Triangle arbitrage profit of virtual currency
in addition, we need to meet the two conditions of good liquidity and low transaction cost
therefore, the most suitable one is: USD EUR JPY aud GBP CHF CAD, in which the prices of any three currencies are compared with each other
then put it into practice. The internationally popular algorithmic trading and arbitrage hedging are dominated by big investment banks, which rely on the computing power competition of computer groups and even servers. Some investment banks even spend a lot of money to move the whole company close to the exchange in order to pursue a little advantage in network speed. The EA you studied is the most rough, backward and simple algorithm. It really has no future.
Cross arbitrage refers to the international arbitrage in which investors buy cheap and sell expensive at the same time when the arbitrage exchange rates of three or more currencies are different from the actual published exchange rates
for example, in bank a, the exchange rate of US dollar in Dutch dollar is 1.9025fl / $, in bank B, the exchange rate of US dollar in Canadian dollar is 1.2646c $/ $, and in Bank C, the exchange rate of Canadian dollar in Dutch dollar is 1.5214fl/c $. According to the quotation of Bank A and bank B and the calculation of cross exchange rate, we can get the price of Canadian dollar in kilde as follows: (1.9025fl / $) / (1.2646c $/ $) = 1.5044fl / C $
the cross exchange rate level is different between Bank C and Canadian dollar, which means that there is arbitrage space. Because the exchange rate of Canadian dollar of Bank C is higher than the result calculated by cross exchange rate, it shows that one unit of Canadian dollar has a higher value in bank C. Therefore, if one unit of Canadian dollar is exchanged for one unit of Canadian dollar through the transaction between bank a and bank B at the rate of 1.5044 kird, and the Canadian dollar is exchanged with Bank C at the rate of 1.5214 kird, then a triangle arbitrage of 0.017 kird will be obtained
triangular arbitrage process: the exchange rate calculated through cross exchange rate is different from the actual exchange rate in the market, resulting in arbitrage space in the market. Market participants can buy and sell foreign currencies among different banks at the same time, so-called triangle arbitrage
which is called the current price. It is a price between the purchase price and the selling price quoted in the actual market, not necessarily the median value. If you multiply or divide two of the three varieties, you can get a value similar to the current price of the third variety. If there is a difference between the similar value and the current price of the third variety, if you can trade at the current price, then since there is a difference, you can definitely make money, as long as you are long and short
however, if a dealer wants to make money, there will be a little difference, that is, there is a gap between the tradable price and the current price, and this gap has always been detrimental to you, and has been increasing your cost. If there is triangle arbitrage, each variety has to pay a handling fee. In standard cases, the handling fee is generally 2% - 3% or higher of the margin
OK, assuming that there is still a profit margin in the case of high cost above
the third problem is that many people are not clear about the standard of foreign exchange contract. Since it is arbitrage, the arbitrage I understand is generally the same thing. If you buy cheap from a and sell expensive from B, the contract is signed almost at the same time, but I don't remember the foreign exchange very well, The standard hand at the beginning of USD represents the contract value of US $10W, while the standard hand at different beginning of other contracts has different contract value. Therefore, when arbitrage, the quantity control should be well planned in advance. Otherwise, if you buy 2 tons in a and 1 ton in B, you will have to bear the risk of the remaining one ton, which is not risk-free arbitrage.
if it's game currency, the value is generally fixed, but now we often say virtual currency generally refers to digital cryptocurrency, such as bitcoin, Fuyuan coin, Laite coin, goubu, etc. Digital cryptocurrency is a kind of investment and financing proct with high yield and high risk in China. The price volatility of digital cryptocurrency is very large, which is not limited to the rise and fall of stocks. Some got rich overnight, while others went back to pre liberation overnight
if someone guarantees that you can get a high profit by purchasing a virtual currency, it is very likely that this virtual currency will be MLM currency. Therefore, the investment is risky and the purchase of currency should be cautious.
There is a lot of water in it. Be careful if you are cheated, you will lose all your money
as shown in the figure, at present, the prices of mainstream currencies in the major exchanges are not very different, and there is no profit arbitrage for you to move bricks. Moreover, there are also handling charges for moving bricks. Pay attention to whether the same transaction is right!!! In short, it's not cost-effective to move bricks
if it is a non mainstream currency, such as air currency, the price difference between different exchanges may be relatively large, but there are many pitfalls. Some exchanges can not withdraw money, or there are many restrictions, such as locking positions and so on. It's very likely that they will not be able to move bricks and break their own feet. Many small exchanges have this kind of routine, with high price difference to ince you to be cheated, when you charge money to prepare for arbitrage, lock the position first, when you want to unlock, the boss of the exchange runs away with money
if you can make a profit by moving bricks, the employees of the exchange can make a lot of money by themselves. Why cheat you to charge money!!! After all, it's the Internet age. Anyone can get public information, and no one is a fool
triangle arbitrage calculation: Triangle: A / bxc / AXB / C & gt; 1. B buys a and C buys B< Triangle: change three equations into the same pricing method, and then multiply the coefficients. If the result is greater than 1, do it in the direction of multiplication. If the result is less than 1, do it in the direction of multiplication, For example,
New York market: 1 US dollar = 7.82 Hong Kong dollars, the pricing method here is similar to (Hong Kong dollar / US dollar)
Hong Kong market: 1 Hong Kong dollar = 0.97 RMB (RMB / Hong Kong dollar)
Shanghai market: 1 US dollar = 6.75 RMB (RMB / US dollar)
change to the same pricing method first, In other words, in the form of (HKD / USD) * (RMB / HKD) * (USD / RMB), in the above example, we need to convert the Shanghai market to 1 RMB = (1 / 6.75) USD USD / RMB)
start calculation: (HKD / USD) * (RMB / HKD) * (USD / RMB) = 7.82 * 0.97 * (1 / 6.75) = 1.1238 & gt; 1. In this way, we have to operate in the direction of multiplication: in the New York market, 1 US dollar buys 7.82 Hong Kong dollars, in the Hong Kong market, 7.82 * 0.97 = 7.5854 RMB with 7.82 Hong Kong dollars, in the Shanghai market, 7.5854 RMB buys 7.5854 * (1 / 6.75) = 1.124 US dollars, thus earning 0.124 US dollars
in addition, if the pricing method of (USD / HKD) * (HKD / RMB) * (RMB / USD) is used, it is necessary to convert the Hong Kong market and New York market,
New York market: 1 HKD = (1 / 7.82) USD, (USD / HKD),
Hong Kong market: 1 RMB = (1 / 0.97) HKD, (HKD / RMB),
Hong Kong market: 1 RMB = (1 / 0.97) HKD, (HKD / RMB),
start calculation: (HKD / USD) * (RMB / HKD) * (USD / RMB) = (1 / 7.82) * (1 / 0.97) * 6.75 = 0.8899 & lt; So there are arbitrage opportunities: in the Shanghai market, 6.75 RMB is exchanged for 1 US dollar, in the New York market, 1 US dollar is exchanged for 7.82 Hong Kong dollars, and finally in the Hong Kong exchange market, 7.82 Hong Kong dollars is exchanged for 7.5854 RMB, thus earning 0.8354 RMB It should be noted that when entering and exiting, they usually get back the same currency, so the New York stock exchange can only be used as a transit station. The two trading markets containing RMB are used as import and export markets respectively.) The difference between the exchange rates provided above is relatively large, and generally there will be no huge profit of a few yuan. Moreover, the above formula uses all intermediate exchange rates, and the actual transaction needs to use the buy and sell prices of each market
in fact, there is no essential difference between the direction of multiplication and the direction of division, but compared with the method of pricing, the direction of division is reverse operation, and the direction of multiplication is forward operation.
for example, one dollar can buy 0.7 pounds, one pound can buy 9.5 francs, and one Franc can buy 0.16 dollars. A person who carries out this kind of transaction can get $1.064 by relying on $1, and the interest rate is 6.4%
generally speaking, arbitrage must meet the following three conditions:
(1) there are different foreign exchange markets and exchange rate differentials
(2) arbitragers must have a certain amount of capital and have branches or agencies in major foreign exchange markets
(3) arbitragers must have certain skills and experience, be able to judge the changes and trends of exchange rates in various foreign exchange markets, and act quickly according to the forecast. Otherwise, more complicated arbitrage will get twice the result with half the effort
at present, the management of foreign exchange at home and abroad is particularly strict, because arbitrage is easy to cause the imbalance of international monetary balance, so arbitrage is not allowed at home, and it is easy to get into a lawsuit if it is careless.
Foreign exchange arbitrage profits more than 5% an hour, which is deceptive. This is a wechat scam. Recently, a lot of strangers have added people, saying that they have found foreign exchange arbitrage, and our programmers have broken the platform loopholes, etc
The spot rate is GBP / EUR = 1.5005/30, that is, 1 pound = 1.5005-1.5030; When the three-month forward exchange rate is 50 / 30, the forward exchange rate between the pound and the euro after three months is 1 pound = 1.4955-1.5000 euro2. When one million euro is used to invest in the British money market, the return after three months is (10000001.5030) (4.25% / 4) = 7069 pounds, which is 7069 * 1.4955 = 10572 euros
3. When one million euro is invested in the European money market, the return after three months is 1000000 * (3.45% / 4) - 8625 euro. It can be seen that the return on investment in the UK money market is higher than that on investment in the European money market
PS: in the exchange between Euro and pound in 2, the exchange rate is unfavorable to the investors. The reason is that whether the investors exchange Euro into pound for investment, or exchange pound into euro to the bank after investment, the investors are the capital demander, and the bank is selling the capital to you, The price of funds sold in this way is of course beneficial to the bank
extended materials:
foreign exchange hedging arbitrage trading strategy triangle Arbitrage:
theoretically, it is a risk-free arbitrage model, which is applied to the automated trading of information interconnection program in the whole world, even if there is arbitrage in the market, and there is ea, When EA calculates that there is arbitrage space to enter, the arbitrage space has also been modified by smart arbitragers with automated trading proceres. It depends on whose trading environment, proceres and equipment are better and arbitrage efficiency is faster
moreover, when arbitrage space appears, the market liquidity is limited, and the price will be quoted repeatedly when placing an order. Pro test, almost all of the formal platform are not set profit, only in the simulation environment and no heavy price to achieve