Looking for someone to write a system that can trade multiple pairs. (Written in C# and Easy/Power Language)
Strategy is very basic.
Read Parameters from Excel File
Take the ratio of prices (RATIO) of A & B Futures and calculate a moving average of that ratio (MARATIO) with params (from ExcelFile).
Calculate a spread [(RATIO - MARATIO) / MARATIO]
Calculate a Threshold based on SD of spread over a time period (from params)
If within Trading Times (set from Param file)
If Price > Threshold
Sell A at limit price
Once filled Buy B at Market
else Price < Threshold
Buy A at limit price
Once filled Sell B at Market
end
end
Once spread reverts back to % of SD (taken from params)
Reverse trade and flatten
Execution is important - should be able to passively get filled on one side
Also, should be able to throttle size shown based on instrument characteristics (param file)
Need a front end with buttons able to control each strategy
Save (Save state posns / avg prices) to SpreadSheet
Pause (Pause trading)
Flatten (flatten positions)
Exit (close tidily and exit Strategy)