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I believe it will be based on risk analysis, which will vary from trader to trader - see
this explanation of a Barra analytical program used to create a portfolio for program
trading:
http://www.barra.com/ElecBrok/PT-demo.asp
--- Chris
-----Original Message-----
From: Jim Gavey <jimgavey@xxxxxxxxxxxxx>
To: Omega Mailing List <omega-list@xxxxxxxxxx>; RealTraders Mailing List
<realtraders@xxxxxxxxxxxxxx>
Date: Thursday, December 03, 1998 3:51 PM
Subject: Surrogate S&P Data
>They say that program traders use a few surrogate companies whose combined
>performance follows the SPX closely. Is anyone aware of which companies are
>used in such aurrogate and/or if it is available real time anywhere? The
>CME S&P pit has a fast cash index but I believe that it is only provided by
>ADP and then only to institutions.
>
>Jim Gavey
>
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