I was trading at a prop firm awhile ago and was trying to do something like this. My commissions were almost 0 and so I wanted to make small gains like this and keep the rebates. Like you said, it is too easy. In reality, especially with newly time stamped orders, a stock like C has to trade through your price before you get a fill. So essentially if you want to buy at 10 and sell at 11, it will actually have to trade down to 9 and up to 12. Having it do that without going 10 cents or whatever against you is a lot harder than it seems. I would recommend trying it on âjumpierâ stocks like RIMM AAPL RIG SPY. If you put 2 orders a penny or 2 apart you are more likely to get âcaught up in the actionâ and have both orders filled, a lot of times within a second or 2 of each other. But you will also have to pay a lot more in SEC fees because they are higher priced stocks. Inevitably though youâll end up taking a 20-30 cent loss and it will wipe out everything.
Finally I have quality answers to my question.Thanks. What about , using some type of programming/greybox, to do the following: Say stock trading at 5.00, I will populate 10 buing at bid orders starting at 4.90 till 4.99. And Sell at ask orders from 5.00 till 5.10. Then if any of the orders is excecuted, will wait for the opposite to be excecuted , then will again place buy and ask as close as possible. If a big moove will com , I will have trade excecuted in pares, and populated again, it like the market makers do. All the orders will add to liquidity, so the rebate will offset the loss from bad trades. I can see it in my head but very hard to explain. Please comment.
Yea like you said, that is sort like what the market makers do. Except that they have endless supplies of money and they can take drawdowns and hold overnight until the market moves back. The rebates really help the bottom line, but they arenât enough to make up for a bad strategy. I have traded similar to what you are talking about and in the end some big move happens and you get wiped out. I donât know what the solution is other than donât leverage yourself too much and be prepared if you lose it all.
Our product (Cyborg Trading Systems) has a realistic simulation environment for Sterling Trader Pro. It allows you to enter pending orders and obtain realistic fills. Also you can link the order entry system to your LVL II or Charts. You can also use hot-keys etc, just like you normally would. Here is a Video: <object width="640" height="505"><param name="movie" value="http://www.youtube.com/v/bBzuPaw0bt4&hl=en&fs=1&hd=1"></param><param name="allowFullScreen" value="true"></param><param name="allowscriptaccess" value="always"></param><embed src="http://www.youtube.com/v/bBzuPaw0bt4&hl=en&fs=1&hd=1" type="application/x-shockwave-flash" allowscriptaccess="always" allowfullscreen="true" width="640" height="505"></embed></object>
Marwan. We have a market making algorithm that does EXACTLY what you are looking for. It's called the Shake. You can set stops on it too so you don't get blown out. It will scalp the market for you in a specific range and stop when that range is broken. You can check it out here: <object width="640" height="505"><param name="movie" value="http://www.youtube.com/v/ngwpcJy7CTA&hl=en&fs=1&hd=1"></param><param name="allowFullScreen" value="true"></param><param name="allowscriptaccess" value="always"></param><embed src="http://www.youtube.com/v/ngwpcJy7CTA&hl=en&fs=1&hd=1" type="application/x-shockwave-flash" allowscriptaccess="always" allowfullscreen="true" width="640" height="505"></embed></object>