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Spread Arbitrage / Pairs Trading

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TONY DAVIS

Subscriber, bbp_participant, customer, community, sq-ultimate, 6 replies.

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1 week ago #280991

Hello all,

I’ve been listening to the better system trader podcast (highly recommend to any algo trader) and I’ve heard a few people mention pair’s trading or otherwise know as spread arbitrage.

Basic example is finding two highly correlated instruments and when they diverge from there correlation you buy one instrument and sell short the other hoping to catch the movement back into correlation for a hedged profit (in theory).

I’ve tried to setup a basic system in the Algo wizard but I cant reference the second pair to initiate the entry on the same algo.

Has anyone had any luck doing this? Do I need to make two separate algo’s for each of the pairs that mirror each other to make this work, or is there a way to trade both pairs and reference both pairs in the one algo?

Thanks again for your time and consideration in this topic.

 

Tony.

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tomas262

Administrator, sq-ultimate, 1 replies.

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1 week ago #281034

Hello,

we have thought about adding this into a future SQ update. We have no target date  when this could become available in StrategyQuant though

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TONY DAVIS

Subscriber, bbp_participant, customer, community, sq-ultimate, 6 replies.

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1 week ago #281052

Thanks for your response Tomas.

I’ll keep an eye out in future versions for any updates.

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