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Spread Arbitrage / Pairs Trading

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TONY DAVIS

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1 year 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, 2 replies.

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1 year 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 year ago #281052

Thanks for your response Tomas.

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

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Patrick Stettler

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7 months ago #283039

Within Data Manager, is it possible to create a new instrument in Data Manager which is set up as the spread between two other instruments?

Possible examples: NewUnd = Stock_A – Stock_B or NewUnd = Stock_A / Stock_B

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tomas262

Administrator, sq-ultimate, 2 replies.

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7 months ago #283069

Hello,

not yet available but it is a planned feature to have. Currently you can import spread chart data directly as OHLC data if you have it

For example exchange traded futures spreads have  their own OHLC data

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