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Mechanical/System Trading with Statistical Edge
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Statistical Mechanics of Day Trading
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scale in #russell #nasdaq pair " : average @10.95
Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Strike
Type
Price
Net Price
Order Type
Spread
12.12
1/31/2018 12:00
STOCK
BUY
200
TO OPEN
IWM
ETF
156.81
156.81
MKT
1/31/2018 12:00
STOCK
SELL
-200
TO OPEN
QQQ
ETF
168.93
168.93
MKT
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