Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
13 documents
A forum user asks how to check whether enough funds are available before starting a spread-arbitrage order algorithm. The stated motivation is to avoid opening only one leg of a paired trade when the account cannot support both sides. A reply points to…
A forum exchange discusses why VeighNa’s StatisticalArbitrageStrategy example uses a ten-unit price offset when starting its spread-trading algorithm. The questioner describes the order logic: a leg order is sent when the spread order price would otherwise…
A trading-system forum discussion explains why a conventional CTA strategy that works on outright futures may fail when applied directly to exchange-listed spread contracts. The reported symptoms include missing backtest data and occasional trades with…
The discussion addresses how a spread strategy should handle ticks arriving at different times for multiple contracts. It describes a latest-available-data approach: cache each leg’s most recent tick and recalculate the spread whenever any leg updates. This…
The discussion explains why an exchange-listed arbitrage contract can show a zero best bid or ask. A forum user reports seeing zero prices while collecting top-of-book quotes. A reply says those quotes appear when traders submit orders directly in the…
The post describes a timing issue in a live spread engine for a two-leg arbitrage. At startup, each leg has zero bid and ask volume, so the engine waits until both have received data. Afterward, however, it may calculate a spread as soon as either leg…
A trader asks how to open two related futures spread positions only when both signals are valid: a forward arbitrage in one contract pair and a reverse arbitrage in another. If either condition is missing, neither position should be opened. The reply points…
This event announcement introduces spread trading as a relative-value approach that focuses on price differences between related futures contracts or between futures and spot instruments. The idea is to trade whether a spread has moved outside a reasonable…
A user reports that the CTP interface can retrieve standard arbitrage contracts for Zhengzhou and Dalian exchanges but cannot find the corresponding contracts for the Guangzhou Futures Exchange. A community reply explains that these contracts are available…
This forum exchange discusses why holdings for standardized futures spread contracts may not appear consistently through a trading platform's position query. The question reports differing behavior across futures firms using CTP connections: one firm…
The post explains why a VeighNa user may be able to retrieve an SHFE standard spread contract through contract lookup but fail to submit an order. It attributes the problem to a mismatch between exchange combination contracts and the spread trading module’s…
This forum discussion concerns a spread reversal strategy whose two legs sometimes fill together in backtests and sometimes fill days apart. One reply points to a spread-strategy module as a way to address legging. A longer response suggests possible causes:…
This event announcement outlines two educational topics: futures and cash-futures spread trading, and machine-learning methods for developing CTA signals. The spread section describes analyzing related contracts through their price difference, looking for…