Hi Guys,
I'm trying to work out how to implement a report of triangle arbitrage on a given broker. The language isn't important but the algorithm is driving me batty. All I have to go on is the description on Wikipedia which is not quite the same as the crosses we use (for the purpose of me understanding anyway)
If I have :
AUDUSD <> AUDJPY <> USDJPY
Is this correct?
This means I have 100000USD and 'buy' ~125000AUD. I then buy JPY with AUD, which buys me 10250000JPY. I then buy USD with JPY and get 100000 (in a flat market)
So in lots that would be???
SELL 1/AUDUSD = 1.25lots
BUY AUDJPY = 1 lot
BUY USDJPY = 1 Lot
I'm certain that is incorrect. It seems to me that the location in a symbol of the currencies is important and will be the difference between using it an dividing 1 by that value.
Would someone like to lend me a hand here?
Many thanks,
Chris
(I'm well aware that triangle would be filtered out on a single broker, I'm thinking multiple brokers.)
I'm trying to work out how to implement a report of triangle arbitrage on a given broker. The language isn't important but the algorithm is driving me batty. All I have to go on is the description on Wikipedia which is not quite the same as the crosses we use (for the purpose of me understanding anyway)
If I have :
AUDUSD <> AUDJPY <> USDJPY
Is this correct?
This means I have 100000USD and 'buy' ~125000AUD. I then buy JPY with AUD, which buys me 10250000JPY. I then buy USD with JPY and get 100000 (in a flat market)
So in lots that would be???
SELL 1/AUDUSD = 1.25lots
BUY AUDJPY = 1 lot
BUY USDJPY = 1 Lot
I'm certain that is incorrect. It seems to me that the location in a symbol of the currencies is important and will be the difference between using it an dividing 1 by that value.
Would someone like to lend me a hand here?
Many thanks,
Chris
(I'm well aware that triangle would be filtered out on a single broker, I'm thinking multiple brokers.)