Some ECN's pay for adding liquidity and others pay for removing. So you can buy at the bid or sell at the offer, and try to make a full penny making profit plus rebate, or if you don;t think you will get a fill at the penny you canclose your trade at a ECN that pays to remove liquidity, so you break even on the trade, but the rebates from the ECN's outweight your transaction costs. Do this at huge volume you can make alot of money. I've only been trading like this for about a month, and have been profitable, but have had trouble getting fills on large position sizes. When you get swiped you are in there with a full size position at a loss, and most of the time you don't get a full size position (partial fills) when the market is going your way. It seems to me that you only get about 10 chances a day to make a full penny with a full position size. I'm interested about the open, I don't usually trade it, but will if I can get good fills adding liquidity on edgx. I only get filled on edgx during market hours when it gets swiped. I get my best fills on the floor. If there is any way to get better fills let me know.
Which exchanges start publishing close imbalance information at 2pm? Does the close imbalance information just come from NYSE and NASDAQ?
hah, me too! Me too... the 2.6/3.00 fee structure sucks... I read the title and was about to pop off my bats keys... 2.7/2.8 is the best we can hope for.
Yeah I went and checked the Direct Edge website and was about to have to say to my boss he ain't doing his job hahahah I personally prefer using BATS, easy to see your prints and more importantly no stupid liquidity tags! Also EDGX is the only ECN where if you hit someone else in your own firm then you get an 'e'(?) tag and you don't get the credits... they also don't pay so your giving them a free ride. I don't get it a lot but I freakin hate it when I see it... I know its stop wash trading but it just annoying... no other ECN does that
Do you close a possition taking liquidity, or add and wait for your order to be hit, because 3-4 round trips per minute is very good? Also what routes are you using to achive that execution? Thanks.