Analysis of the Timing of an Online Trading System, Potential Implementation of an HFT

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Supervisor:
Dr. Kovács Tibor
Department of Automation and Applied Informatics

The purpose of the thesis is to present the FOREX (Foreign Exchange) trading platforms, technologies (MetaTrader 4, Application Programming Interface), development, strategy tester tools and the properties of timing.

The other main purpose of the research is to assess what kind of strategies, opportunities and difficulties there are in High Frequency Trading and which conditions should be satisfied to apply a special HFT strategy, named triangular arbitrage in Forex.

The first chapter provides an insight into the world of Foreign exchange, the reader can find information about basic terms, trading opportunities and economic impact.

In the second chapter I show development, strategy testing, optimization and operational key features of MetaTrader 4 by an automated trading robot.

The third chapter describes the basics of triangular arbitrage HFT strategy. I inform the reader about trinagular arbitrage historical occurrences and analyze the properties of timing and pricing.

In the last chapter I develop an automated triangular arbitrage strategy trading software based on the second chapter's results. After that I present the outcomes of the robot and the opportunities for further development.

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