fading 20-30 cent spikes

Discussion in 'Strategy Development' started by quin8670, May 2, 2007.

  1. Does anyone trade strategies that fade ~20 - ~30 cent spikes on small time frame charts (ex. - 1m) on relatively low volume? I don't take these trades but just from watching price it seems like these trades produce a solid percentage of winners...
  2. Two problems

    1) Actually getting filled on the right side

    2) Cases when you're wrong and the spike is actually a full move. Usually a lack of liquidity in those cases and heavy slippage.

    The strategy works, it's essentially an "envelope" approach. What you want to do is have standing orders about 20-30 cents away. Bright preaches this.

    Another issue to consider is that due to NYSE fees, standing limit orders are actually canceled and then refreshed by almost every equity shop to avoid paying fees. You're always put in the back of the line.
  3. ig0r


    Orders sitting in the book are no longer charged specialist fees at NYS, if I'm not mistaken. This change was slipped in when NYS raised their fees
  4. standing limit orders are no longer canceled.
  5. Interesting, did not know that.
  6. gaj


    i'd be looking for larger spikes than that, but don't put on too much size; there's periodically the things like AAPL leaks something, it spikes, and 2 minutes later, everyone finds out *why*.
  7. They make their money instead now by charging you .00035 (.$35 per thousand) for every order that gets filled... limit, market, marketable limit, whatever.