If I want to long ES, short YM (after looking at several factors) and don't want to expose myself to more than X contracts, what is the best way to scale into it at Y units? So for I have this: 1. ES spread is 860.25/860.50, and YM is 8030/8032 I will put in LMT ES @ 860 and LMT YM @ 8028. Risk is that I will get filled on one and not the other, thus losing on direction. 2. Set STP orders to buy ES at every 2 points on the upside, and STP orders to sell YM on the downside for every 2 points of ES. Risk is I will get killed in a choppy, sideways market and will have to wait for a move outside of the range. 3. After every order is filled, I reset the STP order for ES/YM (I got filled on YM at ES 858, ES 856, ES 854, etc.) As ES ticks back up to 856, I buy ES at 856, 858, 860, etc. Then I sell more YM at ES 858, 856, etc. Risk of convergence between ES and YM is ongoing, as I will be on the wrong side of the trade. I will make money if the market trends because I will have not hedged away the upside/downside. 4. Once I've scaled into the trade, I will exit the entire position once a profit target is reached. Risk is I will never reach that target Maybe I shouldn't ratchet down/up on buys/sells and just wait for a direction? Although I am trying to profit on divergence... Thoughts?