Firstly, is there a way to keep some people (not naming handles) from posting? Is there a way to paper trade a scalp? I need to find a way to simulate getting filled on 10,000+ shares. Plus, what are good rules about liquidity, volatility, etc. that go for stock selection and/or what are good stocks to scalp? what exchanges and ECN's do you guys stick to, if any?
Actually, there is. You take a look at the number of orders currently sitting at your intended limit price when you decide to place your pretend order. If the price reaches your limit price and that number of orders is filled (check the volume at that price) then you can assume your orders will now start being filled. Keep tracking the volume. Any further orders can be assumed to be fills for your orders, so long as they are at your price or better. This does not account for the impact your orders would have on the market. Nor does it account for the sitting orders being cancelled. But it does a fairly good job. -Raystonn
Have you ever traded before ? Reason why I ask is because you are talking about paper trading with such a big position. Victor
I think it depends on the level of accuracy you want to get from your backtesting. Not only because of the 2 issues which you mention and which cannot be backtested, but also because of the partial executions when trading multiple lots. With that said, the level of accuracy you can get may vary from one market to another. I'm trading HSI and your methodology wouldn't work at all.
I mostly trade futures but what I use for a guide when evaluating scalping systems is "did the price level I was trying to buy at become the ask or did the price level I was trying to sell at the become the bid?". I would think that for ZF trading this rule would hold true up to about 100 futures before you would start to influence the market. You can apply this rule to the stock market but I'm not sure were the size is where you would effect the market. When I was prop trading CSCO in the fall of 2003 you would often see 100 lots hold a price level. Most of the time throwing up ten lots would have very little effect and you could count on a fill for the purpose of what your doing.