Hey guys. I am a newly graduated computer science / math student, specifically focusing on artificial intelligence, machine learning and high speed computation. Rather than continuing my career in industry I decided to take a year or two to see if I could create a black box AI system which runs 24/7 and automatically detects / trades on stat arbs on all possible tickers coming out of whichever brokers it is connected to. Other than micro econ 101 I have no background in finance, so I am learning as I go, I am a quick study but learning all the intricacies is taking me a few months. So rather than continue my pattern of trail, profit, error, Iv decided to try reaching out the online community to see what you guys think and if you have any wisdom, hints, suggestions or offers. To date Iâve yet to create a steady stream of profit to cover living expenses, thus I am still living off the generosity of family. I have good risk management (hedging etc), so that on any given trade the maximum amount of money I can possibility lose is just a few hundred, so my trading capital is secure. So this is how its gone so far over that past few months. Iv broken even with the amount of good trades / bad trades doing this research overall. At best it was producing XXX% profit daily on used capital (on small test amounts), at worst it was bleeding money. The total volume the system has trade has is several million USD over the test period (I test with the smallest possible lot sizes also). There has been three basic things that seems to happen with each new arb idea I implement. Either 1) It works on paper trading accounts and doesnât perform the same on live accounts. 2) It works on the live accounts but the brokerage shuts down the account after a week of trading due to 'off market' trading. (Yeah I sense something fishy going on too) 3) It works on both paper and live, but the slippage on the live trades seems to lead to a loss in the long run. Ie. a bunch of good small trades. a few huge losses though. Iâve boiled it down that for good automated arb you need two things. The first is small costs, which means small spreads and commissions. The smaller the cost the more opportunities the AI can take advantage of. Second is the amount of slippage, this seems to be the make or break factor for the arb ideas Iâve tried. Execution speed and market volatility seems to be the biggest factors. I can see how big institutions have a much easier time of doing this than retail API traders, since they most likely have the best costs and the fastest execution times (makes me consider just getting a job doing this for a large institution). I have started looking at different brokerages and different levels on the exchanges (not that id be able to afford most of those options) to try to reduce trade costs. For execution speed I am planning on trying to run the box on a fiber optic connection in my city to reduce latency times, even though some of the brokers I use seem to have high latency to the markets (miliseconds make a world of difference apparently). As for slippage I have started playing around with a few ideas using limit orders and broker based conditional orders. So far iv been testing with purely market orders, which occationally lead to some really bad fill prices. The problem is that with most stat arb strats I use, its essential that all my orders get filled or none. On a single exchange this might be possible but some of the stat arb strats the AI system has created invokes multiple equities on different exchanges / brokers. I am hoping that anyone with some experience doing stuff like this, either automated or by hand could help me solve some of these problems. Even someone with general trading experience might be able to help me decide which brokers I should try trading on, maybe even trying to place black boxes on-site at the exchanges. I really need to figure out the best way to deal with slippage too, so if anyone knows any ideas, like combination of order types I can do to minimize slippage or maybe even analyze market conditions to prevent trading at times of high possible slippage would make my day. Any publicly known arb strats that I could research would be helpful also, I donât expect anyone to give away their golden goose though (I have yet to look at option arbs). Feel free to reply and let me know what you think of the career path I am trying and if I should just get a real job. Thanks to everybody who took the time to read all of this.