Found an arb opportunity?

Discussion in 'Order Execution' started by FlyingSoros, Dec 29, 2010.

  1. if you look at WTI crude future on NYMEX vs. on ICE.

    often times you see the bid of one exchange > the ask of the other exchange.

    Is that a good arb opportunity?

    Thank you!
  2. I have thought about doing something like this in FX during the few exceptionally heavy volume minutes everyday. The spread through the different providers was a deterrent along with not being 100% sure which provider was "leading". Not to mention there were probably some latency issues in reality. The last time the .vix kicked up when all the currencies were volatile as hell (this last April?) there were some times where I saw IB and FXCM about 25 pips apart in GBP AUD.

    In the end I just basically scrapped the whole project because of some other issues but I would be interested to hear if you can successfully pull this off. IMO you will have to automate this if you want any chance of succeeding.

  3. that would be an arb opportunity indeed :)
  4. seeing something
    thinking something
    and trading something

    are three different things
  5. bone

    bone ET Sponsor

    Nope, you will get flipped. I personally know two traders with co-located servers and dedicated lines ($$$) who quit that trade.

    As was so profoundly mentioned earlier, what you see as a possibility on the screen and what you can indeed execute are two very entirely different things.