I like your style! Nobody’s shaking you out of that long! I know you are referencing Buy1Sell2, and it does seem like you are being a bit mean. Anyway, been mucking around with IB’s scale order and I must say it looks like it would work well for either simple, price level based high frequency trading, automated gamma scalping, or averaging into a position. I used the automatic profit taking function and tried it with MES using a scale in price increment of 1.75 points and a profit target of 1.75 points. Completed two round turn trades at a profit before shutting it down. The next step is to create a gamma trade with either a long ES straddle or NTM ES put butterfly where I can get positive theta, positive gamma, and even positive vega using a 2-3-1 structure. The risk of unhedged scaling orders is extended moves in one direction. However one idea that should work is using multiple scale orders on products that will maintain market neutrality. I wonder if some of the moves where we have seen major equity indexes move opposite to one another is related to algo trading. Even there. however, a trader could simply use technical analysis for a spread trade idea between the indexes. If they zig, you zag. Such is the way of trading, I suppose.
No. I put on a calendar spread in ES options to reflect my neutral to modestly bullish outlook this week and to take advantage of term structure inversion.