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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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Short RBOB long WTI spread.
Short Simple Crack Spread:
Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Strike
Type
Price
Order Type
Spread
7/3/2019 11:59
FUTURE
SELL
-1
TO OPEN
/RBQ19
19-Aug
FUTURE
1.9
LMT
23.3
7/3/2019 11:59
FUTURE
BUY
1
TO OPEN
/CLQ19
19-Aug
FUTURE
56.5
MKT
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