DeeDeeTwo
Registered: Dec 2007
Posts: 623 |
05-13-12 12:56 AM
Quote from Shanb:
I would bet that most intraday program trading is not momentum based and is betting on convergence.
High frequency automated basket pairs is pretty much what most HFT firms are doing or some variation.
It's all about baskets, not pairs.
If you don't have at least 50 pairs in big long/short baskets...
And are not scalping it all like there's no tomorrow...
You are totally screwed.
Convergence used to make big money...
But, today, it just helps you stay market neutral...
So you can focus on capturing as much of the bid-ask spread as possible.
Like if one of your 50 pairs is VXX/VXZ...
Are you making money on the convergence...
Or are you capturing that $0.06-0.07 VXZ spread all day long...
And collecting roll yield on the former?
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