Pairs Trading

Strategy 2 is a pairs trading mean-reversion on Coke and Pepsi. At each book update, the model calculates a mid price for both symbols and forms a spread as a linear combination. A rolling history of the spread drives the mean and z-score signals across 3 states: flat, long-spread, or short-spread. When the z-score exceeds the entry threshold, it buys one leg and sells the other; positions flatten inside the exit threshold.

Additional features: A cooldown to avoid rapid re-entry; A shared capital account; Synthetic books and VWAP tracking per symbol; Immediate-or-cancel limit orders priced from synthetic mid and spread.