Is it trustable? It seems like you'd need custom slippage to reflect the spreads (which can be 1 - 3% at times), and I'm wondering what price is used if you place an order before the first transaction of the day?
As an example, VMIN is a relatively new ETF. It's like XIV, except it shorts VIXY, longs SVXY and XIV, and also short sells an arbitrary short term VIX future or two. It has more leverage than XIV. In the morning, shortly after the market open, the market maker is not active, and the bid/ask spread has been 20/30 whenever I've checked. After that, its usually within 30 cents of each other. If my algorithm were to buy after the bid/ask spread is set but before the first recorded transaction of the day, what price would it get?
I.E. lets say the previous day it closed at $20. The next day, the IV is $22 and the bid/ask is $21.85 and $22.15 respectively when my algorithm places a market order. An hour after market open, a transaction is recorded at $22.30, but my algorithm placed a target_allocation order 45 minutes after market open.
What price would my algorithm get? Would it wait until there is a transaction? Would it use the prior price? My understanding is that there is no bid/ask data, which is unfortunate because often times the key to arbitrage is to see that information.
