<r>Dollar value neutral is essential, else one of your legs will be biased. For instance, a tick movement on one of the contracts is about $5 where as on the other exchange it is $12.5, then an approximate dollar neutral would be 5 lots of the contract with $5 tick and 4 lots of the contract with $1...

Even in small volumes, cross trades are seen as an unethical practice. Accidentally a trader in a firm i worked crossed his own order in an illiquid market (only a single lot). He got a warning issued from the exchange.