I don't see it that way & have enjoyed your posts here Nice work on your trading strategy. Makes sense to me.
DeeDeeTwo Do you backtest your strategy? If you do, how do you manage to backtest such huge amount of data?
Believe it or not, I only use a composite close... Because I want to see how THE MARKET prices something over 3-6 months... Relative to a meaningful benchmark and similar securities. The market is always right = reversion to mean. I think the entire tick industry is close to a scam... Ticks have no meaning in medium latency trading... And people that obsess about tick quality = stats neophytes.
So your decisions on limit orders are based on daily charts of all stocks and submitted to the market before it opens?
the problem is not pennying, which anyone can do, it is SUBPENNYING, something regular traders have no access to. it is the two tiered market that is criminally wrong. on some really illiquid symbols with a 30-40 cent spread it is LITERALLY IMPOSSIBLE to get filled on the bid or offer regardless of the fact that you are displayed as the best bid or offer. when the print goes off it will ALWAYS be a subpenny. this is blatant fraud and the nerds need to be severely beaten. the criminals at the SEC who allow this fraud are beyond rehabilitation...
+1 Same way most retail synthetic forex works. ALL customers pay the spread. No passive fills for anyone.
I think you may be being a bit harsh on the SEC. I think many people there would like to see internalization/payment-for-order-flow deals -- the major sources of the most poisonous subpennying -- banned as well: (from http://www.sec.gov/news/studies/ordpay.htm) ...but keep in mind they face intense opposition from certain industry participants (retail brokers and couterparties to payment-for-order-flow agreements such as Knight) who get "backdoor" profits from these practices. The profit from these schemes is largely taken out of the pockets of retail brokerage customers in a fashion that is almost completely invisible to them, unless they're unlucky enough to get a horrible fill or miss a particularly good trade, which occasionally happens.
Agree with Occam, but so what? It is what it is. FB, why are you trading 30-40 cent spreads... It should be a teenie tiny part of your business. You should be capturing 3-4 cent spreads. I average 500 executions on 2,000 orders/day... So it's hard to argue that the market in untradable.