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Date/Time: Sun, 19 May 2024 11:19:32 +0000

Post From: Spread Trading Programming

[2019-02-28 20:28:59] Link To Thread - Link To Post [Go To First Post]
TraderD - Posts: 56
Hello, I'm looking to create an automated spread trading system in SC and I'd appreciate it if you could point me in the right direction. 1. I want the system to start by placing multiple live limit orders in various markets according to a certain spread price between 2 instruments, automatically cancelling/replacing according to a fixed offset of the bid/ask of a stock or futures contract; when filled on one side, the system sends an offsetting order to hedge the position with another symbol. 2. since this is a market-making style of trading and will be performed over a large number of symbols, what would be the lowest latency/resource approach? 3. do you know of any relevant sample code or 3rd party studies that could be referenced? Thanks for your help.