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The RD/SC article got me going with pairs trading and I played RD/SC quite a lot last year. It's never been the same since RD was removed from the S&P 500. The problem I had with the article (and I'm doing this from memory) is that the buy/sell points and backtesting were based on closing...

At around noon today I could not get some simple NYSE buy orders executed. I tried market and limit orders as well as SMART routing and direct to NYSE. Kept getting the message "couldn't value the contract".

Margin interest rates at many brokers are lower than the teaser rates offered by credit card companies.

How about a site that shows the prints for an individual stock throughout the day? I found this on Lycos Finance but only for the last 20 trades or so (and on a delayed basis). Know of anything?

Unfortunately the IRS requires every individual trade to be itemized on Schedule D (or an attachment to the schedule). The gross proceeds will need to tie to your brokerage statements.

The article that introduced me to the topic is "Pairs Trading" by Stephane Reverre. It was in the March 2001 issue of Technical Analysis of Stocks & Commodities magazine.

I just printed mine out and can see that the amounts reported in the two accounts are additive. Same thing for the monthly account statements.

If trading during market hours, I don't see much if any risk of a trade getting reversed. What has happened occassionally to me (I'm going to guess perhaps 1 in every 500 trades) is a corrected price. It's never more than a few cents a share and it has gone both ways. So unless to get a trade...

You need to report your trades. The IRS will receive records of sales proceeds from your broker for your SSN. I'm sure you would get an automatic letter from the IRS in several months time asking you to explain why they show gross proceeds of X and you are reporting nothing. And since the...

If all else fails, try the George Castanza approach. You'll recall he was a looser character on Seinfeld. One time, realizing he always made the wrong decision, he decided to always do the opposite. He seemingly made all the wrong choices during a job interview with the New York Yankees -...

I have a very small AMR/DAL trade going now. Before this latest decline, DAL had a nice runup while AMR didn't budge much so I'm down a bit right now but holding on. Prior to UAL's bankrupcy and for a time after, UAL was still trading close to AMR's current level so I'm hopeful that the worst...

You're probably right in this case that you would have gotten a better fill, although maintaining your sell order would have been additional downward pressure on prices. But at the moment your order was pulled and executed the bid was 15.30. TMBR didn't know that the specialist was going to...

Think it through. Say the bid is 15.35. TMBR is willing to buy at 15.34. Your order is to sell at 15.35 and is routed to NYSE. The bid drops to 15.30 before your order can be executed. You want them to keep your order at NYSE or pull it back and give you a better execution?

Skeptic, They say, "If your order is eligible for automatic execution . . .". Your's probably wasn't at the NYSE bid. But when the bid was dropped, TMBR picked it up and gave you a price at least as good as you could get anywhere else. But face it. Individuals have no way to actually...

I think the scenario you paint could legitimately happen. Perhaps the NYSE specialist got hit with simultaneous market orders (or even a limit order below the bid) that was more volume than could be handled at the bid. The bid drops and IB is able to take the order back (or fills you at the...

My average holding period for a pairs trade last year was 3.1 days. Lots of day trades and some I got stuck in for a long period of time. I would probably do better if I was more patient but it wouldn't be as exciting.

All of my pairs trading is from correlated pairs within the same sector. I like gold, telecom, utilities, and oil. I've had limited experience and bad luck with financials and retail. Also, I'm always trading with expected convergence rather than divergence. Often I'm setting up the trades...

Is there any self employment tax (social security and medicare) if you claim trader status or is it just a mark to market at year end and deductibility of all trading expenses that is at stake?

Actually I've had much success with FNM/FRE. When I started pairs trading them the spread as I recall was about 14 points. Now it's in the 5 to 7 range. Somehow I managed to turn profits. Looking back at my trading for 2002, I pairs traded FNM/FRE 84 times without a single loss! OK...

ChrisM, Sorry for the tardy response. I have not read the book you mentioned although I believe about a year ago I did preview it on Amazon.com. I did read the author's 2001 article in Technical Analysis of Stocks & Commodities which introduced me to pairs trading. If you haven't read it...