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Does re-centring ladders count?

I would be surprised if you can cancel before being filled on a negative margin by a *hardware* based competitor. All you need is some order blast through the top price level on the underlying .. another mm arbs you in the option(s), and you're screwed .. now hedging 1 tick off .. which is esp...

Sure .. but first .. are you fast enough on a slow stock .. can you quote tight enough to get hit on a slow stock .. & can you do this without getting arb'd when the tick rate increases suddenly. Not easy imo.

Not sure I get the idea of bull side / bear side wrt a spread trade .. but .. could you elaborate further? Also -- Martinghoul, agreed that it could be interesting to go-through-some-stuff.

start somewhere easy. if a lower *priced* stock moves less ticks per day, you may have a smaller problem to solve .. all else being equal.

delta-one is just as hard, maybe harder. index arb is near impossible to survive let alone profit. many hedges trade wider than the derivs. got to do it backwards. exchange connectors are being built into *hardware*, & device drivers. pricing calculations computed pre-market &...

+1

Ok .. fair enough. In my corner of the market(s), you have to he very very fast to get any joy out of arbs currently. No chance with a spreadsheet. Some chance with co-located hand written device driver based exchange connectors, and a shitload of capital funded at a 0%. But still no guarantees...

On second thought ... having read some of your other posts, I might have to ask what you think arbitrage is.

Does that imply less revolts? :p

ok then .. PM me of you'd like discuss some code..

Not sure there are any arbs around *today* that last for long enough to capture with VBA. Maybe 3 years ago. Are you suggesting that they still are?

buy vol on a related cointegrated instrument where the implied is lower -- if such exists. may be easier to just not-do-what-you-are-doing though..

+1 Morons will always be morons. They bash what they don't understand, rather than doing the actual work to understand it. "Boo Hoo I am a failed trader because "they" rigged the system." Man up & do the work OR close your account stfu & never come back.

I'm not sure any government has the skill set to stipulate how an IB uses money - free or otherwise. Would be like a stay-at-home mom telling a trading desk what they can & can't do. Pretty lame, but probably funny to watch.

If you are paying flat comms then that fucks-your-edge proportionally more on a short timeframe. Longer timeframe, same comms & slip fucks-your-edge proportionally less. - although news / informational change is an issue. If you don't have an edge then your timeframe doesn't matter. You...

Had worked well at high frequency, esp. wrt ETFs vs slightly dirty hedges. Have moved to a longer timeframe now .. with the privilege of slow execution, transaction fees, and own fkn capital at risk.. Sample size is too small to comment with any meaning presently.

Would be hard to do the var swap at / near fair value, no? Better to leg the straddle in the screen. Am I missing something?

Not enough & largely quantitative.

* There is really no need to pay for any software. Just learn some excel macro tricks .. excel charting etc.. That is, unless you're needing to process sub second data.