Index futures arbitrage?

[moksha99]

I am currently trying ( TT Autospreader simulator) to see if I can Arbitrage Index futures between the CME Globex traded 1x Big S&P 500 SPM11 against 5 x Small S7P ESM11

Even if I manage to get low commissions and high speed ( arcade access)

The biggest risk I see is Legging and partial fill..... can wipe out the tiny profits just like that

Has anybody experienced this? using TT or any other tools like CQG etc

Also searching for short term arcade in USA to connect to CME using Global futures.com

email [email protected]
Thanks in advance

 

[Rhody Trader]

I wouldn't bother with this. Big shops with faster access and lower costs will always beat you to the punch.

 

[anley]

I wouldn't bother with this. Big shops with faster access and lower costs will always beat you to the punch.

Exactly, look who you're competing against and realise you're all going for the same amount of profits of which there is a limit. So who's going to end up with them overtime. You with a DSL modem connection, free software and a £350 Dell or them?

 

[moksha99]

Exactly, look who you're competing against and realise you're all going for the same amount of profits of which there is a limit. So who's going to end up with them overtime. You with a DSL modem connection, free software and a £350 Dell or them?

No I am talking about using TT Autpspreader like pro software at a cost of 1500 a month + Co location server renting + commissions below 0.6o per side + leasing CME individual membrship
like Advantage Futures or Global Futures
But using own capital for margin

SO my question is about Legging risk

 

[tommog]

the reason you are getting legged is because there is a lot of competition for the price you want. If there is 800 on the offer and there are 100 traders with 10 lots autospreading the same price then the fastest computers will get the 800 and the slower guys will have to have their 200 lots executed for a tick slipage (at least).

Thats obviously a simplistic example, in reality there will be about 000's+ lots at least going for that 800 if there truly is an arbitrage opportunity.

I have worked in prop firms for years so know about the IT infastructure and yes it is multiple times faster than just a normal modem at home. BUT, the banks and High Frequency funds have this niche sewn up. They have algo's hosted on the actual exchange servers and have lines to the exchange 100 times faster than even TT with a dedicated line will have. Its a shame because traditionally this is where locals would make their money.