I typically do longer-term investing but have a trading question - some suggestions would be much appreciated. I am doing multi-day ETF pairs using IB. I am using liquid ETFs although some can be fairly low in price (e.g., EWJ). My trades involve putting on and taking off pairs - e.g., long $1m XLY, short $1m XLP. The typical duration of a trade is 5 days. I am trying to find the right execution strategy so as to: 1) Minimize trading costs (a bigger issue with low-priced ETFs). 2) Keep market exposure to a minimum (limit orders are hard because one side of the pair may get executed and not the other, leaving me with exposure for some period of time). 3) Get the best execution. I currently use combination orders on IB, sometimes with "add liquidity" sometimes without depending on the ETFs involved. I've experimented with VWAP, TWAP as well. How would you execute this?