Arbitrage type strategies.
- Thread starter wastrading
- Start date
I was thinking of longer term merger or convertible types strategies as a way of parking capital while
I trade off margin.
I trade off margin.
Shorting spooz the instant oil futures make a big runup.
A simplified equity arbitrage ATS example
http://www.smartquant.com/help/tutorial2/index.htm
Cheers,
Anton
http://www.smartquant.com/help/tutorial2/index.htm
Cheers,
Anton
> Now thats an understatement !
You mean it's not simlified enough?
You mean it's not simlified enough?
Well, this is just a simplified example that shows how to do basic ATS development with QuantStudio / QuantDeveloper, nothing more, nothing less. The strategy itself works fine and a lot of riskless profits have been earned this way, also with ADR/GDR arbitrage (especially if you sit on BONY/Bloomberg ADR order book 
)
You are right saying that the implementation is far from being perfect (and somewhat useful). The code should be enhanced to
- better manage order states (rejected orders, etc)
- use limit orders to fix arbitrage spread
- use market depth to evaluiate arbitrage volume (though my experience suggests that already the second best bid/ask is rarely tradable in this type of arb).
We actually traded equity/ADR arb a three four years ago and it was 1-3K per day per trader seat per (cross) market (taking into account you use bank infrastructure, depositary and lending).
Cheers,
Anton
)You are right saying that the implementation is far from being perfect (and somewhat useful). The code should be enhanced to
- better manage order states (rejected orders, etc)
- use limit orders to fix arbitrage spread
- use market depth to evaluiate arbitrage volume (though my experience suggests that already the second best bid/ask is rarely tradable in this type of arb).
We actually traded equity/ADR arb a three four years ago and it was 1-3K per day per trader seat per (cross) market (taking into account you use bank infrastructure, depositary and lending).
Cheers,
Anton
