i usually news trade and my average trade is in the low millions when i do decide to hit something hard, but i really only hit something hard acouple times a day. and im in out within acouple minutes. i do have buying power of 10 million but i only ever use that on some macro news and hit the spy or xlf. Its possible but rare to daytrade with big size. the longer your hold time is the easier it gets. but there is much slippage to get in and out on most trades. i hope this helps
Good point - your technique and timing will have a big impact on your results. Doesn't matter what you trade, if you trade the news you'll get slippage. The bigger the volume traded daily the faster the fill - that is so long as you are trading when it's busy. If the market is quiet and you lump in all at once you will move the market - even in a big volume share. But the big ones will swallow your size easily if you stick to these rules - correct size, timing and technique.
Market capacity is an important consideration after you have been trading for a while. Keeping capital in the markets is important. Broad markets with a lot of instruments are different than, say, ES, which is a single instrument. T&S is your guide for every instrument. You may not use a level of particiaption that penalizes you. Back of somwhat from the larger blocks that are flowing on the T&S to get the partial fills to complete your entry or exit in equities. I know you are focused on day trading BUT it is possible to do 5 to 10% a day on equities while trading their "natural" cycle over a few days. yohoo hit the nail on the head by suggesting not exceeding 10% of volume for an equity. To further his comment, do not exceed 100,000 positions ever but spread over several issues. I feel that 10 to 50 dollars is the range and the mode is as near 25 as possible. Because entry is at a lower price and where volume is a fraction of the peaking, a ratio of 20 to 30 for entry to exit is likely interms of partial fills required. Holding 30 million in this way, unleveraged, would take about 10 streams of capital and this kind of trading means that you are focused on 3 to 4 stocks a day and the capital is being crossed over doing partial fills up to about mutual fund settlement time each day. after that just do exits in order have opening cash available. For slower trading with larger capital, a four week cycle is called for. You can still use the same way s above but several days are required the fill for trading a longer fractal cycle; the profits drop to 4% a week average over the hold. The intraday trading in single instrument markets is different. this is high velocity trading and deals exclusively with what the market offers. This is in contrast to focusing on disturbances and measuring magnitude of disturbances. Markets flow money from the majority view to the minority view. What is offered is how much is being transferred at a particular time. The two flow meters are market pace and depth of the market. The flow may only occur between two boundaries that are established by the majority building walls (limit orders) that exceed the capacity of the market. This gives the context of what may be day traded. One side of every trade is a market order. Trading with market orders is how money is made. Expert trader value timing over price. One of my recently deleted posts made this point in the context of big money trading and how it related to floor trading in the past. Pace increments are exponential in nature and follow the Power Law. Over the last 12 months the pace levels (as quintiles) have migrated by 70% in an upward direction. The majority and minority are controlled by those who trade at market opposing each of these two groups as the balance swings from one side to the other. Since the capacity is exceeded by limit orders for all paces of the market, it is incumbant of the trader to optimize his velocity of profit flow by doing partial fills. I feel that there is a set ratio of total fill to capacity which is 5. To be able to handle this during a day where there are five pace shifts in a catinary function, it is necesary to have the pace known at all times and to know the minority depth at that time as well since you are trading opposite the minority. In odd harmonic markets, the technique of partial fills is orthagonal to that of even harmonic market fills. Only one dimension needs to be considered to handle this. That is relating price to the action timing. The math of this would take a little explaining and I am not able to make the investment right now. If anyone has saved my many posts that were deleted I would appreciate being able to recover them as an archival matter related to my writing projects. PM me with any ideas you have.
Jack, you will not be able to see this post because you have me on ignore, but you do not need ALL of your old posts. Your writing is holographic. Just one of the longer ones will do. Or you can PM me, because I have doted on every word of your dotage. I have it all mesmerized in my head. But I DO sympathize. Some of my most golden prose has been deleted along with yours. Gilt by association.
It was done to forward the operation of ET. I didn't plan ahead well enough and I was counting a little on the archival value of ET being recognized. Another misjudgement that has me very worried at this point. I recognize that many people choose to have me as their adversary; it solves a lot of problems for them. I was reluctant to post in a thread by an OP who was baiting me and the substance of the intellectual efforts of a lot of learners and traders. I do, continually, present a viewpoint based on expereince with practitioners who do not shae my precepts and approach. Usually I am a respondent and as a consequence I am doing work to be able to go to where they are and I try to consider their place. Bighog presented his bio as a way to explain his viewpoint as a basis for explaining that I haven't played by his rules. Both are gone, I guess. I am no big deal. No one is in the infinite scheme of things. But I thought there was a difference between a person working out responses and a person who is using bandwidth otherwise. This has turned out to be a loss for me. I find that I do not have much of a taste for the kind of lifestyles that are emerging in the way they do to make the space we get to participate in. I am very glad that the ES SCT journal had a million hits last year and they were all collegual; it is hard to imagine the effort that was made to keep that quality alive and well in ET. I guess a thread founded on baiting is totally expendable. I was just a little niave and reluctant, at first, to participate. I learned the hard way to not do that anymore. Giving up that work is hard to do simply because I was doing it to be able to make use of it in finshed copy someday. Now, I just consider it as a brief practice period.
How many shares you talking? I can accumulate/distribute 10,000 shares in a sec or two. Where I see most traders go wrong is when they are getting out of the position. Time and time again, I see someone who is long sell into weakness, which is teh exact opposite of what one should be doing. Sell into strength.
What parts of your oeuvre have you forgotten? Let me remind you: 3X daily range always in no stops $INDU leads ES trade in the direction of a collapsing DOM trade to bounce off of a DOM wall volume leads price . . .