i have a question for people who write algos on high level (the easy one) c-based programming languages (not the hardcore stuff). how many tradeables can you deal with in a single fast path without any loss in performance from the code? so assume u had zero latency everywhere except in your code. if you run 100 thousand different programs its possible but its expensive on any computer i dont care if you have no operating system and tuned kernels whatever. its still good if you can do a lot in one.
The two apples are on different exchanges and your access is slower both for quotes and execution. It’s easier to see as price differential, how there is an arb opportunity. Via decimalization, in addition to having faster infrastructure both for quotes and execution they cut to the head of the line on both exchanges. When price looks the same, via depth it is not. 10k of $1000 apples is not the same as 11k of $1000 apples. The difference in qty needed to complete the trade requires for the corresponding imbalance to be filled by crossing of the spread. Since they have an informational and infrastructure advantage, they’ve already positioned themselves to be the first order in line to receive the spread. When both price and depth look the same, then the pace of resupply at limit is where the imbalance would be exploited. Those are simplistic versions of it being done in equities with the footprints on T&S as share prices with subpennies. To mitigate the tax on trading extracted by hft’s as lone retailer without the same hardware/software/infrastructure/specialized knowledge investment, one would have to trade fractals on higher timeframes.
I love when people write this kind of stuff. As if the initial entry and adding to the position isn't directly hurt by the algos. they are in on every trade so it has made every type of trading much more difficult and harder to stomach. Most of my trades start out as a scalp and if i get traction with little heat then it might turn into a swing day trade or EOD offset but goodluck even getting a few put without some heat. they have unlimited advantages and it is easy to collect commission like you do and say oh yeah my clients are making money swing trading.. well sure. in the last 4 months of short then long but intraday in the futures indexes is just CHOP for filling large equity orders in the cash markets which is reflected in the es futures and the micro es i mean come on.. how fing ridiculous. fix the problem don't create another one. stop the insane speed advantge of the HFT. they should not have the privelidge of knowing I am filled before I do if I AM the aggressor. CME algos hate when you use mkt orders. they will come and crush you right after your trade. everytime. they can move it very easily and they will until you scream and jump out then they run it right into you face. IT has hurt all human traders no matter what type of trading they do. YOU BONE have a financial incentive to keep traders trading right? Some people are still successful and you are right it is the traders who are spreading and holding longer trades. the intraday whipaws are like nothing anyone has ever witnessed and that is truth. Yeah in the pits gusy would run stops.. but you had a little time to get in or ourt or give a broker discrestion to trade into it or with it on a reverse. not now. you gotta be colocated and be able to throw gobs and gobs of money at it over and over and over until finally even the hft are ready to run it one way or the other. DAYTRADING outright is a extremely risky endeavor and the risk to time involved in front of the screen is detrimental to your financial and mental health. It is elusive for a reason. It is suppossed to look easy after the fact and it is after the fight is over. You can bet the winner after the fight or game every time. what you fail to realize is your trade (REAL TRADE) even a 1 lot has mkt impact because they want your money and the only way to capture it is to get you to OFFSET and fast if you take a long time with it they might just keep hammering you because most retail guys are trading together in a lil HERD with stops trailing and those are what they are after like a great white attacking a tuna ball!!!!!!! trust me BONE is right about one thing.. you gotta spread or your dead and he makes more money from spreads because he gets double fees and commish but that doesn't matter when you are making money. I would pay bone 3 million dollars in fees if I knew i was taking a 100k account to 1 million!! fees matter but not really if making money. Look regular business 25 % profit margin is great. If you make 100k GROSS trading. and you pay the cme and bone 75,000 in fees yes it is a lot but you still made 25K just like a normal business. obviously trading shouldn't be that high in fees but you get my point. scalping is even harder on all time frames. The guys making money are holding!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
Then why are you trading futures and of all things scalping? I don’t understand. Are most traders morons? Am I a moron? Scalping is my game. In my opinion HFT’s have made the game more precise. Like narrowing the spread. I used a different tactic for scalping when markets traded in fractions but when they went to decimals thus obliterating those tactics by narrowing the spread I had to adapt and use different tactics for scalping. PS 70% are institutions. They are not interested in our 1 lot or even 10 lot orders. It is institutions fighting against institution for a big slice of the pie. We tiny little minuscule itsy bitsy retail traders get to pick the crumbs up off the floor if we have a good crumb picker upper. We can dispense with stop running for our 1 lot or 5 lot order and such concerned concepts. They simply don’t care about you or me. We are like a fly landing on a tennis players nose. He is not interested in the fly. He is interested in the game..the competition..the fight. Occasionally he swaps the fly to oblivion just to get him of the way. We are the flies.
Algos are written by people and contain rules/commands/scenarios/whatever you wanna call it that come from those humans. I can write an algorithm that shorts every time something goes below the 200MA, does that mean the algorithm beats you or the trader who wrote his commands into the algorithm beats you? Does it matter? They're taking trades just like you are.
Just to clarify - my clients hire me as a consultant with a well sorted trading system with a long track record and a couple hundred clients. I personally make no money or curry personal enrichment on haircuts or fees or data or subscriptions or clearing. None. I’ve got traders clearing Newedge, Advantage, RJO, RCG, IB... I don’t want that conflict. A spread trade bet is to capture the convergence or divergence between highly correlated instruments. The exchange margin credits for the offsets allow us to hang on to positions overnight and for extended periods of time - it’s the cheapest futures trading on planet Earth. And we are modeling for rather large chunks of trading range. Yes, on a Butterfly, for example, we are paying on four contract R/T’s - but making a few hundred dollars (or more) negates the $15 or $20 in commissions and fees. We are swing trading spreads, so the fees are nominal in terms of net P&L for the way I like to teach clients to trade. There was a time where I could daytrade spreads - but that doesn’t make sense anymore unless you have some sort of arbitrage going on which typically requires the use of OTC products or physical inventory.
I believe in "sequences", easiest to pick on mindsets of bait/new traders/weak hands, easiest to know how they think/trade, they read books and spend most of their time on signals, so experienced scalpers could care less about "algos". Weak hands are emotional, use tight stops, do breakouts as books show, they lack answers before the question. @volpri used " crumbs up off the floor", we make ticks, we make exits for weak hands, LOL, my friends are "algos" as they often cause slippage for the weak hands, Many of our entries weak hands won't do as price drops we accumulate longs, where weak hands are entering-we are exiting, when they exiting for losses we are getting in.....Life is good for a crumb picker uppers, but does take years to find one's own sequence. Same sequences most days.
During the civil war, there were spectators sitting on the hill who reported to large institutions and speculators who is winning in the battlefield. They reported it by Telegraphs or by actually riding on horses and reporting the situation. So there was always an unfair advantage to some...Some eras have better horses, and some have better cables.
There is always an unfair advantage for one party, if not nobody would win or lose. The unfair advantage creates the profit.