Charting software for pairs trading?

Discussion in 'Trading Software' started by dis, Apr 15, 2003.

  1. dis

    dis

    Hello,

    Could someone recommend charting software capable of displaying the intra-day performance of a pair, preferrably in real-time?:

    i-d perf = symbol1_%change - symbol2_%change

    Thanks,

    dis
     
  2. garbo

    garbo

    Maybe this is not what you're looking for, but couldn't you use Tradestation?

    Seems like it would take just a couple of minutes to set up a chart showing percent change of equity 1 minus percent change of equity 2.
     
  3. There is a long post at Tradestation World including Tradestation code to implement a pairs trading strategy.

    IF you are interested I could send it to you or post it. But, it is long.

    DougS
     
  4. Eddy

    Eddy

    You may as well use Investor/RT from linnsoft.com

    Here is the tutorial for creating a pair instrument :
    http://www.linnsoft.com/tutorials/pairsTrading.htm

    This page is not fully up-todate as I think that they added in the mean time some feature for generating automatically historical intraday data.
    Anyhow, after this step, you have access to all the usual realtime charting features (ie the same one that you get for any common stock).

    Eddy
     
  5. WinSum

    WinSum

    dougcs,

    Could you plz post the TS link. I could grab it from there so you don't need to repost it here since it is long.

    Thanks.

     
  6. bone

    bone ET Sponsor

    CQG or Bloomberg.
     
  7. I haven't found anything simpler to use or better than qcharts for charting spreads.
     
  8. WinSum

    WinSum

    Thanks dougcs.

    I'm registered with TS and could access both the links. Interesting stuff.

    In return for the link info, I like to offer a pair trade that you might find interesting. Take a look at EXPE/USAI. When USAI first announced stock swap merger in exchange for EXPE shares, that was a beauty of a pair trade. I pair traded these stocks based off a theoretical value of EXPE with adjustment for the risk premium. The profit on each trade was small but the win ratio was 100%. No loss. However I could not trade it anymore except maybe sometimes in the morning during the first few minutes of the open. The arbitrage opportunity no longer exist for me because EXPE is not as fluid anymore. The risk of partial fill on EXPE is more likely now than before and that invalidates my strategy.

    :D
     
    #10     Apr 15, 2003