Sounds like Swifttrade and their Arbitrage "strategy" hit up an ecn on the ask and bid up to another ECN punch out for your rebate. Thats a strategy my friends - snickers -
I was thinking of longer term merger or convertible types strategies as a way of parking capital while I trade off margin.
yeah i worked at this ATS firm before. they have around 6 mill of capital and absolute leverage ratio of 100:1. day in and day out doing ETFs. they get new equipments every 3~4 months. but what they do is virtually riskless. so for retail guys, we can only assume some risk.
A simplified equity arbitrage ATS example http://www.smartquant.com/help/tutorial2/index.htm Cheers, Anton
No, and stop flattering yourself. If that was the case, that would be an overstatement. I guess the correct term to describe that, ahem..., strategy would be "practically useless".
Well, this is just a simplified example that shows how to do basic ATS development with QuantStudio / QuantDeveloper, nothing more, nothing less. The strategy itself works fine and a lot of riskless profits have been earned this way, also with ADR/GDR arbitrage (especially if you sit on BONY/Bloomberg ADR order book ) You are right saying that the implementation is far from being perfect (and somewhat useful). The code should be enhanced to - better manage order states (rejected orders, etc) - use limit orders to fix arbitrage spread - use market depth to evaluiate arbitrage volume (though my experience suggests that already the second best bid/ask is rarely tradable in this type of arb). We actually traded equity/ADR arb a three four years ago and it was 1-3K per day per trader seat per (cross) market (taking into account you use bank infrastructure, depositary and lending). Cheers, Anton