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Mechanical/System Trading with Statistical Edge
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Statistical Mechanics of Day Trading
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$100, flat DJI - SP500
Trade entry.
Exec Time
Spread
Side
Qty
Pos Effect
Symbol
Exp
Type
Price
Order Type
Spread
8/5/2019 11:36
FUTURE
SELL
-1
TO CLOSE
/MYMU19
19-Sep
FUTURE
25886
MKT
13945
8/5/2019 11:36
FUTURE
BUY
1
TO CLOSE
/MESU19
19-Sep
FUTURE
2867.5
MKT
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