Search results

How long before the human preventative actions blow up a genuine liquidity provider? Market moves a lot. Circuit breakers say "game over". The exchange then busts all your hedges.

LOL .. Game over for dispersion.

The change in Net Liq at the bottom is interesting. Assuming this is not cherry picked .. nice job :)

Quote from VinMan: Prop allows you to be a pattern day trader whereas retail will not so it's more than leverage. 25K. Its also an advantage to have a trader community in my opinion. Office or remote chat room. Only of they're better than you, and not stealing your stuff. Why does...

Blotter, or it's bullshit.

1. Access to co-located infrastructure. 2. Low comms. 3. Leverage. 4. No salary (to keep certain people away). Split and desk don't matter as much as 1-4.

Even if something moves exactly inline with something else, there can still be a bid/ask spread to capture.

+10 & Nomination for best post of 2011.

In terms of lines of code out there, I think VBA is probably under-reported, in the same way that certain crimes are underreported.

How about “transitory equilibrium”? - Or - “That thing that price should move around faster than that thing moves itself”.

.. and for the guys .. Don't get caught naked between spread legs .. :p

If you can "use the tape to try to get in at the right time" then why not just punt 1 leg directionally? Think of the commission savings ..

Similar experience .. have seen the same group (only) generate Sharpes greater then 2-3, and yes, on capacity constrained strategies, particularly exploiting microstructure more than anything else really.

+1

1. At higher frequency, a large part of the strategy is about *not* paying the bid/ask on the wider leg. So you may not want to "hit the market on each of the 2 markets being spreaded". 2. The timeframe is important if you care about the reversion behaviour of the combination over time. 3...

You're thinking about some of the the right problems ;o) Edit: 1. Yeah, but this can be automated. 2. What timeframes are the combinations reverting in? 3. May need more math than that if you want to win. 4. Yes, & loosely. 5. Depends if you want to be dollar or vol (volatility)...

Actually, in terms of "edge", competently automating shorter term spread strategies is a significant part of the puzzle, as is refining it intelligently once built. - The devil in the details. This is not a job for a traditional trader: Not enough tech. Nor is it for an IT dude: Not enough...

See, I said the posts were shorter. Mostly. :p

I think there was a bit more to it than that, and as I understand it, the portfolio on net unwound profitably over time. A lot of time.

The devil's in the detail. Spread trading is not easy, and there's none of that "holy grail" bullshit to be assumed here. In addition to the ideas on this thread, there's still a good amount of real quant work that needs to be done in order to trade this stuff with any edge at all. And...