The Pairs Trader Execution Algorithm is designed to enter both Long and Short simultaneously.
A trader wishing to buy a nearby futures contract and sell a farther deferred contract may do so by right clicking and enabling the strategy's pair.
The trader selects the first default instrument (Long) and types in the instrument of the second instrument (Short).
When the system is enabled, market orders are executed in both markets.
In addition, a spread filter has been added to limit the spread differential between the two markets. This spread does not refer to the spread between the pairs, but rather the cumulative bid/ask of both instruments.
To analyze charts for pairs trading you may subtract the first instruments price from the second.
Instrument 1 (Long) Crude Oil 06-18 65.38
Instrument 2 (Short) Crude Oil 09-18 64.57
When both instruments are plotted the current price would show up as $0.81.
Currently the TOS platform provides traders easy access to plotting both exchange traded and synthetic spread markets.
The pairs trading execution algorithm for NinjaTrader7 can be used not just for synthetic at market calendar spread execution, but also for mixing instruments.
Please test the strategy on simulation until you feel comfortable with its operation.
No strategy is included, this is an order execution tool. The trader must decide when to buy and sell the pair.