Let's say you are running an arbitrage strategy in the Forex market. You see an opportunity to buy USD/JPY at 100 on exchange A, and sell USD/JPY at 105 on exchange B. You submit the buy and sell order simultaneously as limit orders to these two exchanges. Due to unforeseen circumstances, your buy order fills but the sell order does not. I can think of a few techniques to do, which one is recommended?
- Fill the sell order at the current market price, taking a potential loss.
- Wait x some time for the sell order to fill, and then cancel.
- Revert the buy order by placing a new sell order that cancels out the buy order.