Hi everyone,

By using the new Atreyu brokerage model, it's now possible to route orders to specific US exchanges. We created a tutorial that uses tick data to capitalize on inter-exchange arbitrage opportunities that occur when the asking price on one exchange is lower than the bid price on another exchange. We tested the strategy over January 2021 and it generated a 34 Sharpe ratio. 

Importantly, some of the performance of our algorithm may be attributed to the assumption that the quotes in the tick slice are still available by the time our orders reach the exchanges, which may not be true in live trading.

Review the attached backtest to see how the algorithm works. The full tutorial is available here.


Derek Melchin