This past week closed out with small loses for all pairs except for EUR/DKK which closed up a couple of ticks.
This week’s number are below. All results include commission.
Week of 8/5/12
|# of Trades||16||13||17||14|
|Avg. Trade (Ticks)||-0.28||-0.10||-0.08||+0.15|
|Total Profit/Loss (Ticks)||-4.5||-1.3||-1.41||+2.1|
Total since inception
|# of Trades||359||54||42||43|
|Avg. Trade (Ticks)||+0.92||-0.60||-0.16||+0.32|
|Total Profit/Loss (Ticks)||+328.9||-32.2||-6.7||+14.1|
Update on Progress of the Arb Trader Application
This week I will be working on the following bug fixes
- My real-time bar API that is generating hourly bars is firing events at 59 minutes past the hour, rather than right on the hour. This is causing issues at 2PM PDT when IdealPro closes for 15 minutes
- Stop prices: In some instances the stop price for a pair was set to the entry price and the position was immediately stopped out.
- IB is throwing “Duplicate Order ID” errors. I believe this is tied to the fact that the system is sending new orders just before IdealPro closes.
End-of-Day ETF arb strategy
No updates are planned for this strategy this week.
Intraday ETF arb strategy
- I’ve added 2 more pairs to this strategy and have modified the strategy to collect bid/ask data for each of the pairs. This is still running in the paper trade account.
- This week will continue testing for the 3 pairs.