Arbitrage Spotter

? This agent considers the chemical processes of converting natural gas into methanol and crude palm oil and methanol into biodiesel and glycerol for an automated arbitrage spotter. The arbitrage spotter searches for opportunities to make additional profit by analysing the futures market prices for both the reagent and the product, while taking into consideration the cost of storage and production (steam, electricity, cooling water, process water and fuel gas) derived from simulations of the chemical process. To reduce the computation time for the simulation, approximation models were developed for the chemical processes.

The futures market prices are sourced from the Chicago Mercantile Exchange (https://www.cmegroup.com) for natural gas, crude palm oil and biodiesel, and Zhengzhou Commodity Exchange (http://english.czce.com.cn) for methanol. The latest futures market prices data is retrieved every time the arbitrage spotter is executed (graphs on the left).
The necessary currency conversions between CNY-USD and SGD-USD were computed using the latest exchange rates data sourced from the XE Currency Converter (https://www.xe.com/currencyconverter/).

The user can modify the chemical process of interest by selecting from the dropdown list and executing the simulation to determine the recommendation.
The user can also modify the price of cooling water, fuel gas, electricity and the flow rate of crude palm oil for the biodiesel plant or flow rate of natural gas for the methanol plant.

The arbitrage spotter would compute the highest marginal profit for the product, the ratio of reagent to product at which the futures contracts need to be accepted, the delivery date on which the reagent’s futures contracts should be purchased and the delivery date on which the product’s futures contracts should be sold.

An implementation of an automated arbitrage spotter powered by market and physical data applied to two scenarios: conversion of natural gas to methanol and crude palm oil to biodiesel. The programme searches for opportunities to make additional profit by analysing the futures market prices for both the reagent and the product.

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