between ask on a fast and ask on a slow 1 broker (in points).


'''Max spread Fast''' - maximum allowed spread for the fast feed.
'''Ask offset 2'''– constant distance between ask on a fast and ask on a slow 2 broker (in points).


'''Bid offset 1''' - constant distance between bid on fast and bid on the slow left side broker (in points)
'''Offset Calc''' – allows to enable automatic offset calculation.


'''Bid offset 2''' - constant distance between bid on fast and bid on the slow right side broker (in points)
'''Comment''' – internal order identifier. If several instances of the same instrument are used in the strategy, comments for each instance should be different.


'''Ask offset 1''' - constant distance between ask on fast and ask on the slow left side broker (in points)
'''Diff limit''' – maximum allowed difference for opening arbitrage trade. If actual difference it higher, signal is ignored.


'''Ask offset 2''' - constant distance between ask on fast and ask on the slow right side broker (in points)
'''Min Time''' – no effect in Lock CL2 strategy.


'''Offset Calc''' – controls if the offset recalculation is used on instrument or not.
'''Min Pips''' – no effect in Lock CL2 strategy.


'''Comment''' - internal identifier. The comment should be different for similar instruments.
'''''Statistical parameters (can't be modified):'''''


'''Diff limit''' – maximum allowed difference for arbitrage signal.
'''Curr Diff 2''' – current buy difference between a fast feed and a slow broker 1.


'''Curr Diff 1-''' current difference for between fast feed and the left side broker.
'''Curr Diff 2''' – current sell difference between a fast feed and a slow broker 2.


'''Curr Diff 2'''- current difference for between fast feed and the right side broker.
'''Max Diff 1''' – maximum buy difference between a fast feed and a slow broker 1 detected since the last software restart or the last Max diff values reset.


'''Max Diff 1''' – the maximum difference between the fast feed and the left side broker that was detected during software was running.
'''Max Diff 2''' – maximum sell difference between a fast feed and a slow broker 2 detected since the last software restart or the last Max diff values reset.


'''Max Diff 2''' – the maximum difference between the fast feed and the right side broker that was detected during software was running.
'''Curr Spread Slow 1'''– current spread on a slow broker 1 (in points)


'''Curr Spread Slow 1''' – current spread on the left side broker (in points)
'''Curr Spread Slow 2'''– current spread on a slow broker 2 (in points)


'''Curr Spread Slow 2''' – current spread on the right side broker (in points)
'''Curr Spread Fast''' – current spread on a fast broker (in points)


'''Curr Spread Fast''' – current spread on feeder (in points)
'''''Right-click menu parameters:'''''

Revision as of 17:46, 4 September 2023

Modification of CL2 strategy that allows to combine accounts with favorable and unfavorable conditions for arbitrage.

Key difference is that CL2 enters arbitrage deals on both accounts and after each 2-nd signal opens hedging positions on the same account.

CL3 does not open hedging positions on the same account and enters arbitrage deals only on one of the accounts, which is set as active, passive account is used only to keep a hedging position.

To set account as 'passive' you need to uncheck Allow arbitrage checkbox in strategy settings tab.

Instruments and orders parameters and strategy settings are completely the same with Lock CL2 strategy.

Description of the parameters:

Enabled – enables or disables trading on a selected instrument.

Name – symbol name on a fast feed.

Lot size 1 – lot size to be traded on side 1.

Lot size 2 – lot size to be traded on side 2.

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.

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

Slippage 1 – max allowed deviation from the price order is sent at for side 1. If price goes beyond allowed deviation order gets reject or requote. Works only for instant execution mt4 and mt5 accounts and limit orders on FIX API accounts. For market execution accounts it has no effect.

Slippage 2 – max allowed deviation from the price order is sent at for side 2.

Commissions 1 – commissions for side 1. Should 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.

Commissions 2 – commissions for side 2.

Initial direction – allows to set initial directions for lock orders. If selected 'Buy on 1' or 'Sell on 1' it will open trades only by signals in allowed directions. 'Neutral' allows to open trades in any direction.

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 1– difference between prices on a slow broker and a fast feed for opening arbitrage deal on side 1.

Diff to open 2– difference between prices on a slow broker and a fast feed for opening arbitrage deal on side 2.

Min Spread Slow 1 – minimal allowed spread for a slow broker 1. If actual spread is lower than Min spread slow 1 value, arbitrage signals are ignored.

Min Spread Slow 2– minimal allowed spread for a slow broker 2. If actual spread is lower than Min spread slow 2 value, arbitrage signals are ignored.

Max Spread Slow – maximum allowed spread for both slow brokers. 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 1 – constant distance between bid on a fast and bid on a slow 1 broker (in points).

Bid offset 2 – constant distance between bid on a fast and bid on a slow 2 broker (in points).

Ask offset 1– constant distance between ask on a fast and ask on a slow 1 broker (in points).

Ask offset 2– constant distance between ask on a fast and ask on a slow 2 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.

Min Time – no effect in Lock CL2 strategy.

Min Pips – no effect in Lock CL2 strategy.

Statistical parameters (can't be modified):

Curr Diff 2 – current buy difference between a fast feed and a slow broker 1.

Curr Diff 2 – current sell difference between a fast feed and a slow broker 2.

Max Diff 1 – maximum buy difference between a fast feed and a slow broker 1 detected since the last software restart or the last Max diff values reset.

Max Diff 2 – maximum sell difference between a fast feed and a slow broker 2 detected since the last software restart or the last Max diff values reset.

Curr Spread Slow 1– current spread on a slow broker 1 (in points)

Curr Spread Slow 2– current spread on a slow broker 2 (in points)

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

Right-click menu parameters:

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