Stat arb is usually not a market maker. The simplest stat arb trade is a pairs trade, so let me use that as an example. Suppose you do want to market make on a

Stat arb is usually not a market maker. The simplest stat arb trade is a pairs trade, so let me use that as an example. Suppose you do want to market make on a pair A,B. You notice they are out of whack so you open an ALO order to sell A and buy B. The market moves and both stocks go up in sync. You've now opened a short position on A with no offsetting position in B. Oops. If you want to save part of the spread, you can often do add liquidity, then the minute you get a fill you can cancel and take liquidity on the other side. I've tried this but I haven't made it work, though my strategies are pretty amateur (I only trade as a hobby).