Pair Trading Strategy Journal

Discussion in 'Journals' started by jonnysharp, Aug 18, 2008.

  1. Thanks Don. I tried their Demo TWS, but it seems I can combo trade only option/stock or option/option (and more combinations of futures etc) but not stock/stock. any insight? dig deeper?
    TIA
     
    #1631     Oct 19, 2009
  2. I use stock/stock combos all the time. Try dragging the stocks from the trading window into the Combo window.

    Don
     
    #1632     Oct 19, 2009
  3. ej420

    ej420

    Yeah, IB does support stock combos, but using limit orders on them for day trading does not work well in my experience as IB waits for the limit to be crossed quite a bit to ensure both legs are filled (they don't want any execution risk.) In my experience, trading pairs on shorter time scales requires you to assume some of the legging risk yourself. I use my own spreader which quote all legs of the spread in order to achieve the limit price.
     
    #1633     Oct 19, 2009
  4. saico

    saico

    Daniel, you need to change under Generic the Leg Type to STK.
     
    #1634     Oct 19, 2009
  5. I agree that IB waits until the limit price is slightly exceeded before it executes. Although in fast moving markets, like at the open, the price must be exceeded by a considerable amount before the order executes.

    However, the alternative of legging-in in a fast moving market also has pitfalls. I have had one leg or the other hang sometimes for minutes dispite the fact that they are market orders.

    I pretty much stick to Combo orders as the least evil method.

    Don
     
    #1635     Oct 19, 2009
  6. saico

    saico

    I enter my trades the old fashioned way using limit orders and executing leg by leg manually. Never had problems with IB. Fast or slow markets. Started with them almost 10 years ago.
     
    #1636     Oct 19, 2009
  7. g

    Hi yobo

    i,m trying to understand the logic of being long both etf's

    take tlt/vti
    On march 31 09 the 100 dma had a cross over of the pair.
    this entailed ,for this illustration, approx. 21k for TLT (20%/200sh) and$...$31664 (80%..800sh...for VTI) .
    From june 12 09 to july 8 there was a huge DD while 100dma
    was still keeping the ratio in place.
    The pair is still trending down but the gains in one vti are offset
    somewhat, by the long bond.
    I know i must be miss understanding something about this.


    thanks and cheers
    john
     
    #1637     Oct 19, 2009
  8. waltbx

    waltbx

    #1638     Oct 20, 2009
  9. waltbx

    waltbx

    Hello Mark,
    Nice profit.
    A question for you on why you thought this would be profitable. On the 12th, when you entered the trade, the trend was going against you. On the 14th an analyist upgraded TIN. I'm seeing this as a lucky trade, profitable because of the upgraded. I would not have chosen this based on the PTF graph I saw. What made you choose it? I know you are using Wealth-Lab and I don't know how to read the graph you attached. I'll need to learn.

    Walt B
     
    #1639     Oct 20, 2009
  10. NKNY

    NKNY

    HI magan, curious what software you use..?

    Thank you

    Nick
     
    #1640     Oct 21, 2009