This has been one single biggest dilemma/conundrum since I've started implementing automation. Not exactly HFT, but it does a lot of small scalping trades. Backtest reveals numerous 1-tick trades (eg. ES bought at 3100 and quickly sold at 3100.25 and the like). All of the trades are market orders and they go from long to short and vice versa. In reality, I would need more than just a tick to break even with market orders. Any good suggestions?