Weekly Update 7/22/12: Live Trading AUD/NZD with the Arb Trader Application & Update on New Features

Live by the sword, die by the sword.  The AUD/NZD strategy took a bit hit this week losing 114 ticks.  I was on the wrong end of a bad fill this week.  IdealPro (currency exchange venue IB uses) is supposed to be closed from 14:00 to 14:15 each day.  I was filled on a order at 14:01 when the price spiked down.  I contracted IB and asked how I was filled AFTER the market was supposedly closed.  They explained that the IdealPro ‘closed’ time is like a rolling shutdown where each bank that acts as a market maker will begin their shutdown period starting at 14:00, but some banks may still be online for a few minutes.  So basically, liquidity disappears starting at 14:00 until all banks are offline.

This is the first week that I also begin trading EUR/DKK, HKD/JPY, and USD/SGD with minimal position sizes in the live account to see how they perform.  All results include commission.

Week of 7/15/12

# of Trades 17 18 13 16
Winning Trades 76.5% 72.2% 76.9% 87.5%
Avg. Trade (Ticks) -6.71 -3.92 +0.07 +1.68
Total Profit/Loss (Ticks) -114 -70.6 +0.90 +26.9


Total since inception

# of Trades 325 18 13 16
Winning Trades 77.5% 72.2% 76.9% 87.5%
Avg. Trade (Ticks) +0.90 -3.92 +0.07 +1.68
Total Profit/Loss (Ticks) +293.1 -70.6 +0.90 +26.9

* 3/11/12
** 7/22/12


Update on Progress of the Arb Trader Application

Currency Strategy

This week I will be moving to live trading the following features/bugfixes.

  • Ensure that all orders are cancelled by the IdealPro close time of 14:00, and resubmitted by the 14:15 open time.
  • Make sure trades placed on Sunday evening have the correct parameters based ONLY on Sunday’s hourly prices, and not on Friday’s
  • Add timestamp to output that is displayed in the app’s text area.

End-of-Day ETF arb strategy

This strategy has closed 1 round turn trade at this point.  The strategy takes its positions near the close of the market.  It begins looking for entry/exit signals 1 minute before the market closes.  I will be taking this value down to 15 seconds before the market closes instead

Twitter: @LimitUpTrading
Twitter: @RobTerp


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