Sequential pairs execution with liquidity leans

Sequential tickets and the hard-leg

Pair tickets are sent in sequence. The short sale is executed before the long purchase. The two sides are not sent as one simultaneous two-sided order.

Sending both legs at the same time tends to complete the buy while leaving the short sale unfilled. The short sale is the hard-leg because that side must be filled first.

Lean on visible size first

A resting offer of 5,000 shares or more, one or two cents from the last print on the intended long stock, is treated as a solid offer to lean on before placing the short.

That liquidity-lean is permission to sell the short stock first. The plan is to lift the leaned-on offer only if the short starts rising.

Flatten the short or complete the hedge

After the short fill, a decline in that stock can be covered as a standalone result without ever buying the second name.

If the short stock rises after the first fill, the long stock is bought at the leaned-on offer. That dollar-neutral-completion finishes a dollar-neutral pair instead of realizing the short-side loss.

The first-leg entry is supposed to follow analysis that holding the pair at the observed prices is theoretically preferable to taking a loss if the short stock moves against the position. The sequence is then a crutch-pair: the short is opened alone, and the long is added only if the short moves adversely.

The same sequence across sessions

Correlated pair positions may be held for days or weeks. The same sequencing rules are not limited to same-session daytrading.

A multi-session-pair-book can keep those correlated pairs open under the same hard-leg and liquidity-lean rules.