Except for the obvious mispricing, this strategy doesn't make sense to me. You end up with a buy and sell order (no execution) at the same broker... I can do that manually....
I think you do not understand the strategy and it is impossible to make this kind of operation manually once an Arbitrage situation occurs. You need to make a decision in 1 ms in other case Arbitrage situation will be gone and the price on a fast broker and a slow one will become identical.[/QUOTE]
Okay, explain it to me then.. because the way Boris explains it, that when you get a buy opportunity is you end up actually cancelling the sell order on the other broker and putting a the sell order on broker B... therefore having a Buy and Sell order at the same broker at the same time... not actually trading...
So I don't get that really....