Synchronizing Multi-Leg Tick Data for Spread Arbitrage
Summary
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 permits a calculation using one fresh quote and another leg’s older quote, while waiting for later updates can trigger another calculation. The document recommends adding checks for quote age or timestamp alignment, along with signal deduplication or a trading cooldown, to reduce stale-data and repeated-signal risks.
It also reports that the author observed different tick ordering in simulated and live environments, and speculates that concurrency may explain the difference. That explanation is not independently demonstrated in the post, and the claimed ordering behavior may depend on the specific gateway or simulator. The examples provide implementation ideas but no measured latency, arbitrage profitability, or systematic test results. The central trade-off is between reacting promptly with potentially stale leg data and waiting for better synchronization at the risk of missing an opportunity.
Key ideas
- A spread can be recalculated whenever any leg receives a tick, using each leg’s latest cached quote.
- Using stale quotes can create misleading apparent arbitrage opportunities.
- Quote-age and cross-leg timestamp checks can filter calculations with poorly synchronized inputs.
- Signal deduplication and cooldowns can limit repeated reactions to updates for the same opportunity.
- The proposed explanation for simulated versus live tick ordering is speculative and may vary by environment.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.