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It's the only pairs trading I know :cool: edit: To be explicit, there are a lot of ways to do this. Cash neutral is one, volatility neutral is another. Depends on what you think you can forecast - correlation, relative volatility etc.

This is a pin risk issue, yeah? Somewhat like barrier hedging issues, high gamma. (Throw a bone to a delta 1 guy, eh.)

You don't have to trade 'em 1 for 1 :)

win/fail ? :confused:

Mention eating day-old pizza straight from the fridge .. and I’m sold.

Time is finite. Allocating time to the most productive endeavour is rational. If you're failing as a trader, then sure, go sell software.. Ask an entrepreneur about how they allocate their time.

The only out of sample test that counts, is the one where the vendor stops marketing, and starts trading. No one is so stupid as to sell software for a living, when they could be trading instead. Economic reality is a bitch.

The info/noise moves right up, if you add the OP to ignore.

This doesn't make any sense. If price has changed but NBBO has not updated yet, then there is NO stale liquidity to match against. Step 1: Collect underpants. Step 2: HFT. Step 3: Profit.

I could contend that all institutional program trading has elements of intraday basketed pairs.

Yep .. then you're into hidden state Markov model madness.

This gets a little bit harder with undisclosed and dark liquidity. If I am posting large, I'm not gonna do it in a lit venue. And, as for getting in before the move, what about order priority? Can't front run a block without paying up a tick. Issues like that. Swings and roundabouts...

If your commissions are flat, then making 0.01 / 20 becomes larger than 0.01 / 100. To put it another way … cent-per-share commissions suck donkey balls.

Bigger account often pay less commissions as a percentage of the position size. Economies of scale, sort of. When that's the case, the trading strategy need less of an edge to be profitable.

I disagree with both statements. But, good luck with whatever you're doing :)

Ah, ok. Well, I guess there has to be some priority arrangement for everything that gets natively triggered. :) Good idea, to look for the matching algo / FIFO etc docs.

Future is trading at 1000.00 / 1000.25 Your Buy Stop is set to trigger by a trade at 1000.25. A trade occurs at the ask. 1000.25. Latency .... Orders move about. Market re-quotes at 999.00 / 999.25 Stop gets triggered from fill above. Latency .... Orders move about...

Eh .. chasing trends is easy to explain, and apparently fun to do. I think most dream chasers would get pretty bored in an MM shop.

2c: Perhaps it comes down to whether you're a "price is flow" or "price is liquidity" kind of guy.