Price Improvement in VeighNa’s Statistical Arbitrage Template

Summary

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 be less aggressive than the opposing best quote. They ask whether the offset should instead be based on a multiple of the contract’s minimum price increment.

The reply says the parameter is only an example and should be adjusted to actual trading conditions. The exchange offers no test results, execution analysis, or recommended sizing rule for the offset. It leaves open how to choose a suitable value across instruments, spreads, liquidity conditions, and order urgency, so the discussion is a brief implementation clarification rather than a validated execution method.

Key ideas

• The strategy template’s price offset is presented as an example parameter.
• The forum question links leg-order submission to the spread price relative to the opposing best quote.
• The suggested offset should be adapted to actual trading conditions.
• The exchange provides no evidence or general rule for setting the offset.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.