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How is this not a pairs trade?

Depends on what you're doing & what's behind you of course. But I think you know that :cool: On the broking end of things, the stories I've heard about broking retail forex.. and CFDs. Wow. Pretty hard to fuck that up.

Yup. The spread should be the problem .. or the solution :p

Ah, come on, surely retail trading costs have to be considered with respect to how much the stuff moves. For example, don't pay a big commission to directional day trade way OTM options, but perhaps do pay a big commission to day trade oil futures. If you're into that kind of directional...

Agreed. :)

kind of :p I'd still net the deltas first, then hedge the residual. Issue here than annoys me is the SPY hedge may add risk, depending on the OP's basket.

If an ETF tracks your portfolio, you trade the ETF.

So, a retail broker has two issues. 1. How do I make commissions? 2. How to I prolong the life of this client so that I make more commissions? The first point is pretty simple. Point the client to products with higher commissions, and sell it to them by explaining the added upside, be...

Isn't that making a pretty big correlation assumption? Interested in your perspective.

Key problem with "defined benefit" plans has been the general improvement in public health :eek:

Not anything adjusted. Need to net the deltas as step 1. This basket isn’t that basket.

It depends entirely on what you own vs the SPY basket. If you owned the whole basket in the right weights, you'd be pretty neutral on most fronts. Start by netting the components, to see what you have not flattened.

Bill - I agree with your comment quite a lot. Adding my 2c: Without a solid microstructure or market structure based explanation, there's usually very little "there". Optimisation outside of fair value, flow and inventory models are generally at best a time consuming distraction. To take...

Looks like the boys at the ASX have started promoting their new CoLo facility. http://www.asx.com.au/documents/trading_services/lcc_hcois_factsheet.pdf

Yeah, if you believe front running occurs like that then that's pretty clearly illegal. There's nothing here to do with algo trading though.

Can you explain exactly how your orders are being seen? If you mean, prices fall when you sell a lot, then I understand, but I wouldn't call that front running. Same thing happens if you try to sell a lot of anything. Buyers back off a bit, and let you come to them.

The medical industrial complex is the last remaining trade union. Economically, there’s no reason for this skill set to be more protected than any other. Importing competent staff from other civilised countries will fix the problem. Seriously, if we can build working jumbo jets in...

You're using the wrong terms .. but to answer the general question "If you had the fastest data & order placement, what would you trade?": Index arb. Option boxes. Futures calendars. There's a start anyway.

Have you calc'd your hourly rate? :D

Are you contending that there is an ideal OOS length? Because, with a short OOS, you look great in test, re-adjust a lot when live, curve fit & fail. With a long OOS, you look poor in test, and fail. Sorry to be blunt here, but where's the edge?