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Intraday-Aware Pairs Trading Capacity Estimator
A SaaS tool that takes EOD pairs screener output and produces realistic intraday execution capacity estimates using minute-bar data, per-name volume profiles, and simultaneous leg execution modeling. Targets the 10-50x gap between EOD-based capacity headlines and actual executable size that multiple sophisticated commenters independently identified.
Why this matters
You run pairs trading strategies using an EOD screener because that is what is accessible to you. The headline capacity number says you can put millions into a trade at 5% of ADV, but when you actually try to execute both legs inside ten minutes, the realizable size is 10 to 50 times smaller. The gap is worst on exactly the pairs and days that matter most, because the leg being repriced has the least depth right when the spread is moving. You know ADV is lying to you, but you have no way to estimate how badly without access to tick-level data and institutional execution infrastructure. You are left sizing trades by gut feel on top of numbers you know are wrong.
- · Built for Individual quant traders and small fund managers running pairs or statistical arbitrage strategies who currently rely on EOD screeners and know their capacity numbers are fiction but have no better option.
- · Most likely monetization: SaaS subscription.
The Pain · Narrative
You run pairs trading strategies using an EOD screener because that is what is accessible to you. The headline capacity number says you can put millions into a trade at 5% of ADV, but when you actually try to execute both legs inside ten minutes, the realizable size is 10 to 50 times smaller. The gap is worst on exactly the pairs and days that matter most, because the leg being repriced has the least depth right when the spread is moving. You know ADV is lying to you, but you have no way to estimate how badly without access to tick-level data and institutional execution infrastructure. You are left sizing trades by gut feel on top of numbers you know are wrong.
Score Breakdown
Market Signal
Go-to-Market
Individual algorithmic traders running pairs or statistical arbitrage strategies in Python who currently use EOD screeners and know their capacity estimates are unreliable
~5,000-15,000 active pairs traders globally who would benefit, with ~500-1,000 likely early adopters
Organic posts in algorithmic trading communities with a free capacity-check tool as lead magnet
$79/month for individual tier, $299/month for small desk tier
25 sign-ups for free capacity check tool and 5 paying subscribers within 30 days of launch
MVP Scope · 1–2 weeks
- Build intraday volume profile database for top 500 US liquid names using Polygon.io minute-bar data
- Implement core capacity calculator that takes a pair spec and returns minute-level executable size by time of day
- Create simple REST API endpoint accepting two tickers and a hedge ratio, returning a capacity curve across the trading day
- Build a basic web UI showing side-by-side EOD vs intraday capacity for a single pair
- Deploy MVP to a cloud instance and test with 20 sample pairs from the screener output format
- Add hedge-ratio-adjusted binding-leg identification using walk-forward beta estimates
- Implement simultaneous-leg execution model that accounts for the repricing gap between sequential fills
- Create batch API endpoint that accepts a screener export and returns intraday-aware capacity for all pairs
- Build a comparison dashboard showing which pairs have the largest EOD-to-intraday capacity gap
- Recruit 10 beta testers from algorithmic trading communities and collect feedback on capacity estimate accuracy
Differentiation
Why This Might Fail
Self-rebuttal — the most important trust signal
- 1The target audience of individual pairs traders is small and shrinking as pairs alpha decays, potentially limiting the total addressable market below sustainable SaaS economics
- 2Users in this community strongly prefer DIY solutions and open-source tooling; they may study the methodology, replicate it in their own codebase, and never convert to paying subscribers
- 3Minute-bar market data licensing and storage costs may consume too much of the subscription revenue at lower price tiers, making the unit economics unsustainable without volume discounts
Evidence Summary
How AI synthesized this insight — no verbatim quotes
Approximately 8 commenters independently identified the same core problem: EOD-based capacity estimates overstate executable size by 10 to 50 times. Multiple users performed independent arithmetic confirming the gap, noting that midday minutes carry far less than a proportional share of daily volume. Several commenters highlighted that ADV fails precisely when spreads are moving, because the repriced leg simultaneously loses depth. The tool creator acknowledged the limitation, stating their desk only sees EOD data and that the honest capacity number is dramatically smaller than the headline.
Action Plan
Validate this opportunity before writing code
Recommended Next Step
Validate
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Landing Page Copy Kit
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Headline
Intraday-Aware Pairs Trading Capacity Estimator
Sub-headline
A SaaS tool that takes EOD pairs screener output and produces realistic intraday execution capacity estimates using minute-bar data, per-name volume profiles, and simultaneous leg execution modeling. Targets the 10-50x gap between EOD-based capacity headlines and actual executable size that multiple sophisticated commenters independently identified.
Who It's For
For Individual quant traders and small fund managers running pairs or statistical arbitrage strategies who currently rely on EOD screeners and know their capacity numbers are fiction but have no better option
Feature List
✓ Per-name intraday volume profile database with time-of-day liquidity percentiles ✓ Simultaneous leg execution capacity calculator that models the repricing gap between sequential fills ✓ Hedge-ratio-adjusted binding-leg identification with refit-cycle churn tracking ✓ Side-by-side comparison of EOD-based vs intraday-aware capacity estimates ✓ API endpoint accepting pair specifications and returning realistic capacity ranges by time of day
Where to Validate
Share your landing page in r/r/algotrading — that's exactly where these pain points were discovered.
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