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

Title: Feature request: increased bid-ask spread protection
Post by: Chris Wu on November 16, 2016, 05:05:42 am

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

Title: Re: Feature request: increased bid-ask spread protection
Post by: admin on November 16, 2016, 05:05:42 am

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

Title: Re: Feature request: increased bid-ask spread protection
Post by: Chris Wu on November 16, 2016, 09:30:49 am

Terrific, I didn't know about that.  Thank you.