Michael Fry nth-commit

The effect of tournament-style asset selection on hold-time, for a long-term triangle arbitrage trading algorithm

Introduction

A long-term triangle arbitrage strategy is one that takes advantages of differences between markets over an extended period of time, as opposed to difference that exist between markets in fractions of a second.

Example

Let's say we are tracking three assets, and those assets each have markets between them.

	public class OkPagedResult : OkObjectResult
	{
	public int TotalItems { get; private set; }

	public OkPagedResult(IEnumerable items, int totalItems) : base(items)
	{
	TotalItems = totalItems;
	}
	}

	open Hedgehog

	module Gen =

	let control (f : unit -> 'a) : Gen<'a> =
	Random (fun _ _ ->
	let next = f ()
	Node (next, LazyList.empty))
	\|> Gen.ofRandom

	import { OperatorFunction } from 'ix/interfaces';
	import { pipe } from 'ix/iterable';
	import { map } from 'ix/iterable/operators';

	/**
	* Creates a new type which is the first element of a non-empty tuple type.
	*
	* @example type T = Head<[string, number, Object]>; // string
	*/
	export type Head<Ts extends [any, ...any[]]> = Ts extends [infer T, ...any[]] ? T : never;

	class Test
	{
	// The generator will give random, disassociated values, and those values will be chucked away if they don't abide by the precise
	// constraints. This filter is particularly inefficient, with a discard rate of about 8 : 1. Can all be done without actually
	// needing to return a Property, which is the benefit of this API.
	[Property]
	public void APropertyThatNeedsValuesToBeCoupledToEachOther_Preconditions(
	int min,
	int max,
	int origin)

	public class MyTest : IClassFixture<MyTest.Fixture>
	{
	// Somehow this thing is in scope, as well as the values that come out of it. Also somehow, the generated values gets into the fixture.
	public static readonly IGen<List<Person>> Users = Gen.Type<Person>();

	private readonly Fixture _fixture;

	public MyTest(Fixture fixture)
	{
	_fixture = fixture;