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"this thread gets a 5 star rating : http://www.elitetrader.com/vb/showt...threadid=250379" SOLD.

+1 Same way most retail synthetic forex works. ALL customers pay the spread. No passive fills for anyone.

Care to talk about passive fill simulation? Because that's pretty cool stuff :)

I don't see it that way & have enjoyed your posts here :) Nice work on your trading strategy. Makes sense to me.

Hey, how ugly is the cme's interface? Some of the native stuff here in asia is entirely silly.

The FIX API over at interactive is a good starting point. If you can talk to it, then you can talk to the DMA pipes at all the banks. Most of them are colo'd these days, and that's about as direct as you can get without buying a membership.

Ah, I meant spot vs forward. Cash equities vs futures vs ETFs, & associated basket games. You know, the stuff where the margins are too thin, and the math too simple for vol traders to take an interest. :p

There are plenty of carry trades that are delta neutral. ... Of course, then corporate actions & rates try to blow you up.

+1 Nicely said :)

Get historical quote data - bid/ask is available through IB. Decide whether you'll be paying the spread.

Ah .. I meant within an index arb book, inside a broker, working around the waste-of-time tech kingdom.

ha. No, not simple moving averages... nor stuff like that. Backtest it.

As I see it, a smart quoting algo is absolutely necessary to play the game, especially to layer & to back away fast .. running off (let's call it) a basket pricer.. Re-balance can be manual, but based on the same pricing, this time as a risk measure. My 2 ticks. Thoughts welcome..

Just a gentle question here guys, are you paying any spreads to re-balance yourselves? Hard to imagine you're muddling through, delta neutral all the time. p.s. Like the banter .. cool heads hey.

Relative value, in a broad sense.

Remember, an IB smart limit order will interact with their US stock dark pool, so, to some extent, from the dark passive side, you too can facilitate the matching of retail orders willing to pay for immediacy. If you can't beat them, join them.

+1. Have seen millions of dollars wasted on unnecessary complex tech stupidity, and as a result I now tend to prototype stuff in a spreadsheet / VBA as much as possible purely to avoid any interaction with that backward IT puzzle palace. Just solve this problem. Don't build me a "platform".

Moves the bottleneck, & costs money.

C#, with a lot of System.Collections.Concurrent; Actually, I think a lot of this game is about knowing what you can throw away.

A fan of sorted dictionaries of sorted dictionaries right here..