Pair Trading Platform

[Rehoboth]

Is there a platform that can do the following:

Stock A Bid 10 Ask 11
Stock B Bid 15 Ask 17

So to buy the pair AB at market Would be (11 - 15) or -4

To sell the pair at market would be (10 - 17) or -7

If I was willing to sell the pair at -6.5. I would like to float one side based on the other side of the other stock. So It would put an order to sell Stock A at 10.50 based on that it could go market on stock B at 17 and get the -6.50 fill. Also it would auto adjust, meaning that if the Ask of stock B lowered to 16.75 it would lower the order of stock A from 10.5 to 10.25.

Also being able to incorporate ratio into the equation would be nice.

 

[MGB]

Check out http://www.pairtrading.com to see if they have what you're looking for.

 

[Rehoboth]

it appears they dont

 

[jimrockford]

IB's combination orders provide this sort of execution, where two or more legs of a combination order will execute, but only if the combined price of the entire combination meets your threshold.

I am not certain that IB will allow a combination order involving two different stock legs, which is what you want, but I think it is worth checking into this question.

 

[Kevin Schmit]

Quote from jimrockford:

I am not certain that IB will allow a combination order involving two different stock legs, which is what you want

Not natively, last I checked.

But various IB front-ends, like ZeroLine or Ninja, will do it.

 

[jimrockford]

Quote from Kevin Schmit:

Not natively, last I checked.

But various IB front-ends, like ZeroLine or Ninja, will do it.

What do you mean by "natively"?

 

[4XQs]

Are you sure about Ninja, I don't think they support spreading - unless you write some code of your own.

 

[bankei]

You may want to check out :
http://www.zoetrading.com/products#PairTrading

Combines our Automated Execution and Trade Management system with a pairs trading strategy interface. Take your statistical arbitrage trading to the next level with our complete portfolio pairs management system.

Continuously cancels/replaces limit orders to achieve spread price targets with minimal slippage

Position management system executing trades based on position fluctuations throughout the day

Can set multiple target levels for each pair and ability to change them on the fly

 

[Trader922]

Sounds like you want a version of this for Stocks.....

http://www.tradingtechnologies.com/autospreader.aspx

Maybe call TT and see if they know of anything?

This seems like it could get messy very quickly if the software is poorly designed a disconnect causes it to not execute the legs correctly.

Eric

 

[Rehoboth]

Thanks for the input, the zoe has very little information on the website. TT is not stocks.

I know that one must exist because have been seeing executed with risk arbs spreads for years.