BJF VIP Multileg Arbitrage manual v 1.0

Introduction

VIP Hedge Multi-Leg Arbitrage for FIX API, MT4 and Crypto exchanges is a professional, fullyautomated software for Forex, CFDs, Commodities and Crypto currency trading on FIX APIaccounts, MetaTrader4 accounts and crypto exchange accounts. It allows to compare quotes andopen deals upon arbitrage situation detected between any combination of accounts.

Important benefits

•VIP Hedge Multi-Leg Arbitrage the benefits Special ultrafast connectors for MT4 allows to receivequotes and send orders faster then from MT4 terminal;•BJF Trading Group ultrafast FIX APi Engine allows to get the maximum execution speed;•Trades executed via our MT4 connectors looks for broker like manual trading activity, notautomated (Expert Advisors) trading;•Application is build on C# .NET , so it is possible to add extend application with 3rd partyconnection libraries that supports .NET.•Also application structure supports easy integration of new connectors, if the broker API has openprotocol description.

Available FIX API Connectors:ADSS, CFH, CIRCLEMARKETS, CMC, CTRADER, CURRENEX, DUCASCOPY, FXCM, FIXIMARKETS, BJF,FXPIG, IB, LMAX, NEXUSPRIME, ONEZERO, PFD, PRICEMARKETS, PRIMEXM, SAXO, SMARTTRADE,SPOTEX, XENFIN

Supported Crypto exchanges:

Gdax (Coinbase), Kraken, Bitfinex, Bitstamp, Bitmex, Binance, Poloniex, Bittrex, Deribit, Okex,Cexio, Huobi, Hitbtc, Cryptofacilities, Yobit, Sfox, Brasilbitcoin, NegocieCoins

VIP Hedge Multi-Leg Arbitrage consists of Forex and Crypto currency modules.If you own only Crypto module you will only be able to use it on crypto exchanges; conversely,if you own FX module, you will be be able to use it only for forex trading through FIX API and MT4.

With both modules you will be able to trade on both crypto exchanges and forex market in oneapplication which grants a lot of arbitrage opportunities. For example, you’ll be able to makearbitrage trades between crypto exchanges and, let’s say, forex provided by LMAX; or crypto CFDsprovided by LMAX; or crypto in MT4, e.g., bitcoins etc.

System requirements:

CPU: 2 cores or higherRAM: 2GB or higherOS: Windows server 2012 or 2016VPS in New York or New Jersey location.

General concept of hedging arbitrage

Hedging strategy means that the software compares prices between the two exchanges/brokersand after the arbitrage difference detected (open difference) software opens 2 opposite orders,buy and sell (buy on the exchange/broker with lower price, sell on the exchange/broker with thehigher price), at the same time. Once the opposite price difference (close difference) detected(price on the broker/exchange with the sell order is now lower that on the exchange/broker withthe buy order) software closes both orders etc etc.

Hedge arbitrage simplified working scheme:

Installation Download your installer and double click ms_multileg_setup.exe file. You should see the followingwindow:

In the next window you should put in your license. Make sure spelling is correct (correctletter case, no space before and after license name)

Press the “Next” button.Select destination folder for Forex Arbitrage Software. Default folder is C:\Program Files\

Press the ‘Install” button. Installation process can take 2-10 sec. After installation, youshould see the following window.

Press the “Finish” button

Getting started

Important!!! To start software you should always use 'Run as administrator option' from right clickmenu, otherwise software will not work properly.

Interface:

Software window look after the first start:

1 – Sessions section2 – Hedging pairs section3 – Orders section4,5 - Connect/disconnect buttons6 - Menu panel7 – Order monitoring tabs

Menu panel

Sessions menu:

Add – adding new exchange sessionEdit – editing selected exchange sessionRemove – removing selected exchange sessionView pricing connection log – displays pricing session log for selected exchangeView trading connection log – displays pricing session log for selected exchangeSave pairs and deals - by default application automatically stores all the changes to pairs and dealslist once in 5 minutes. But if you want to force saving of some important changes you can click thismenu point. Export all settings - if you need to move application to another PC/VPS, now you don’t need toenter everything from scratch. You can export the settings on our old VPS, move the createdsettings file on new VPS, double click on this file to store settings to system registry, and theninstall and run the program. Important! Application should be installed with the same license itwas used on another VPS with.

Trading menu:

View events log - All the history of arbitrage situation and performance will be contained there. View pair info - you will see the window with last received quotes on the both sides of theselected pair and the time when this quotes were received.

Info menu:

Settings – currently disabled.Licenses – view license status information

Alerts menu:

Configure telegram alerts – open telegram alerts configuration window.

Telegram alerts window:

Here you can select events you want to get Telegram notifications about.

You can configure telegram alerts in 3 simple steps:

1. Press Get Chat Id button.2. Send your license to out Telegram chat bot BJF Application Events Notifier3. Press Apply.

If everything is correct Telegram chat ID should appear.

Setup Instructions

Adding Sessions

First of all you need to add to the software accounts with the brokers/exchanges you plan to use and symbols you plan to trade on. You can add a new session to the software by selecting Session>Add from the sessions menu.

Adding crypto exchange session

In session properties window you should put session name to relevant field and chooseCRYPTO_WS or CRYPTO_REST connectors in price and trade connection types dropdown menus.You should choose choose CRYPTO_WS connector where possible.The next step is adding symbols that you will subscribe to (and trade on). You need to click on […]button and the dialog will appear that will prompt you to select the .sym file with the set ofprescribed symbols for different exchanges. After file name appears in the file path textbox, click'Load from file' button. The grid view will become filled with this symbols info:

After that you should check the symbols you need. You can also add some symbols manually, justbe careful to provide both Unicum and Digits. After adding symbols manually, you should click'Save to file' button, otherwise all the information you entered will be lost. This should be done forboth Pricing symbols and Trading symbols tabs. After that on Crypto pricing and Crypto trading tabs you should select the required cryptoconnector from the dropdown list and put your API and secret keys to relevant fields. For someexchanges also user ID can be required.

Important notes!!! If you changed machine/VPS you should generate new API keys.If you plan to use 2 or more instances of the software you need separate set of keys for eachinstance.To connect/disconnect the session you need to select it in sessions grid and useConnect/Disconnect buttons in the bottom of the sessions section.

Adding FIX API session

In session properties window you should put Session name to relevant field and choose FIX in priceand trade connection type dropdown menus.

After adding symbols from relevant .sym files you should fill FIX Pricing and Trading connectionstabs with FIX connection details provided by your broker.

Important! If you FIX API accounts is hedged, you should check hedging account checkbox.

Adding mt4 session

In session properties window you should put Session name to relevant field and choose mt4 inprice and trade connection types dropdown menus. In mt4 session tab you should put mt4account details

Managing hedging pairs

Next step after adding sessions is adding arbitrage pairs.To add a new arbitrage pair you need to select Hedging pair>Add from right click menu in hedgingpair section. After that hedging pair properties window will appear where you can set Sessions youwant to hedge and adjust parameters.

Hedging pair properties window:

Parameters list:

Session – here you can select required session from the dropdown list.Symbol – alows to select symbol from the session symbols list (only symbols that are checked in Pricing symbols tab of the session are displayed in the dropdown list). Lots – size of the order that will be used for trading.There are some differences in lot sizing depending on account type:MT4 accounts:For mt4 accounts standard lot sizes are used: 0.01, 0.1, 1 etc.FIX API accounts:For all FIX API accounts except Lmax full lot sizes for currencies are used without multiplier, i.e. 1000 (=0.01 in mt4), 10000, 100000 etc.; for indexes/commodities lots sizes depend on contract size, we recommend to check broker contract specifications before setting lot sizes.Lmax FIX API accounts:For Lmax FIX API accounts lot sizes are used with multiplier 10, i.e. 0.1 (=0.01 in mt4), 1, 10 etc.; for indexes/commodities lots sizes are 1, 2...10 etc.Crypto exchanges:For crypto exchanges 1 lot is equal to base crypto token price. For example for BTC pairs lot 1 = 1 BTC, For ETH pairs lot 1=1 ETH etc.

Order management - calls trailing parameters management window for the selected side.Trailing options window will appear only when editing existing hedging pair, you can't adjust these parameters when adding a new hedging pair.

Stoploss – here you can select SL value for order.Takeprofit – here you can select TP value for order.Minprofit – after price reaches minprofit point trailing for order will be activated with specified traiing step.Trailing step - distance order is trailed at.

Slippage – maximum allowed slippage (works for limit orders), if actual slippage is higher than allowed orders will be rejected.Max Spread – maximum allowed spread for arbitrage detection, if spread is higher then allowed arbitrage differences will be ignored.Open with limit orders – open deals with limit orders on selected side.Close with limit orders – close deals with limit orders on selected side.Allow buy – allow buy orders for the selected sideAllow sell – allow sell orders for the selected side Ignore triggers – If trigger quote comes from the side with checkbox ticked, arbitrage situation will be ignored.

Check Quantity – check if there enough liquidity in TOB Top of the book to fill an order with the specified lot size, if not arbitrage situation will be ignored. Virtual – open virtual order instead of real one on the selected side. Allows to use the software in 1-leg mode. Imrortant!!! Open and close methods should be set as open both/close both for this option to work properly.Max delay – maximum time in milliseconds since the last broker/exchange price update for quote to be considered valid for difference calculation.TTL (for PrimeXM FIX API bridge only) – Time in Milliseconds an open order will stay active in the system. As the TTL expires the remaining amount of an open order will be cancelled and the order will be closed. The TTL can be any integer value >= 0 or -1 for unlimited ttl, i.e. a GTC orderLimit type – here you can select limit order type: FOK or IOC Accumulate profit – allows to close trade only if profit is on the side with checkbox ticked. Positions are treated separately and software closes only positions that meet closing requirements.Leverage – used for crypto exchanges only.0 – leverage trading disabled1 – leverage trading enabledFor Kraken you can use 2,3,4,5 values, depending on symbol.

Common parameters :

Diff to open – price difference (can be expessed in points, currency or percents) between 2 brokers/exchanges for opening arb dealDiff to close – price difference (can be expessed in points, currency or percents) between 2 brokers/exchanges for closing arb dealMax diff to open – maximum difference allowed for opening arb deal. If actual difference is higher than allowed arbitrage situation will be ignored.Max diff to close – maximum difference allowed for closing arb dealMin profit – minimum distance in pips from entry point price should cover for diff to close parameters to come into effect (for crypto arbitrage can be set to 0) Max profit – if one of the sides reaches Max Profit value, arbitrage deal will be closed automatically to prevent margin calls. Offset - constant shift between prices on both sides Time to start/stop trade - allows to set trading timeframe. Server/machine local time is used for these parameters.Order Lifetime (expressed in seconds) – for how long the order should stay in the system before diff to close parameters to come into effect Trade pause (expressed in seconds) – min time before opening a new arbitrage deal after closing of the previous one.Open Method – allows to control order queue on opening arb deal:Open both – orders on both sides will be sent simultaneously

Open side 1 first – opening order will be sent on side 1 first. Order on side 2 will be sent after the side 1 order is filled successfully. If side 1 order is not filled or rejected side 2 order will not be sent.

Open side 2 first – opening order will be sent on side 2 first. Order on side 1 will be sent after the side 2 order is filled successfully. If side 2 order is not filled or rejected side 1 order will not be sent.

Close Method – allows to control order queue on closing arb deal:Close both – orders on both sides will be sent simultaneously

Close side 1 first – closing order will be sent on side 1 first. Order on side 2 will be sent after the side 1 order is filled successfully. If side 1 order is not filled or rejected side 2 order will not be sent.

Close side 2 first – closing order will be sent on side 2 first. Order on side 1 will be sent after the side 2 order is filled successfully. If side 2 order is not filled or rejected side 1 order will not be sent.

Reverse trading – open orders in opposite direction to arbitrage trigger, i.e. sell low and buy high.Avoid new period – software does not open trades 30 sec before and 30 sec after every15 min interval, i.e. 10.00, 10.15, 10.30, 10.45, 11.00 etc. all day longMax accum. number of deals – maximum number of simultaneous deals allowed for hedging pair. By default it is 1 deal per pair.Trade Only Available Qty – Checks TOB on both brokers/exchanges and if there is not enough liquidity to open deals with lots specified software opens trades with max available on both sides amounts. For example if you set it to trade with lot 1, but one of the brokers/exchanges has insufficient liquidity in TOB, let's say 0.5 lot, software will open trades with 0.5 lot size on both exchanges.Close multiply deals – close all deals on diff to close trigger (if more than 1 arbitrage deal per pair allowed), if disabled only last deal will be closed.

Offset calculation block:

Enabled – apply offset autocalculation for this pairPeriod – period between recalculations (in minutes) Interval – collecting ticks interval for offset autocalculation (in seconds) Min ticks number – minimum number of ticks on each side for offset calculation results to be applied.Group – assign offset group pair belongs to (can be selected fro dropdown menu). To remove group association just erase the value .Show results in logs – display offset autocalculation results in Trading events log. Emulator mode – allows to emulate trading in real time mode. Software will open virtual dealsbased on real price feed from brokers/exchanges.Enabled – run hedging pair in emulation mode.Slip.open 1 – slippage to be added when opening virtual deal on side 1Slip.open 2 – slippage to be added when opening virtual deal on side 2Slip.close 1 – slippage to be added when closing virtual deal on side 1Slip.close 2 – slippage to be added when closing virtual deal on side 2

Profit mode – allows to set profit display modePoints – profit will be displayed in pointsCurrency – profit will be displayed in currencyCurr – allows to set base currency in which profit will be displayed for hedging pairDiff input – allows to select price differences calculation mode (applied to diff to open/to close,

curr diff 1,2 and max diff 1,2)Points – difference will be calculated in pointsCurrency – difference will be calculated in currencyPercents – difference will be calculated in percents

Commission 1(%) – commission per trade charged by broker/exchnage on side 1 to be included inarb deal result calculation.Commission 2(%) – commission per trade charged by broker/exchnage on side 2 to be included inarb deal result calculation.Commissions can be set in points or percents, depending on selected profit mode.

Important! Commissions are charged twice per arbitrage round (for opening arbitrage deal andforclosing arbitrage deal) on each side (4 commissions in total).

Dynamic close – the idea of dynamic close feature, but calculate close difference dynamicallydepending on the profit you want to get for the deal instead of using fixed diff to close specified inpair properties.Enabled – apply dynamic close feature for this pair

Profit target in currency – profit you want to get from the arbitrage deal (can be dispayed inpoints or currency depending on selected profit mode).Open diff (approx) – approximate diff to open to be entered to get target profitClose diff (approx) – approximate diff to close to be entered to get target profit

Open/close diff table – allows to apply different open/close differences for specified time framesduring the day:

Add – add new ruleEdit – edit selected ruleRemove – remove rule

Open/close diff table editing window:

Start hour – start time for rule to be applied (server/machine local time is used)End hour – stop time for rule to be applied (server/machine local time is used)Diff to open – diff to open to be applied during specified periodDiff to close – diff to close to be applied during specified period

Close all deals at – time to close all deals on this hedging pair (server/machine local time is used)Max errors – after max errors number reached pair will be blocked from trading.Label – used for sorting hedging pairs in the hedging pair section. Each time on the software start pairs are sorted by label names in alphabetical order.

Enabled – allows trading on this hedging pairSound notification on order execution – enables/disables sound notification for opening/closingordersShow profit indicator – enables/disables profit indicator for this hedging pairAllow close if disabled – allows closing hedging trades if pair is disabled but there arehedgingtrades left.

After you added all the necessary parameters and clicked OK, new hedging pair will appear inhedging pair section. It should look like:

Hedging pair row contains pair information, quick access parameters and boxes with the followingstatistical values.

Curr diff 1 – displays current difference between brokers/exchanges for side 1Curr diff 2 – displays current difference between brokers/exchanges for side 2

Max diff 1 – displays maximum detected difference (after the software restart or parameter reset)

between brokers/exchanges for side 1Max diff 2 – displays maximum detected difference (after the software restart or parameter reset)between brokers/exchanges for side 2Curr spread 1 – displays current spread on broker/exchange 1Curr spread 2 – displays current spread on broker/exchange 2

Current difference calculation formulas depend on selected diff input mode:

Diff input in points:

hedgingPair.CurrDiff1 = (Bid1 - Ask2 - offset_in_pips) / Math.Min(Symbol1.PointValue, Symbol2.PointValue);hedgingPair.CurrDiff2 = (Bid2 - Ask1 + offset_in_pips) / Math.Min(Symbol1.PointValue, Symbol2.PointValue);

Diff input in currency:

hedgingPair.CurrDiff1 = (Bid1 hedgingPair.Lots1 - 0.01 Bid1 hedgingPair.Lots1*hedgingPair.TradeComission1 -Ask2*hedgingPair.Lots2 - 0.01 Ask2 * hedgingPair.Lots2*hedgingPair.TradeComission2);hedgingPair.CurrDiff2 = (Bid2 hedgingPair.Lots2 - 0.01 Bid2 hedgingPair.Lots2 hedgingPair.TradeComission1 - Ask1hedgingPair.Lots1 - 0.01 Ask1 hedgingPair.Lots1 hedgingPair.TradeComission1);

Diff input in percents:

hedgingPair.CurrDiff1 = 100 * (Bid1 - Ask2 - offset_in_pips) / Math.Max(Bid1,Ask2);hedgingPair.CurrDiff2 = 100 * (Bid2 - Ask1 + offset_in_pips) / Math.Max(Bid2, Ask1);

Hedging pair menu

By right clicking in hedging pair section you can open arbitrage pair management menu:

Hedging pair:Edit – open hedging pair properties window for editingClone – clone selected hedging pairAdd – add new hedging pairRemove – remove selected hedging pairUnblock – unblock selected hedging pair if is was blocked due to errors.

Record statistics – open statistics recorder option window:Enabled – enables/disables collecting statistics on selected pair.Files with the collected stats will be saved to C:\Program Files (x86)\Multileg arbitrage for .Net\Statistics

New record group:On tick from 1st – add new record upon price update on side 1On tick from 2nd – add new record upon price update on side 2On tick from 1st and 2nd – add new record upon price update on both sides Each N seconds – new record will be added after each N seconds Fields group – here you can select fields each record line will contain. You can check fields youwant to save to the memory. File output group :Separator – symbol to be used for fields separation in statistics fileExtension – extension to be used for statistics filesTime format – allows to adjust time field format for statistics records (MM - month, dd- day of themonth, yyyy - year, HH - hour (in 0 -23 format), mm - minutes, ss - seconds, fff - milliseconds). Bydefault it contains following date and time format: 10.08.2018 10:22:12.123 Flush interval – time interval for new file output (in seconds). We the default value softwarecreates new statistics file each 5 minutes.

Close deal by market – manually close deal on selected pair by market priceOpen deal manually – allows to open deal manuallyEdit open close levels (crypto)– allows to set several diff to open/close levels for hedging pair.Multi-level diff to open allows not to miss arbitrage situation if price difference between exchangesincreased after opening first arb deal.

Multi level management window:

Enabled – activate/deactivate levelLevel num – level numberLots 1,2 – lot size for selected levelDiff to open/to close – price difference for opening/closing trades on selected levelSlippage 1,2 – slippage allowed for selected level

Important! Diff to open/close values should match selected diff input format.Important! Diff to open for levels should be set in ascending orderImportant! Max accum. number of deals should be equal or higher than number of levels.Important! If multi-levels are active diff to open/close in hedging pair parameters will beignored.

Reset max diff – reset max diff values for selected pairReset (un) profitable deals counter – reset profit indicator for selected pair.Profit indicator uses a range of color shades from bright green (positive performance) to bright red(negative performance) for visual indication how profitable hedging pair is.

Manage offsets group – open offset groups where you can add or remove offset groups, assignnames and colors.

Concept of offset groups: if offset value for one hedging pair of particular group is changed, offsetvalues for all the other pairs of the group will be changed to the same value as well.

Performance and logging

In open orders section you can find full information about currently open deals:

Open (close) ms column display order execution time in ms for both sides. Open (close) slip column display slippage orders were executed with for both sides.Profit column represent floating deal results (for crypto exchanges commissions are included incalculation)

In Closed orders section you can find information about closed deals, including closing time, closingslippage and final arb deal result.

In summary tab you can find informatin about total profit from all closed arb deals. Important! Summary tab active only if profit mode is set to currency.

To track your trading history you can use Trading Events log. To open it you should select Trading >View events log. You can find here full performance information, including errors.

If you need to check connection logs for trading or pricing sessions, yu should select Sessions >View (pricing) trading connection log. Here you can find al, the information about connectionissues and operations performed.

If you select Trading -> View Pair info you will be able to check last received quotes on both sidesof the selected pair and the time quotes were updated.

Contacts and Support

Feel free to contact us if you have any questons or need help.

Mailing Address: 3397 Mistwell cresn., Oakville, L6L0A2, ON, CanadaEmail: support@itcsoftare.com Skype: BJFSupportWeb: htp://itcsoftare.comTelegram Chanel: https://t.me/beffg

We use TeamViewer 6.0 for remote help. You can download TeamViewer 6.0 here:https://www.teamviewer.com/en/download/old-versions.aspx#version6