Synthetic EURGBP Arbitrage Using Quote Delays

Summary

The document describes an Expert Advisor that compares EURGBP with a synthetic value derived from EURUSD and GBPUSD. It monitors quote delays for all three pairs and trades EURGBP when its price diverges from the synthetic equivalent, following a one-leg arbitrage approach. A configurable point deviation and a minimum duration for the discrepancy determine when a signal qualifies. The document recommends testing with real tick data and presents the strategy as an example for developing related methods.

It provides no performance results or detailed execution rules. It cautions that modern brokers quote quickly and with high quality, making this simple delay-based approach unlikely to be effective in current live conditions. The idea is therefore most useful as a study of synthetic pricing and quote-latency signals; transaction costs, slippage, data quality, and actual broker latency would need careful evaluation before practical use.

Key ideas

• The method compares EURGBP with a synthetic equivalent calculated from EURUSD and GBPUSD.
• It looks for a price deviation that persists for a configured minimum time before signaling a trade.
• The approach trades a single leg rather than executing a simultaneous multi-leg arbitrage.
• The document warns that fast broker quotes can make the strategy ineffective in live markets.
• Real tick data is recommended for testing, though no test results are provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.