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Sunday, 9 June 2019

HSI Mechanical Trading Recipe 1

HSI Possible Arbitrage Chances On Matching Period - part 1

HSI futures starts at 9.15am. Can refer to any live indices providers ( eg IG ) to get the price level. Let's call the price level as HSI futures live provider: hflp ( a variable )

HSI cash market matching at 9.20am. Let's call the price level as H920M ( a CONST )
and the corresponding live HSI update website https://www.hkex.com.hk
You can refresh it around 9.21am
You can get more details H920M (ie bid and offer levels) if u do hv HKSE liveprices

HSI cash market open at 9.30am.
Hence in between 9.20 - 9.30am, there is arbitrage chances:

In Between 9.20 - 9.30am
If China A50 futures Do Not swing to one way up/down far (better is range bound):
Arbitrage chances is true if :
hflp move lower than H920M, you can long the hflp
hflp move higher than H920M, you can short the hflp

after u open trade, if it moves
1. in favour your position
you can choose to close your trade
1.1 when hflp moves near to H920M
1.2 upon 9.30am cash market open

2. against your position - cut according to your stop loss plan

After 9.30am, the arbitrage game is over
you can focus back normal HSI trading per regional tracking/TA/whatever

is there any more stories.....


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