Where do you get the idea of high risks? High frequency trading is actually less risky because there is less chance of you getting caught in one of the fat-tails.
Take today for instance.. you buy the ESU5 at 1195 looking for a quick 30 minute 2 - point trade, and then the terrorists strike, ESU5 collapses 20 points in minutes, liquidity vanishes and you exit at or near the lows - you lose 20 points while looking for a 2 point profit. You don't call that risky or am I being overly simplistic and naiive?
yes that is overly simplistic. A bot would see the start of the stampede and jump in with it long before it was over.
Unless every single quote on the buy side got lifted within 5ms of each other then it's not hard for an algorithm to think "oh shit, 25% of the quotes were just lifted, sell!"
My trading is kind of high frequency in the futures with either a profit fill order or an new entry order every 1 point level in the es sp mini. No mater what price is doing in the es at each 1 point level I have short and long orders pending---------buy to covers, sell to covers, new long orders, or new short orders. As price moves up and down on a daily basis my ratio between my short and long positions constantly changes. If we have a day like yesterday then my long side positions are depleting and my short side positions are accumulating---------I started yesterday at about 72% to 28% longs to shorts and at the close I was sitting about 81% to 19% shorts to longs. As priced moved about during the day I made profits mainly from the long side, but I also had numerous short trade 1 point profit fills anytime price moved lower. Every 1 point of emini movement which ever direction is giving me a profit and also at the same time an accumulation to one side of my position or the other. Thursday was an extremely high frequency trading day and I had more r/t's that day then any other for this system that I use-------several hundred r/t's in one day is high frequency enough for me.
That was suppose to be 72%/28% shorts to longs prior to the Thursday news selloff-----then at the end of Thursday I was at 81%/19% shorts to longs. At the lows of Thursday I was at one point sitting around 58%/42% shorts to longs with the big spike down. How this all played out Thursday would take a long time to explain as I had short side position buy-to-covers down every point to 1180 and new long buy orders down to 1190 sitting for the overnight session. Once the price started tearing down I was clicking off orders like a madman-----fortunately I use xtrader which was rock solid all through the price movement.
Hi MacroEvent, Interesting the way you trade. Do you have a bias going into the day, like going for more longs rather than shorts, based on patterns, or are you basically neutral waiting for the market to hit you whichever side? You do not have stop losses, I guess, and basically just average down or up every 1 pt? On your profitable scalp, do you always take profit at one point or do you sometimes wait for bigger profit because you mentioned that you were covering your shorts every point to 1180. So, basically, a trend day will be bad for you and a range day will be best? How do you cope with big trend days with all your accumulation on one side with huge unrealised? What is the main reason you trade this way? Thanks