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The Soros Lectures: At the Central European University.

http://www-stat.wharton.upenn.edu/~steele/Courses/434/434Context/PairsTrading/PairsTradingQFin05.pdf http://www.fma.org/Reno/Papers/LOPpairstrading_FMA.pdf http://www.f.waseda.jp/yotsuzuka/Courses/Pairs%20Trading.pdf Only read the last one but the works should give some valuable insight...

I see, appreciate it very much.

I can't say for certain but you're probably right. Depends on the contract being referenced. I read in the IB manual that the format is used to distinguish weekly, monthly, and quarterly options.

Thanks, fixed that. Fixed the major issue too. Error 541 is for MaturityDate (or Last Trade Date), format must be YYYYMMDD for anyone who runs into the same problem. Not to get the two confused, expiration date must be in the format MMYYYY.

Having trouble recording data on options and futures through IB's api. This is what I enter in my attempt to open a connection to the April 11 130 Call on SPY for time and sales data recording. CONID: 82167858 Underlying: SPY Type: STK Expiry: 11-Apr Exchange: SMART Primary...

You mean the crack spreads blowing out?

I think it varies depending on the group. When trading across currencies, the pairs I construct require construction on a currency adjusted spread basis (A-B). Same w/ out the currency adjustment, ie: spy vs /es. Ratios should be used for gold/silver, gold/plat, crude/ng, etc.

PM me a pair you're watching. I'll record a day's worth of TAQ data for you w/ congruent time stamps.

You need TAQ data to watch intraday pairs. 1- and 5-min bars won't cut it in this environment.

I was more put off by the 3 page "white paper."

PM me your email. I'll put you on our list.

Curve fitting?

Keep hating it. I hate taking your money too. :(

It is the evolution of the pit. Period.

I didn't know market liquidity was a right. Must have missed that in the rulebook.

Sorry for the implication. LOs are OTC and electronic. When trades are done on the floor, they are rarely done live - structures usually consist of a cross against the futures. Trades of this nature are volatility trades and not directional. If wide spreads are a product of a...

http://www.sec.gov/news/studies/2010/marketevents-report.pdf I can lead a horse to water.

1. May 6 was caused by lack of liquidity, not too much liquidity. Get facts right (see SEC/CFTC joint report on day's events). 2. Trade what can be hedged. 3. See answer to #2. 4. Placing limit orders is not illegal. Testing stops is not illegal. 5. Trading is not charity.

Atlas Shrugged.