Marketability Filters in Spread Execution
Trading Algorithms

Abstract

We introduce a new Global Marketability filter and demonstrate the use of this filter in a Spread execution algorithm. We demonstrate that traditionally used filter is suboptimal in capturing targeted Spread in high frequency Pairs execution strategy. We further show the new proposed Global Marketability filter leads to better performance by capturing the targeted Spread, lowering lagging risk, and minimizing Stop Loss initiation.