CME Rates Calendar Spread Cointegration And Other Roll Improvements

We recently improved our algo performance in rolls by fine-tuning our aggressive cross signal and improving our accuracy in tracking our queue position. In the June roll, our passive fills improved by almost 30% across all the CME IR spreads, and our arrival price slippage declined by more than 20%. Our forthcoming changes include another signal, cointegration, which will further enhance our arrival price performance. We also plan to extend these improvements to rolls on other exchanges.

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