I have been scalping in illiquid equities (listed and OTC) for several months now. I have had a high percentage of successes (85%+). I usually trade in 1000 to 2000 share increments. I find several issues with lesser volume and volatility. The spreads have to seem to generous given the volatility and volume of the issue. I then place both buy and sell orders thereby making a market. Sometimes it gets mighty boring and other times mighty scary. But it seems to work better for me, since decimalization has blown most of my strategies down the tubes. I was curious if anyone out there does something similar? Any thoughts or ideas? Does anyone know of any research that would suggest appropriate spreads given specific levels of volatility and volume?
Praetorian2 specializes in illiquid stocks. I havent seen him post anything lately but they had a chat site at yahoo called elitetrader. You might check that out.
just to add to this. run searches for Great New Pattern on elitetrader. There are 2 long threads that go into detail of what he does. Robert Tharp
85% winners passively sitting on the BID/ASK??? I get 90% + but I have to work for it. You must be good.