Automated Currency Arbitrage

globalarbtrader said:
I'm going to assume you are who you say you are, and aren't just trolling. I couldn't find any FX data on the website you mentioned which is a bit suspicous, and it's clearly just a load of marketing data mostly. Even the free prices you can get from google or yahoo, or a thousand other websites, will give you more accurate information.

An arbitrage might be that you can buy it at price A in one place, and sell it at price B in a different place. These sorts of arbs are available in crypto, although you might then struggle to withdraw your profits, get them stolen by the exchange, or end up having them wiped out by gas fees.

They are not available in FX. Although there are multiple trading venues for FX, any tiny differences will get quickly arbitraged out. They are will be of the order of 0.01% or less - not 14%. This is a game only the banks and the likes of Citadel can play; as a retail trader you have zero chance of making money from this.

There are also tiny fleeting opportunities for 3 leg FX arbitrage eg USDJPY, EURJPY, JPYEUR, but again only the banks can make profits from this as the spreads will completely remove the profits.

GAT
More...
Thanks for explaining. I'm not trolling. Trying to learn.
 
Radarcontact said:
http://fx.priceonomics.com/v1/rates/?q=1

I was looking on Google and it doesn't seem like the rates are wrong. Can you explain how you determined it to be wrong?
More...

Here's a scrape of that page
Code: 
{"USD_JPY": "89.1429750", "USD_USD": "1.0000000", "JPY_EUR": "0.0085736", "BTC_USD": "126.7888830", "JPY_BTC": "0.0000916", "USD_EUR": "0.6768007", "EUR_USD": "1.2169689", "EUR_JPY": "124.6882453", "JPY_USD": "0.0110213", "BTC_BTC": "1.0000000", "EUR_BTC": "0.0106548", "BTC_JPY": "12978.8979972", "JPY_JPY": "1.0000000", "BTC_EUR": "93.5226992", "EUR_EUR": "1.0000000", "USD_BTC": "0.0072229"}

Well for a start according to Google USDJPY is currently 113.90; not 89.14. It hasn't been at that level for 10 years. Similarly JPYUSD is 0.0088 not 0.0110213.

And BTCUSD certainly isn't 126.78! That's also a very old price. I don't know where they got these figures from, it doesn't look like an official page since it only contains raw text, maybe it's something they use for testing - randomly generated figures, which they don't seem to have defined to be consistent with each other (eg if USDJPY really was 89.142975 then JPYUSD should be 0.011212).

PS I just scraped the page again, and got this:

Code: 
{"USD_JPY": "88.9302529", "USD_USD": "1.0000000", "JPY_EUR": "0.0085893", "BTC_USD": "126.1388064", "JPY_BTC": "0.0000917", "USD_EUR": "0.6751856", "EUR_USD": "1.2239066", "EUR_JPY": "125.3990728", "JPY_USD": "0.0110416", "BTC_BTC": "1.0000000", "EUR_BTC": "0.0107155", "BTC_JPY": "12912.3521224", "JPY_JPY": "1.0000000", "BTC_EUR": "93.0431863", "EUR_EUR": "1.0000000", "USD_BTC": "0.0072057"}

I'm fairly sure USDJPY hasn't moved by one big figure in 2 minutes, so that strongly suggests that these are just garbage random numbers.

GAT
 
And the mystery is solved - it's a game!

https://priceonomics.com/jobs/puzzle/

"In this puzzle you'll be working in a market where prices are independent of supply and demand. Also, the currency exchange broker is a close friend of ours, so all trading costs are waived.

Your job is to write a program that efficiently finds the best arbitrage opportunities.

To access real-time exchange rates, use our API:

http://fx.priceonomics.com/v1/rates/

Output will look like the JSON below, where USD_JPY is the quantity of JPY that you can purchase for 1 USD.

{
USD_JPY: "95.7422091",
USD_USD: "1.0000000",
JPY_EUR: "0.0080872",
BTC_USD: "105.5641218",
...
}

These are not real actual market prices; we've set them algorithmically. They change every second and contain both a periodic and noise component to them. You only have to pull the data once per run of your algorithm."

So these are artifical prices deliberately set up to include arbitragable opportunities.... I'm curious how you got this web link without understanding the context?

GAT
 
globalarbtrader said:
I'm curious how you got this web link without understanding the context?
More...

At least the mindset that I had developed as a programmer used to be that coding = productive work, and that time doing everything else should be minimized. I could see myself making this error being in a hurry and having no prior market experience (in fact, I sort of did back when that was the case, at least as in making immensely optimistic profitable backtests based on garbage in data).
 
Radarcontact said:
HI,

My Background: I'm a talented programmer/Computer Scientist. I have zero trading experience. I do have capital to work with. Would love to speak with someone who has trading experience.
More...

After getting data from a game, thinking that they are live FX quotes, if I were you I wouldn't like myself that much.
 
Yeah it's def legit but you need to trade a cdf on 1/S because you want jpyeur payour in jpy. Easeir to choose 3 currencies and 3 pairs like eurchf eurusd usdchf. You have to do it on the forward as well.
 
You must log in or register to reply here.
Back
Top