having many type arbitrage rite ? till now i also not so understand how spread scalping work. is it buy/sell first then close position in very short time frame ?

still young lar bro. what your friend ai can do ar. share some idea , i try build for you all. haha

which type arbitrage u did in crypto previously ? now still lot ppl looking about arbitrage in crypto , and having many types.
some is cross exchange.. cross asset etc..

This post has been edited by lhshyong: Oct 3 2024, 12:13 PM

oh is you i chat in pm... i didn't pay attention to userid... lol...

he tried chatgpt and a few others... he said some are better at coding... but this was last year, so dunno who is better now... got a web front end working, and backend pulling trading data for stats and charts...

Yeah, bro.


I doubt all the 3 api able to do real HFT, perhaps need dedicated line access to their infra backbone.

Tested and able do few second for 1 transaction with orchestration, still far to reach entry point for HFT entry.

Yes, its me. learn new thing overhere. haha.

Will study the APIs some day hehe. Which API do you recommend for simple tasks like bid-ask spread scalping? I think I can code using Python to observe the spread and compare with previous day market price and detect over-valuation. Then instruct the bot to enter into a sell order at the high price while observing for any change in spread. Then when sell order is filled, immediately enter into a buy order at market price.

Seems easy lol

Ya, PhD in Physics, specializing in complex systems...

Uhmm there is no hard and fast definition. After all HFT means high-frequency trading, and the frequency is up to you to define lol, Some firms hold a particular stock for seconds, some for minutes, some for days. There could also be a mix of them in a hedge fund/market maker. It really depends on the strategy deployed. If you are trying to exploit the stock price difference between Unilever NYSE (UL) and Unilever LSE (ULVR), you will surely close your positions within seconds when the price equilibrates, adjusted for trading commissions. But sometimes, the discrepancy could last for months before the premium/discount disappears, e.g. check out this paper: https://www.researchgate.net/publication/22..._Unilever_NVPLC

Then the trader will hold the long-short positions for months before closing. It won't be a HFT trade anymore.

https://en.wikipedia.org/wiki/High-frequency_trading

Haha you just need to google "bid-ask spread scalping"

When you detect anomaly in market pricing, you sell at a high price and buy at a low price. My positions are always covered, and I don't short stocks/ETFs.

The easiest target to scalp is liquid US T-bill ETFs during Overnight US markets like BIL. US T-bills are very liquid and their prices are known nearly 24 hours a day (When US market closes, T-bills trade in Tokyo and London). The ultra-short duration of T-bills/T-bills ETFs also means they are insensitive to changes in short-term and long-term US rates. Hence their prices should not change dramatically from day to day. As the entry barrier to US Treasuries is rather high on IBKR (commissions are high), US T-bill ETFs become a good choice.

Comparing the overnight market ask price with the bid price and the most recent session's closing price, if you see the ask price jumps by 0.05-0.06 USD over the bid price/previous session closing price, you check the Tokyo market US T-bills price/yields, if there is no news on Bloomberg/FT/WSJ, then you know an anomaly exists and you can scalp BIL for a couple of USD. Do allocate some 2 USD margin for commissions beforehand.

A tip for traders is always queue in the market early. This is a tip from my finance professor in Hong Kong. You will notice HK bankers arrive at their office desks earlier than most other people. That's because they need to revise previous day's news and queue in the order book before the stock exchange opens... They got first-move advantage...

The best time to queue for scalping is usually between 8 am and 9 am, when the bid-ask spread fluctuates and the trading volume is thin. (8 am is when Tokyo exchange opens, 8.15 is when IBKR's Overnight Trading session starts, 9 am is when Singapore exchange opens and 9.30 is when HKEX opens for trading.) Usually your orders will also get filled around 10 am, or close to lunch break, 12 pm and also possibly around 3.30 pm before US premarket starts, from my past scalping experiences.

This post has been edited by TOS: Oct 3 2024, 10:58 PM

someone already built a python ibkr bot... you can try searching github... got plenty of open-source projects around...

tradingview has ibkr link built-in... haven't checked if possible to do algo trading with it with pinescript... the simple method of trading is using webhook that one can link to all types of broker...

as for api... rest api is quite simple n popular so you can get lots of help if required...

Wa. complex system , like very pro. hardly imagine... got any layman example ar ?
something like three body ? wish can understand more one day.. haha

If 1 day only 10 trades then hardly call as HFT liao. the difficulty to manage high frequency increase exponentially.



Thanks for your explain about the bid-ask scalping. need slowly digest for me.
Ya, i did google few time, but just cant fully visualise from those long text article.
Understand each dot but still not link all the dot togethers, perhaps really need to free up and focus on it to understand properly, too many distractions.

I did buy T bill before, i always close position before expiry. As not familiar with the ecosystem in details.
Now still can buy ? i follow sifu here.

Ok, I test out with the Web API. So far so good, I have one question though.

For programming my trades, I need to fetch live data from the Overnight Market (Blue Ocean ATS data) to compute the bid-ask spread and spot for widening and narrowing trends. These live snapshots cost money right?

If it's much worse than my potential profit of 2-3 USD every 3 days or so, I might as well use my eyeball to check the data manually...

This post has been edited by TOS: Oct 4 2024, 05:19 PM

cool...

dunno about data fees... if you connect to blue ocean and not ibkr... dunno how blue ocean can bill you

if you are active trading/investing... you can get free data from ibkr if your fees exceed some $...

friend did this using ai... lol...








This post has been edited by dwRK: Oct 4 2024, 08:40 PM

Found this:

https://www.reddit.com/r/interactivebrokers..._api/?rdt=55939

This must be an interesting paper: https://s3.amazonaws.com/real.stlouisfed.or...23/2023-023.pdf

Paper titled "Marriage Market Sorting in the US" and it's under:

ECONOMIC RESEARCH
FEDERAL RESERVE BANK OF ST. LOUIS
WORKING PAPER SERIES



Source:

Bloomberg Opinion: What Really Changed the Marriage Market

Hint: It’s not online dating.

https://www.bloomberg.com/opinion/articles/...not-dating-apps

good eh. nice and clean user interface

FT Jane Street Capital

New titans of Wall Street: how Jane Street rode the ETF wave to ‘obscene’ riches
A quirky and opaque New York firm has rapidly expanded to become the most profitable trader of all

https://www.ft.com/content/f7cb25ba-7329-42...d3-8a34ef84f9f0

---------------------------------

Can google "complex systems"...

Three-body is physics problem yea, and there are solutions to cases with constraints like the elliptical-restricted 3-body problem (ER3BP) or circularly-restricted 3-body problem (CR3BP). But complex systems are more like many-body problems, and agents interacting in unpredictable, probabilistic ways. You will need chaos theory and some statistical mechanics to understand stuffs.

Classic examples of complex systems are like fractals (mathematical objects in 2D case have infinite lengths but enclosing finite areas, or in 3D, infinite surface area enclosing finite volume), the Earth biological ecosystems, weather and climate systems, financial markets, societal interactions etc. My research is focusing on financial markets haha

Uhmm why do you need to close your T-bill positions earlier than the maturity date? Unless you are worried about government defaults, which do happen occasionally in the US when there is a government shutdown, but that last for days only and the yield will spike to 7-10% p.a., enough to compensate for that short-term anxiety I guess. Otherwise, your selling act will result in extra lost in commissions/fees to your brokers.

You can buy T-bills/T-bills ETFs any time to park your USD cash in the short run, the yields are still around 4.7% p.a. though it is going down. But for short-term parking, it's not a problem, you earn your returns at a risk-free rate anyway, so nothing lost.

This post has been edited by TOS: Oct 7 2024, 01:24 PM

how to invest in jane st?

You write me a recommendation letter to their boss, I share with you my renumerations when I land a job

Make sure you specify desk job in Singapore ya... I don't want to pay for tips everywhere I go in NYC... I kiamsiap cheapskate trader

I did, come out a lot, google say stock financial market is the complex system

I not familiar how T bill works previously, therefore close it to prevent any uncertainty. Now also still blur blur about it.

T Bill ETF sound a good option, lot ETF popup when browse through , any good T bill ETF recommend ?

Today USD up a bit. Feel so pain when USD drop from 4.7 previously.. T_T

nah... do this...

show up with your algo bot making millions whilst you still in uni... tell them youre not desperate... all their competitors already gave you offers...

have done the maths... compounding 6-7k capital at 0.35% daily for 4 yrs gets you to 1 mil+... i also know this is doable, you just need half my trading skills... :hahaha:

anyways found a free algo bot for ibkr... capitalise.ai... need to see what other algo bots are available for ibkr...

just found out mt5 platform that is mainly used for forex can also connect to ibkr... maybe time to learn some mql5 language...



This post has been edited by dwRK: Oct 9 2024, 11:59 AM

https://semiwiki.com/forum/index.php?thread...1182/post-75817