What algo can I use at Interactive Brokers to pair-trade US stocks against foreign stocks?

Nomad Trader

Nomad Trader

I'm trying to execute a pair at a ratio limit.

- ScaleTrader would be perfect but it doesn't work for stocks in different currencies.
- Combinations has the same problem of not working for stocks in different currencies.
- SpreadTrader only does stock vs. futures or stock vs. options but not stock vs. stock.
- BasketTrader can't do ratio limits.

Is it really true that they don't have a decent pairs-trading algo?
 
Is your requirement to do stocks in different currencies? Do you need to use forex rates to calculate hedge ratios on the fly?
 
If discretionary, calculate your ratios and order sizes on each side on excel and upload the basket to IB.

But I strongly recommend to do it the algorithmic way by hooking into the IB api and run a frontend which is custom tailored to pairs trading,, not sure it exists or not but should not be too difficult to write if you have coding skills.

Nomad Trader said:
I'm trying to execute a pair at a ratio limit.

- ScaleTrader would be perfect but it doesn't work for stocks in different currencies.
- Combinations has the same problem of not working for stocks in different currencies.
- SpreadTrader only does stock vs. futures or stock vs. options but not stock vs. stock.
- BasketTrader can't do ratio limits.

Is it really true that they don't have a decent pairs-trading algo?
More...
 
traider said:
Is your requirement to do stocks in different currencies? Do you need to use forex rates to calculate hedge ratios on the fly?
More...
Yes, the stocks I'm trading are in different currencies. And yes, if I could do fx adjusted ratios then that would be wonderful, otherwise just a simple price/price ratio would be a nice start.
 
GRULSTMRNN said:
If discretionary, calculate your ratios and order sizes on each side on excel and upload the basket to IB.

But I strongly recommend to do it the algorithmic way by hooking into the IB api and run a frontend which is custom tailored to pairs trading,, not sure it exists or not but should not be too difficult to write if you have coding skills.
More...

Thanks, indeed, this is the way I'm currently doing it. But what I'm seeking is a proper IB native algo that will be much more efficient.
 
You must log in or register to reply here.
Back
Top