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Trader Otto - FairPrice Arbitrage Win/Bra [BlackBox]
Trader Otto - FairPrice Arbitrage [BlackBox]
Description
Specialized Arbitrage System for Brazilian Index Futures (B3)
The Otto FairPrice Arbitrage is a quantitative tool engineered specifically for the unique dynamics of the Brazilian market. Unlike generic indicators that rely solely on price history, this BlackBox system calculates the Real-Time Fair Value of the Index Future (WIN) by integrating the local macroeconomic tripod: Interest Rates (DI Curve), Exchange Rates (USD/BRL), and Global Correlation (S&P 500).
Why is this essential for trading Brazil?
In the B3 market, the "Fair Price" is mathematically driven by the high carry cost of local interest rates. This indicator solves the pricing equation in real-time, revealing when the market price deviates from its fair value (Arbitrage Opportunity).
The BlackBox Logic
Macro Integration: Connects to a multi-market data feed (DI1, SPX, VIX) to compute the "Justíssimo" (True Fair Value) line.
Settlement Tracking ("Ajuste"): Automatically plots the Prior Day's Settlement Price — the most critical liquidity level for Brazilian institutional traders — along with the Prior High, Low, and Open.
Mean Reversion: Detects "Cheap" or "Expensive" distortions based on calculated spread thresholds optimized for local volatility.
Key Features
Dynamic Fair Value: Real-time support and resistance lines based on arbitrage math.
Rollover Dashboard: Monitors days-to-expiration for the current futures contract.
Trend Filter: An integrated HalfTrend algorithm ensures arbitrage entries align with the immediate market flow.
Liquidity Defense: Visual markers for potential institutional defense zones.
Disclaimer
This tool is designed for educational and analytical purposes. Past performance is not indicative of future results.
Overview: The Institutional Edge
Retail traders look at charts; Institutions look at Fair Value.
The Otto FairPrice Arbitrage is a quantitative engine designed to calculate the theoretical "Fair Price" of index futures in real-time. By processing cross-market data (S&P 500, Interest Rates/DI, Exchange Rates, and Volatility), this BlackBox system identifies when the market price deviates from its mathematical reality—creating arbitrage opportunities.
How it Works (The BlackBox Logic)
Unlike lagging indicators (like MA or MACD), this tool looks "outside" the chart. It connects to a multi-market data feed to compute the "Justíssimo" (True Fair Value) line.
Arbitrage Signal: When the current price moves too far from the calculated Fair Value (Spread > Threshold), the system detects a distortion (Cheap/Expensive), signaling a high-probability Mean Reversion trade.
Time-Lock Algorithm: The system automatically locks the correlation factor at specific liquidity windows (10:30 AM) to prevent noise during low-volume hours.
Key Features
Dynamic Fair Value Lines: Plots the calculated Fair Price, Maximum, and Minimum arbitrage boundaries directly on the chart.
Smart Dashboard: Monitors contract expiration (days to rollover) and real-time S&P correlation percentages.
Decision Points: Automatically plots critical levels (Prior Day's Adjustment/Settlement, High, Low, and Open) + Today's "Waterline" (Open).
Trend Filter: Built-in HalfTrend algorithm to ensure you only arbitrage in favor of the immediate flow.
Why BlackBox?
To ensure precision, all ticker references (WIN, DI, SPX) and arbitrage formulas are hardcoded and optimized for the current volatility regime, preventing user error and ensuring consistent data integrity.
Disclaimer
For educational purposes only. Past performance is not indicative of future results.
Description
Specialized Arbitrage System for Brazilian Index Futures (B3)
The Otto FairPrice Arbitrage is a quantitative tool engineered specifically for the unique dynamics of the Brazilian market. Unlike generic indicators that rely solely on price history, this BlackBox system calculates the Real-Time Fair Value of the Index Future (WIN) by integrating the local macroeconomic tripod: Interest Rates (DI Curve), Exchange Rates (USD/BRL), and Global Correlation (S&P 500).
Why is this essential for trading Brazil?
In the B3 market, the "Fair Price" is mathematically driven by the high carry cost of local interest rates. This indicator solves the pricing equation in real-time, revealing when the market price deviates from its fair value (Arbitrage Opportunity).
The BlackBox Logic
Macro Integration: Connects to a multi-market data feed (DI1, SPX, VIX) to compute the "Justíssimo" (True Fair Value) line.
Settlement Tracking ("Ajuste"): Automatically plots the Prior Day's Settlement Price — the most critical liquidity level for Brazilian institutional traders — along with the Prior High, Low, and Open.
Mean Reversion: Detects "Cheap" or "Expensive" distortions based on calculated spread thresholds optimized for local volatility.
Key Features
Dynamic Fair Value: Real-time support and resistance lines based on arbitrage math.
Rollover Dashboard: Monitors days-to-expiration for the current futures contract.
Trend Filter: An integrated HalfTrend algorithm ensures arbitrage entries align with the immediate market flow.
Liquidity Defense: Visual markers for potential institutional defense zones.
Disclaimer
This tool is designed for educational and analytical purposes. Past performance is not indicative of future results.
Overview: The Institutional Edge
Retail traders look at charts; Institutions look at Fair Value.
The Otto FairPrice Arbitrage is a quantitative engine designed to calculate the theoretical "Fair Price" of index futures in real-time. By processing cross-market data (S&P 500, Interest Rates/DI, Exchange Rates, and Volatility), this BlackBox system identifies when the market price deviates from its mathematical reality—creating arbitrage opportunities.
How it Works (The BlackBox Logic)
Unlike lagging indicators (like MA or MACD), this tool looks "outside" the chart. It connects to a multi-market data feed to compute the "Justíssimo" (True Fair Value) line.
Arbitrage Signal: When the current price moves too far from the calculated Fair Value (Spread > Threshold), the system detects a distortion (Cheap/Expensive), signaling a high-probability Mean Reversion trade.
Time-Lock Algorithm: The system automatically locks the correlation factor at specific liquidity windows (10:30 AM) to prevent noise during low-volume hours.
Key Features
Dynamic Fair Value Lines: Plots the calculated Fair Price, Maximum, and Minimum arbitrage boundaries directly on the chart.
Smart Dashboard: Monitors contract expiration (days to rollover) and real-time S&P correlation percentages.
Decision Points: Automatically plots critical levels (Prior Day's Adjustment/Settlement, High, Low, and Open) + Today's "Waterline" (Open).
Trend Filter: Built-in HalfTrend algorithm to ensure you only arbitrage in favor of the immediate flow.
Why BlackBox?
To ensure precision, all ticker references (WIN, DI, SPX) and arbitrage formulas are hardcoded and optimized for the current volatility regime, preventing user error and ensuring consistent data integrity.
Disclaimer
For educational purposes only. Past performance is not indicative of future results.
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.