This past week was mixed with the AUD/NZD strategy taking the biggest hit with a loss of -60 ticks. HKD/JPY and USD/SGD edge out a few ticks of profit and the EUR/DKK pair had a solid week with a gain of more than 14 ticks.
This week’s number are below. All results include commission.
Week of 8/12/12
|# of Trades||17||12||5||11|
|Avg. Trade (Ticks)||-3.53||+0.25||+0.61||+0.91|
|Total Profit/Loss (Ticks)||-60.0||+3.0||+3.1||+14.6|
Total since inception
|# of Trades||376||67||47||54|
|Avg. Trade (Ticks)||+0.71||-0.40||-0.08||+0.53|
|Total Profit/Loss (Ticks)||+268.9||-27.0||-3.6||+28.7|
Update on Progress of the Arb Trader Application
This week I will be working on the following bug fixes/features
- Issue with ArbTrader’s real-time bar engine firing events a few seconds too early has been fixed and deployed to production this week. This bug was causing “duplicate order ID” errors, which in turn was preventing entry orders from being submitted to TWS.
- Ability to dynamically create new connection to a quote data source. Currently the app is hard coded to talk to either my live or paper trade account and needs to be recompiled when switching between the two.
End-of-Day ETF arb strategy
No updates are planned for this strategy this week.
Intraday ETF arb strategy
- This week will continue testing and collecting data for 3 pairs.
- Develop a method to filter data spikes in order to generate reliable trading signals. I’ve noticed some occasional spikes in the bid and/or ask, which, when the strategy places an order, it isn’t getting filled at those prices. The ArbTrader needs a way to filter this data in order to generate signals which have a higher probability of profit.