Amen three times over! Especially pay attention to this: "If trading limit orders, you'll always be at the back of the que," That is true almost all the time. the practical consequence is that you'll be almost always buying on the ask and selling on the bid. Whereas if you're near the front of the queue with a limit order your limit buy order has a good chance of getting filled by a market sell, and your limit sell has a good chance of filling by a market buy, and you may get to pocket the spread just like a market maker. If it ever happens, as a limit order trader, that your limit bid is filled without the market moving down a tick, meaning you bought on the bid, or vice versa, watch out! It likely means the market was flooded with market orders and you're may be about to get caught on the wrong side.
But are you really just going for the tick? Even if you get filled in the most ideal way and at the most ideal spot, the idea isn't to be a market maker, at least not for the retail trader at home. If I lets say put my limit sell at 2460 because its some previous resistance level, and I get filled on the very first touch, I'm certainly going going to my profit target at 2459.75. If I see though that at this resistance level, it has trouble dropping any lower than the 2459.75, and hence looks like it will shoot higher, its now too late to get out at the 2459.75 cause I now become the limit order at the back of the que. I'm not sure I understand this. If you get filled on the bid without the market moving down a tick, and it means you were lucky to have your order in first. Whoever hit the sell market got to sell at your level, and you were the lucky guy who got to buy, and if it never ticks down again, then you got really lucky as you're already in if its taking off. I certainly do understand the point I think you're making that when getting filled on the bid or ask, it can mean that the market will have to move against you at least one tick unless you had your order in for a while to be first in line, or its just sitting at that price and absorbing everything that comes in before it takes off.
It could of course. Bur it is much more likely to mean that a bunch of market sell orders came in . enough to go fairly deep in the queue, and sell to your resting buy order. And In that case it's often bad news. The market is about to fall and you just bought! I don't mean to suggest that any retail trader should intend to make money scalping for a tick or two. What I do mean to suggest is that you'll do much better trading on a longer time frame. That will get your relative trading costs down and make your relegation to the back of the queue less significant. As a retail trader you must accept the fact that you, for the most part, are doomed to buying a market going down at least a tick and selling a market going up at least a tick. And that, you see, can make your prospects rather dim if your attempting to trade for only a few ticks profit .
Totally agree with this. Agree with this too. This I don't agree with as much. Granted, I trade the NQ much more, which has its own set of issues since it isn't as thick as the ES, but I watch the ES tick for tick. There are many places, like previous swing points where prices are just absorbed. I do watch the depth, but I don't track number of contracts traded on the bid and ask and that sort of thing, but when things slow down, it isn't impossible to have orders parked at previous highs or lows and waiting to get filled on the reversal. I have done this a few times and as expected, you can be filled for a long on the lowest tick, or for a short on the highest tick. But like I say, I'm not actively trading the ES, so really don't know how early I'd have to be in for my order to fill, if it would even fill. But when I see price bounce off a level many times over 20 or 30 seconds and I'm seeing the volume go up, I have to assume that the levels, if only several hundred contracts, are getting reloaded multiple times and hence I would have been filled. If your strategy is based on getting filled on the lowest tick though, then for sure you will get run over multiple times, and also be unfilled multiple times as well.
What people says, it's the latency here, i.e. ping. I mean it's how fast your data goes from initial point to lot of servers to the end point. So it should be main point here. You can have even 1Gbps connection yet pings like few hundreds, and it will be really a loss cause you need data fast.