Does anybody have any suggestions for trading a large number of shares successfully? I have steadily built up my account over the years and now feel like I can not trade the same way as I used to. I typically trade 10,000+ shares at a time but do not know how to implement my strategy anymore without moving the market too much. Do most people change their strategy when they get to this point, or do you only limit yourself to thick stocks (500,000+)?
Take a look at some of the dark pool/crossing networks: NYFIX millenium, SigmaX (through redi/goldman), pipeline, etc. Best place to cross 10k+ (for some you need to be doing more, 50k+) since you dont have to show your orders in most
what do they do, route the orders or something so that I don't have a 10k block hit my online broker? I checked out some websites but am not quite sure.
Crossing networks dont show your order to the open market (NYSE/nasdaq/etc), instead they try to find a match on their own system, which is made up of large orders like yours
Just be aware you could get plugged by a 1MM share order in a Dark Liquidity Pool, if an institution is fishing in an illiquid name. It would not hurt to develop a relationship with a desk to get "color" if you are trading decent size. el surdo
Don't try to hold more than 1 day's volume or if the trade goes against you, you wil get creamed on slippage trying to exit, even over a number of days.
yeah thats what i'm thinking. I guess the good old days of placing orders and not worrying about things like this are over. anybody out there gotten to this point and then switched strategies entirely...i guess due to the fact your system didn't scale very well over a certain point? i'd hate to abandon my system and start all over again. maybe this means its time to retire...
You have to either get more liquid stocks, or have a longer time-frame. As a rule of thumb you should NEVER trade daily more than 10% of the average volume, preferably under 5%.
I guess I have no choice but to trade only the thickest of setups. My time frame is not intraday, but if I start looking for different time frames I'll probably end up overhauling my whole system. Anybody have any experience with trading one system and then successfully switching to a new system?
It is quite simple to trade ten times the volume you trade. 100,000 shares is my limit for any capital stream. On entires count on 20 partial fills and on exits count on 30 partial fills due to profits. Just use blocks size determined by the T&S and also do partial fills at the pace of the market by not exceeding 10% of the cummulative volume. All of this is easy to teach your broker or to do on an automatic electronic platform. If you have 4 to 8 streams running conncurrently it just takes one list where you are running a column that shows the decimal % volume as compared to the average volume. For entries start the entry at about 0.25 to be sure you are ahead of the HERD. for exits, Start as soon as the volume is not peaking (i. e., as soon as the curve of the prior days volume is not being beaten.) You prime objective is to keep the exponent of the compound interest as high as possible. 80 turns per year is a nominal value. Running to 100 is easy by cross over trading (overlapping an exit and entry using partial fills). Nominally you can do 2.5% a day on average. 4% per day is a better level and takes a slightly narrower universe. If you are picky you can do 10% a day per hold. See three day trades on NTRI for example in 2006. There were four that would eat up 12 days for one stream of capital (286% gain)) Here you get in before each BO up in price by usung leading indicators. The best for NTRI is a stoch @ 5, 2, 3. When it shows sentiment in accumulation, ACT. The 50% line divides accumulation and distribution. Look for crosses up for long entry and crosses down for shorts. I decribed the long market primarily since you do not trade the fast side of the market as yet. The reason you use the 5, 2 3 as a leading indicator for a BO long is that the last three closes of the very low volume before BO will be high closes and that distorts the STOCH 5,2, 3 to be in ACCUMULATION. Your 10,000 shares of a 30 dollar stock is 300,000 bucks. 100,000 shares of the same stock is 3,000,000 bucks. Running 8 streams at 100,000 shares is probably larger than your account. Take most of the books off your shelf and store them for the next library sale where you can make a contribution. Most of the posts you have recieved so far are silly, by the way.