Monday, March 22, 2010

Forex costs

Once again I must come to the conclusion that Forex costs are too high for a descent high frequency strategy. By high frequency I mean time windows of less than an hour. Everything I've tried so far gets killed by the spreads, very frustrating. When the arbitrage spread is just 2-3 times larger than the broker spread all the odds shift against my favor.
As the arbitrage combinations are quite limited in Forex, there are probably just too many players with access to much tighter spreads playing this game. No easy money here, moving on...


  1. It really depends on who your broker is. If you go on with an avg. retail brokers then yes, the spreads might be too high. On the other hand if you have access to Currenex, or even Interactive Brokers, then their transaction costs are very low.

    I know there are quite a few HFT strategies working on FX. Its just a matter data mining with the right set of tools :)

  2. What do you guys usually consider for transaction cost?
    You think with some intelligent execution algo it would be possible to push transactions cost down to 0.5 pips for the usd/jpy?
    My strategy does like a trade every ~1-2h and got quite stable profits of c. 1.4 pips with a Sharpe Ratio of 3.2 considering transaction cost of 0.5pips.
    I used midpoints as data input.