Order Execution in spread trading

The key word is simultaneous. Try making your trades simultaneous market on close (MOC).

quickg said:

When you start a spread(TED, NOB etc), would you buy at the bid or at the ask? Sell at the ask or at the bid?

Or would you use market order?

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Market orders, you need simultaneous market orders to place a spread.

If using limit order, would you miss one of the trade?

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With any limit order you risk the possibility of missing the trade all together.

If you can enter one but miss one side

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When you put on one leg. Even for a moment, you do not have a spread or its protection. Trades must be done as near as possible at the same time!

ERA said:

with treasuries and ED's there is plenty of liquidity to get both sides done at a fair price.

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What Era says here is right on. If you have excessive liquidity you can go at any time, like in interest rate vehicles. But for must trades you only get that sort of liquidity on the close. So usually we go with “Market on close,” trading spreads.

For other spreads look to enter at a quiet period in the market, I have found going with the last trade price adequate to get both sides filled.

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He must be using limit orders here. Other wise this is a good way to get your head handed to you.​