Pair Trading Lab Helpdesk & Forum
Pair Trading Lab => Suggestions And Feature Requests => Topic started by: Chris Wu on November 16, 2016, 05:05:42 am
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Hi,
I have a suggestion for the PTL Trader. I think if you add in a feature where the program won't trade a pair that has spreads over X amount. For example, set X = 0.10. PTL Trader won't trade any pairs that have a spread of over $0.10. This will probably prevent disasters in very volatile markets where spreads become big. Thanks.
Best regards,
Chris
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Hello Chris,
the protection again increased spreads is already there. This is the reason why there are two Z-scores - Z-score ASK and Z-score BID. If spreads grow, the difference between both Z-scores grows too and prevents entering position.
This protection is there since the first version of PTL Trader. Since version 1.3.0, both Z-scores are displayed separately.
Karel
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Terrific, I didn't know about that. Thank you.