Out of curiosity, what percent of alpha do you think you are paying away in execution costs, slippage etc? PS. It sounds like you are one of 'em 80% win ratio people, so having discussions about negative selection bias in taking liquidity and such is probably a waste of my time
again you trying to speculate something about me... no good, and i never discussed anything: i stated my opinion, you stated yours... end of story...
market facts and reality notwithstanding. exxxxxxcept that the OP queried about market perceptions vis facts and reality, and you wandered in. "very well"...
Indeed. For a second I thought we are having a civilized conversation on the optimal execution, but I guess not really. Most of my strategies lose 20-40% of theoretical alpha in transaction costs. Higher frequency stuff pays away more and lower frequency stuff pays less, but it's a meaningful fraction all across. That's with a lot of time invested in the execution process, I would hate to image what sort of scrape is realized for people who are always taking liquidity. That's especially true if you wander off the beaten path and play with illiquid products like single name options on midcap names.
@sle. do you have any rules of thumb you utilized when demining if the x-act cost is too high a percentage of potential profit to take the trade ? thanks
I’m with @qxr1011 on this one. A retail trader getting filled at midpoint usually means an instrument crossed that price point and is retracing opposite of intended direction. Also, a retail trader usually won’t get filled at midpoint if price is moving fast into intended direction. This is especially true with smaller capacity instruments, which IMO is the only thing retail should be trading intraday.
"Two sides to every market." But I think if you pushed this subject for yourself, you'd find more money in your pocket.
Leaves me wondering if you guys "round up" in the rest of your activities..... Maybe leave a $5 tip cuz you didn't want to wait for change? D'ya say, "Hey -- keep the change..." so you don't have to lean over the counter? Go to a fair and say, "No! No! I always pay the seller's price!" and throw the guy a wad of cash? Health Insurance Reform?? "Helll no! Those insurance workers gotta eat." .... .....