Fx interest rate arbitrage 003 --- automated bot

 

Aim

This would be the final story of this series, the last step of this project is making an automatic robot to perform the strategy in a self-substantial manner.

To make a profitable strategy, it is important to minimize the cost and maximize the return of profit. This automatic robot is aimed to remove the manual operation cost ranged from executing the arbitrage opportunities to stopping the arbitrage session when it hits the margin limit level. In addition, the automation robot will pick up the correct leverage size to maximum the strategy return.

System overview

 

UI

 

Market signal

Enter position

$$ \begin{aligned} breakeven\ days & = {transaction\ cost \over swap\ return} \\ & = {{\sum_{i=1}^{N}{spread_{i} + commission_{i} + slippage_{i}}} \over {\sum_{i=1}^{N}{swap\ value_{i}}}}....... 1 \end{aligned} $$

$$ \begin{aligned} period\ return(day) & = {(lot\ size * swap\ return * day) - transaction\ cost} \\ & = ({equity \over volatility_{day}} * {\sum_{i=1}^{N}{swap\ value_{i}}} * day) \\ & \ \ \ \ - ({\sum_{i=1}^{N}{spread_{i} + commission_{i} + slippage_{i}}})...... 2 \end{aligned} $$ 

arb_group_id	equity	spread	swap	breakeven_days	10_days_v	15_days_v	...	selected_days	lot_size	projection
1	500	8	4	2	1000	1300	...	10	0.5	56
2	500	12	6	5	1100	1500	...	15	0.3	90

We select the execution arbitrage group by evaluating the projection return. By scanning the breakeven_days, we will assume the operation duration of the arbitrage is n+1 level of days. For example, when breakeven_days is 2, we will pick the level 2 which is 10 days. Once we have the duration of operation, we can calculate the project for 30 days.

By sorting this projection value, we pick the arbitrage group with the biggest return value.

Exit position

• Manually triggered by trader
• Swap becomes negative
• Free margin is not enough
• Connection lost between gateways and arbitrage manager
   

Workflow

Data from gateways

 

Actions from arbitrage manager --- automation and manual

 

Start arbitrage --- success and fail

 

Close position when connection lose

Message structure

Message type	Field name	Data type	Description
connection request	broker_name	string
	account_name	string
	id	int
interest arbitrage action	action	string	start, stop
	symbol	string
	side	int	0: short, 1: success
	lot_size	double
interest arbitrage action reply	success	string	F, S
account info	account company	string	broker name
	account server	string	account name
	account balance	double
	account equity	double
	account free margin	double
	account profit	double
	strategy profit	double	profit under the same magic number
interest arbitrage order info	ticket	int
	lot_size	double
	order profit	double
	order swap profit	double
	order type	int	Buy, sell
interest arbitrage waving info	symbol	array, string
	n days volatility min	array, int	unit: pips, repeat n: 5, 10, 15, 20, 25
	n days volatility 0.8 median	array, int
	n days volatility 0.9 median	array, int
	n days volatility max	array, int
	creation time	array, datetime
interest arbitrage swap info	account company	array, string	broker name
	account server	array, string	account name
	symbol	array, string
	swap long	array, double
	swap short	array, double
	spread	array, int	unit: pips
	creation time	array, datetime