you're not the only one who's thought of it, you just haven't found a way to make it profitable on a daily basis because you're only 1 person. i know a person that with very simple variables, (for example, daily range) has a completely random strategy that simply provides liquidity across hundreds of nyse issues. obviously its automated. and if you stop to think why this should make any money, try explaining to a guy trading another market what a rebate is, and he'll honestly think you're lying. WHY SHOULD YOU LOSE MONEY FOR MANAGING RISK? if anything if you manage the range of a stock, the risk/reward of the play is inline with your overall money management (this is probably the hardest thing to do without a bot, aside from the actual mechanics of the trades), is there even a reason for why you should actually LOSE money? if anything, you should breakeven on a gross basis. now if you have some absurd inefficiency that you can exploit by not hitting out more often than not, well...there you go, now this magical creature called an ecn that almost everyone in another market is amazed to hear about (really, i tried explaining how my comms in stocks actually had a positive balance without me even trying to rebate to few guys at a shop in a different market...couldn't believe it), now you should probably make a few pennies right? and who would be paying you? people who aren't taking advantage of this inefficiency. people who are trying to pick a direction and don't have an edge. ect ect ect.
and yes, I have A LOT of respect for this particular trader, because he had to hear all the doomsday predictions about how being a pure discretionary rebate scalper would be doomed. and when the prediction become true (please, someone name just one person doing this like before) he adapted. that strategy didn't mutate, i didn't go through some phase/drawdown. its DEAD. (if you can't be gross neg and net pos, its not the same strategy...being gross even and net pos was never part of it) but he isn't.
Precisely! Independence/Dependence is largely a factor of time. For example, if the ES futures drop for 30 consecutive minutes, stop falling for another 30-minutes and consolidate during this time, the subsequent move, measured both in magnitude and direction, from this consoidation, is independent from the original 30-minute move but not 100% of the time. Conversely, the last 5-minutes of the original 30-minute move is dependent on the first 25-minutes of that move so taking a trade based on Independence/Dependence cannot be successfully completed unless time is incorporated into the equation and some other tool is used to determine how and when the seperation occurs.
Are you asking? You get a few cents every time you add liquidity to the market as opposed to removing it. If the bid is $10.00 and the ask is $10.01, and you post a bid on an ECN at $10 (you want to buy at $10) and you get filled, the ECN will pay you a few cents (figure around .20-.25 cents per 100 shares). Alternatively if you didn't want to wait for someone to sell to you at $10, you could buy right now at $10.01 but in this case you are removing liquidity and you will pay a few cents for doing so.
ohh man, I myself have few similar strategies, but yet a 'small' trader to get them automated. And let me say, they offer easier money than anything else.