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How does Anshan arbitrage make money?
The logical basis of Anshan arbitrage is that the spot foreign exchange market is different from the centralized quotation in the stock market and belongs to over-the-counter trading. For example, in the same second, a stock has only one trading price, and the exchange rate of the euro against the dollar pair may have 100 different trading prices.

Between these transaction prices, there will be an equilibrium value and many deviations.

Ansan's system is constantly scanning, detecting and calculating these deviation values, trading at high frequency and accumulating income. The number of transactions per day is about 60-240 times, and the average time of each transaction is 1.5 seconds, and the maximum actually cannot exceed 10 seconds. No overnight trading.

There are many reasons for the deviation, such as central banks, banks, funds, brokers, individuals, etc., and the demand for foreign exchange transactions is also multifaceted. Some banks have positions and some funds have hedging needs. Some of them are eager to trade, while others are slow to get the price.

The trading channel (PB) of Anshan is Industrial Bank, and the quantitative trading system of Anshan is connected to the OTC trading system of Industrial Bank, and the margin amount given by Industrial Bank (not exceeding the total fund share) is used for trading. Societe Generale Bank is PB (main dealer), and there are many EBs (executive dealers) under PB. In OTC system, the transaction elements are EB dealer, transaction code and transaction price.

Let's assume an example: the current market equilibrium price of USD/EUR is1= 0.84,51,and there is 1 = 0.8460 in the quotation. Na 'anshan will trade the offer of 0.8460 with the US dollars in hand to get more euros, and then sell the euros at a balanced price to get more dollars.

Let's take another reverse example: at present, the calculated equilibrium price of USD/EUR is 1 USD = 0.84,51EUR, but USD +0 =0.8430 EUR appears in the quotation. Na 'anshan changed the dollar in his hand into more euros at a balanced price of 0.84,565,438+0, and then sold the euros deviating from 0.8430.

Such transactions continue every day. At the end of the day, Industrial Bank and Anshan settle accounts at the end of the day to calculate the income of the day's transactions. At the end of each day, all fund positions are settled in US dollars.

There are two key points in this war:

One is the calculation of equilibrium price, and the other is the speed of quotation acquisition.

The calculation of equilibrium price depends on the quantitative system of Ansan, which requires fast calculation. After deducting the transaction cost from the whole transaction, the arbitrage space is automatically calculated.

The speed of quotation acquisition depends on Ansan's hosts in Japan, the United States and Hong Kong. The closer the physical distance, the faster the price will be obtained.

What is foreign exchange arbitrage? The dollar broke 7.2, but the arbitrage strategy reached a new high.