FX futures against the cash

Haha cheers for the Pulsarcapre.

I gave up on this thread when it decended into this bs.

Suprised you found the thread after so long.

Thanks again
T
 
Quote from Pulsarcapre:

Wow, what an enlightening discussion. None of you managed to answer the guys question.

Yes cash-futures arbitrage does exist in the FX space. No there is no such thing as pure arb opportunities as defined by investopedia, but High Frequency Trading Firms like mine manage to do pretty damn well on 1 pip / several microsecond trades.

I don't need to list the names of firms that do this. If they hire Ph.d's from MIT and spend 30 Million on infrastructure then they probably do some form of c/f arb type strats. Its almost 2012 now and we're still making money off this stuff.
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Every big firm that I know of is doing some sort of arbitrage or spread or hybrid variation on the theme. No desk that I am aware of wants to take flat price directional risk these days. If there is a pip in a cash vs. futures basis trade, then it gets done until it is simply not there anymore.
 
There certianly is an arb there but you need to be creative. It's easy to write an algo that will execute your cash fx versus futures. Just factor in your cost of carry using forward points and dte of your futures. FCM's / banks can then EFP their cash fx exposure back to the exchange and settle the futures position this way. If you wish to play in this arena, you'll need to run non-vanilla spreads and essentially just hedge indead of arb. Buy EUR/USD vs. selling 6S. Something along that like.
 
Quote from Pulsarcapre:

Wow, what an enlightening discussion. None of you managed to answer the guys question.

Yes cash-futures arbitrage does exist in the FX space. No there is no such thing as pure arb opportunities as defined by investopedia, but High Frequency Trading Firms like mine manage to do pretty damn well on 1 pip / several microsecond trades.

I don't need to list the names of firms that do this. If they hire Ph.d's from MIT and spend 30 Million on infrastructure then they probably do some form of c/f arb type strats. Its almost 2012 now and we're still making money off this stuff.
More...

In how many currency markets are you "successful" with this strategy, and how much AUM do you invest and what´s your average ROI?

One aspect is very interesting: 1 pip/ SEVERAL microsecond trades...Do you need several microseconds to "earn"/§arb" a pip?
 
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