Triangular Arbitrage using Bid Ask Quotes

Have you ever wondered how to determine how to compute the triangular arbitrage formula using bid and ask quotes?  Using four simple rules it is possible to compute triangular arbitrage relationships using bid and ask prices. Three example computations for three different symbols are presented with an intuitive description of how to interpret the results in terms of identifying inefficiency, including the triangular arbitrage “risk free” opportunity, as well as the opportunity to transact at a better price using the synthetic than the underlying, even when no real arbitrage opportunity exists.

Triangular Arbitrage with Bid Ask Quotes
Triangular Arbitrage with bid ask prices 1000 bid vs synthetic ask quotes

Calculate Triangular Arbitrage Lot Size

January 23, 2013 2 comments

Have you ever wondered how to correctly size positions between the underlying pair and its synthetics to eliminate or hedge directional risk? This article describes  how to calculate triangular arbitrage lot size to fully hedge all exposure when initiating a triangular arbitrage trade. The arbitrage trade is at the heart of all good strategies that take advantage of inefficiency. In the forex market this means triangular arbitrage, so understanding how to correctly size positions to eliminate or minimize individual currency risk is very important.

Triangular Arbitrage Lot Size

Triangular Arbitrage Lot Size to capture 6 pip inefficiency synthetic pair
What triangular arbitrage lot size should be traded to capture this 6 pip inefficiency?

Trading Search Engine

December 31, 2012 Leave a comment

Try out this specially optimized search engine just for traders of forex, stocks, bonds, foreign exchange and get better results from all your trading search queries.

Trading Search Engine



Ten Reasons Why Out of Sample Trading System Performance May Be Worse than In Sample Performance

Why do trading systems tend to perform worse on new data?

This is the question so many trading system developers ask. The answer is that there are many reasons why test performance may be much better than live trading results.

Ten Reasons Out of Sample Performance May Be Worse Than In Sample Trading System Performance

Installing ZeroMQ in C# Visual Studio 0MQ

September 17, 2012 Leave a comment

How to install ZeroMQ for C# in Visual Studio – a step by step guide for C# users wishing to install ZeroMQ in Visual Studio.

Categories: C#, ZeroMQ Tags: , , ,

VB6 to C#: Writing A Chunk of Data to File in C# and VB6

September 12, 2012 Leave a comment

Is it possible to easily read and write a chunk of data to file to C# using the BinaryFormatter Serialize and DeSerialize methods? In VB6 you can perform quick binary file read and write with user defined types. Find out how to use the BinaryFormatter to quickly save and load data in any format in C#.

VB6 to C#: Writing A Chunk of Data to File in C# and VB6.

Calling R Project from VB6 and VBA

September 3, 2012 1 comment

Calling R from VB6 and / or VBA is now very simple using a class interface written in VB6 to utilize 7Bit’s R interface. Included is a sample project showing how to use the interface to harness the power of R statistical computing language to your Visual Basic projects.

Calling R Project from VB6 and VBA