[DonsDiscountGas]

So you placed limit orders at the same time but sometimes only one of them filled? Do you think it would be possible to reduce the frequency of that happening by adjusting the limits? Less profit per arb but reduce risk of missing a leg

[kachoio]

When you place limit orders for such markets (high spread and mediocre volume at best) they don’t get filled quickly. You just bid at best_bid + 1c and wait. I think the average fill time is ~25 minutes if I remember correctly. For this specific strategy, there’s no workaround for avoiding the directional bets. Every arb is a directional bet that eventually got arbed.