I know TT is not for stocks, I just mentioned it as a potential lead to find something that is widely used. Did you run across this software? I just found it while searching http://www.htxpro.com/index.html If possible, please post some of the software you find as I am interested in similar functionality. Thanks, Eric
The Zoetrading platform ATS trades through RediPlus and actually submits orders and automatically cancels and replaces fishing orders in the market to get you the best spread price possible based on your trading criteria. The pairtrading programs have one click trading as well as automated executions. They are also through RediPlus as they are affiliates with Bright.
Are the Zoe trades routed through their own servers to RediPlus, or is Zoe an ISP compatible to RediPlus? IB's combo traders is decent, it has a synthetic price ladder which is sweet, but I've had it crash on me - usually in the closing minutes of the trading session. Not enough people use it for them to dump alot of development effort into it. RediPlus 8.1 has a nice spread trading functionality, but there isn't one-click trading with a synthetic price ladder. Very slow to use when the market is really moving around and ungainly when you want to be aggressive. PairsTrader looks nice, but again, not one-click. Spreadsheets. UBS has a very nice pairs trading functionality and dedicated server farm - but the commissions are almost double GS, and the risk controls are lacking. Trading Screen Pairs XL is nice, but at $1500 a month to run a spreadsheet with DLL links it is gouging to say it politely. Finessa, Apama, Portware, Orc are very nice dedicated server-based systems and are according priced as such. All I need is a slick third-party ISP solution for RediPlus that enables one-click trading on user-defined spreads. But I don't want to run my orders through a third-party's servers.
Yes, here is a link to a Futures Magazine article on how to trade spreads in TradersStudio. Which I wrote a few years ago. http://www.allbusiness.com/banking-finance/financial-markets-investing-securities/10584332-1.html
There used to be a really good Pair Trading order management software that did what the OP was asking for called Happy Trader. Weird name I know, but I haven't seen the softwre in a while so I am not sure if they are still around. But if they are then definitely take a look at it.
TradersStudio can be used to trade single contracts we will put the single contract results together using its portfiolo features. You will create a portfiolo which is the indivdual contracts of both Corn and Wheat, for Corn we use an intermarket of Wheat and for Wheat we use an intermarket of Corn. Sub CornWheatSpread(SLen) Dim MKSym As String Dim CleanSymbol As String Dim Spread As BarArray Spread=Close-Close Of independent1 If Spread=Highest(Spread,SLen,0) Then BuySingleContract(thismarket.Symbol(0)&"BuySide",1,0,Market,Day) End If If Spread=Lowest(Spread,Slen,0) Then sellsinglecontract(thismarket.Symbol(0)&"SellSide",1,0,Market,Day) End If End Sub Here is the code for SellSingleContract, Buy is similar. Sub SellSingleContract(SignalName,Size, Price, OrderType, OrderTime) If IsActiveCornContract() Then Sell(SignalName,Size,Price,OrderType,OrderTime) Else ExitAllTrades End If End Sub We only want to generate orders for a contract while it is the active one after that we want to exit all positions. Here is the code for IsActiveCornContract. This show the rules for which contract is active for the corn. Function IsActiveCornContract() Dim lastChar As String Dim fileYear As Integer Dim bOK As Boolean Dim CleanSymbol As String bOK=False CleanSymbol=thismarket.Symbol(0) If InStr(thisMarket.Symbol(0),".") Then CleanSymbol=Left(CleanSymbol,Len(CleanSymbol)-4) End If lastChar = Ucase(Right(CleanSymbol, 1)) fileYear = CInt(Mid(CleanSymbol, 2, 4)) If lastChar = "Z" Then If BetweenDates(Date, 8, 23, 11, 23) Then bOK = True End If End If If lastChar = "U" Then If BetweenDates(Date, 6, 23, 8, 22) Then bOK = True End If End If If lastChar = "N" Then If BetweenDates(Date, 4, 23, 6, 22) Then bOK = True End If End If If lastChar = "K" Then If BetweenDates(Date, 2, 23, 4, 22) Then bOK = True End If End If If fileYear = Year(Date) Then If lastChar = "H" Then If BetweenDates(Date, 1, 1, 2, 22) Then bOK = True End If End If If fileYear = Year(Date) + 1 Then If lastChar = "H" Then If BetweenDates(Date, 11, 23, 12, 31) Then bOK = True End If End If End If End If IsActiveCornContract=bOK End Function
LEK's trading software has a pair trader that I think will preform what I was looking for. I dont think there would be a third party problem. Too bad I dont clear them. I have never used redi+ but other traders have told me that its not quite what I would be looking for, maybe they are wrong...i dont know. I have heard of people using a dollar portfolio approach to pairs trade, that seems a little complex for a simple trade. Does the IB software float one side based on another?