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Chris,
>Anyone have an idea of how to translate an IWM price (IWM is the Russell
>2000 ETF -- very active now) into comparable ER2 price? Any websites out
>there for this sort of thing? I would like to figure out how to translate
>price levels on IWM to be able to place limit orders based on them on ER2.
Just looking at the prices on both, it seems obvious to me that
ER2 prices are approximately 10X IWM prices. ER2 closed at 753.2
today, while IWM closed at 74.45. That's pretty clearly a 10X
relationship.
1 basis point on ER2 = $100, which is equivalent to 0.10 points
in IWM, so 1000 shares IWM will also move about $100 per 0.10 IWM
points or 1 ER2 basis point. For a spread position between both
instruments to have comparable movements, you'd need 1000 shares IWM
per 1 contract ER2.
I once tried developing a strategy to arbitrage QQQQ against NQ
(this wasn't done in Tradestation). While I did find inefficiencies
tick-by-tick, anything significant that I could trade typically
lasted a fraction of a second, not long enough to exploit.
-Alex
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