Please have a look at the following thread, it might help you: http://www.elitetrader.com/vb/showthread.php?s=&threadid=143772 I think this system can be modified and used to trade ETFs. Am I correct Murray?
Yes, it can and in fact I am using a variation of this system in Trading ETF's. I am also working on a paper on trading ETF's using Future based system which will be released this week to all people registered on TradersStudio.com.
I have had several instances over the years of poor execution speed in shorting ETFs. None however had the volume of SPY. My order has also been refused due to "no shares being available to borrow." It was IWM, go figure.
Had come across the following interesting threads regarding ETFs: http://finance.yahoo.com/news/Specialty-ETFs-Are-They-Worth-ifunds-15345999.html http://finance.yahoo.com/news/TradingMarkets-7-ETFs-You-tm-15374959.html?.v=2 The following link is not related to ETF, but to stocks: http://finance.yahoo.com/news/TradingMarkets-7-Stocks-You-tm-15375287.html?.v=1 Please give your opinions regarding the above. thanks!
regarding interest, if you are holding overnight with IB, they offer short interest so you would be getting a small % back for your borrowed stocks. for that aspect, it is better to be short SPY though the other factors may make it better to be long the inverse.