Is it possible to run an arbitrage strategy between Crude Oil and Crude Mini contract? If anyone has implemented that successfully please let me know. I was just curious about the speed and frequency of the Kite API.
According to the rate limit, it seems to be possible because I need to at most 4 orders to be executed per second. And for the strategy, the tick frequency is also fine. I just needed to be sure that 4 orders get executed every second i.e. 2 entry order and 2 exit order. Just confirm me about the reliability of the order execution.
I was motivated by an Arbitrage mentioned in a Varsity Module (i.e. Arbitrage between CRUDEOIL and CRUDEOILM.) Throughout the day, there are multiple opportunities. But the things they last for certain seconds or sometime for one second only. So here order execution plays a crucial role. If the Algo fires out signals for placing orders but it's not getting executed it can lead to a disaster.
I just wanted to 100% sure that orders can get executed.
If there is a buyer or seller at the exchange at the same price then the order will be executed. I am afraid we can't guarantee the execution of the order. It depends on the availability of the bid and ask at that moment.
I'm Vihan Singh, founder & CEO at Blackrose Technologies. We're a quantitative derivatives trading firm operating in the Indian markets.
Given I've been where you are at the moment, I feel obligated to tell you that your biggest enemy in the arbitrage strategy you've mentioned (price discrepancy in CRUDEOIL and CRUDEOILM contracts) is going to be the fees and commissions you'll have to pay. You will need at least a 4 point difference in the contract prices for the strategy to be profitable, else your cost of executing the trades will eat into all of your profits.
If you would like to explore arbitrage, especially statistical arbitrage opportunities in Indian markets, please feel free to call us on +91-9810171088 or email us at [email protected] if you would like to connect.
Kite Connect is purely an execution platform.
Arbitrage strategy can be coded using kiteconnect.
I have worked on nse bse arbitrage
check below two threads
for tick frequency : https://kite.trade/forum/discussion/1291/frequency-of-ticks
also rate limit : https://kite.trade/forum/discussion/2760/no-of-request-to-api#latest
https://kite.trade/forum/discussion/comment/12053/#Comment_12053
So here order execution plays a crucial role. If the Algo fires out signals for placing orders but it's not getting executed it can lead to a disaster.
I just wanted to 100% sure that orders can get executed.
I am afraid we can't guarantee the execution of the order. It depends on the availability of the bid and ask at that moment.
I'm Vihan Singh, founder & CEO at Blackrose Technologies. We're a quantitative derivatives trading firm operating in the Indian markets.
Given I've been where you are at the moment, I feel obligated to tell you that your biggest enemy in the arbitrage strategy you've mentioned (price discrepancy in CRUDEOIL and CRUDEOILM contracts) is going to be the fees and commissions you'll have to pay. You will need at least a 4 point difference in the contract prices for the strategy to be profitable, else your cost of executing the trades will eat into all of your profits.
If you would like to explore arbitrage, especially statistical arbitrage opportunities in Indian markets, please feel free to call us on +91-9810171088 or email us at [email protected] if you would like to connect.
Cheers!