I´ve always wonder, if your target price is one cent profit, where do you put your stop loss to have a sane money management strategy?
actually is a very valid point. Conceptually, every trade has an unavoidably large and unadvantageous risk/return
Yeah, that was a paradox that hit me on the face when I was doing rebate trading... If I was going to take winners at 0 cents profit, taking losers even at 1 cent loss meant havin an iasintotic risk/reward ratio... Before I learned this, I used to make up to 6k per month on rebate trading... after I learned risk management I lost the ability to do pure rebate trading... it just didnt fit in my mental structure anymore... I got blocked. Now, almost a year later Im starting to trade again, this time looking for momentum + rebates.
I only trade with Strategy Runner Simulator for now but what you say make no sense. Correct me if I'm wrong: Last price = 1000 Best bid = 1000 with 200 lots in qeueue Best Ask = 1001 with 200 lots in qeueue I place a limit order for buying 1 lot at 1000 and now I'm at the 201 place in the bid queue. If 201 lots will transfer hands at that price my order will get filled at 1000. Same thing goes for getting out of this position by selling 1 lot at 1001. ?
The 1 tick slippage is right for market order, where you will always get filled 1 tick down. But for limit order, It doesn't seem logic.
Whenever I trade futures I use limit orders, and they get filled acording to queue on my system... If Im #20 on the line, then I expect the 20th contract to be mine. I think ES/NQ/YM futures are way to volatile to trade em for 1 tick profit. Every once in a while it would move too fast and put you down 5-10 ticks... is working all day to have it all blown out in 2 minutes... You have a better shot at doing this at less volatile instruments... highly liquid, with not much movement, and preferently penny stocks, that way you avoid SEC fees, that can be killers for large orders on pricy issues. LU is great for this kind of strategy, so are, JDSU, SCMR, VTSS, SUNW, SIRI, CIEN, ASTM Another thing is that if you´re planning on using limit orders, as you probably are, then you can´t simulate your excecution... best shot is to start it with 100 share blocks... fees will kill you, but just worry about gross results and scale up as you get better...
http://www.elitetrader.com/vb/printthread.php?threadid=56745 http://www.zoomingstocks.com/news_050426.htm http://www.sec.gov/news/press/2002-99.htm Here's more info. I'm curious to hear if there are any profitable rebate traders out there.