For example, I have 3 strategies.
A is long 1 ES
B is long 1 ES
C is short 1 ES
What would happened under the current context when market closes is
2 sell market and 1 buy market will be submitted simultaneously.
It is quite costly if I submit one buy and one sell market order together, paying the large bid-ask spread.
Is there a way to avoid such stupid move?
Thanks.
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