Classic forex triangular arbitrage

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Hey there QC

I want to develop (python) code for the well known forex triangle arbitrage strategy, e.g.:

https://www.investopedia.com/ask/answers/forex/forex-arbritrage.asp#:~:text=Forex%20arbitrage%20is%20a%20risk,the%20short%20window%20they%20exist.

The goal is to use forex triangular arbitrage to teach some of my students about shortest path algorithms. 

I am still relatively new to QC (and algorithmic trading): I can see how one can purchase and hold certain currency pairs, but I cannot see how these trades converts into ownership of foreign currency, with which to continue the arbitrage path. 

So, more specifically, can you let me know how I can:

1) buy foreign currencies (and see how much of these currencies I hold)

2) purchase foreign currencies using a chosen currency that I hold (i.e. not always USD).

For example, I know how to purchase USD/EUR and then sell it, but I don’t know how to buy EUR using USD, and then use that EUR to buy GBP say.

Thanks so much

James

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi James,

  1. We do not support buying and selling of foreign currencies directly, the only way for users to participate in Forex trading is through currency pairs (OANDA pairs, FXCM pairs).
  2. We also do not support non-USD base currency (thread).

Best,
Shile Wen

1

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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