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Mechanical/System Trading with Statistical Edge
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Statistical Mechanics of Day Trading
Statistical Arbitrage
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long #gas #rbob short #oil #wti also known as simple crack spread
Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Strike
Type
Price
Net Price
Order Type
Crack
14.79
1/24/2018 11:10
FUTURE
SELL
-1
TO OPEN
/CLH8
18-Mar
FUTURE
65.22
65.22
MKT
1/24/2018 11:10
FUTURE
BUY
1
TO OPEN
/RBH8
18-Mar
FUTURE
1.905
1.905
MKT
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