Recent content by skauf

Maybe someone remembers or can check his data and enlighten me: what used to be the usual bid-ask spread in the FDAX (DAX futures) and Z (FTSI futures) a few years ago, say in 2004? Is it possible that this average spread changed from slightly over 1 tick (0.5 points) back then to almost 2...

I don't understand. How can you constantly and at HF buy at the bid and sell at the offer? You'd have to hold a large amount of both sides to do this at any given time, meaning you will also lose whenever you win, no? Also, arguably investment banks and and other large market making...

Great posts mates! Thank you and more is of course welcome :)

Thanks for the reply. If this is true, how can you get your orders filled so quickly and so many times a day? What they teach us is that when you consume liquidity (in my example if you want to get rid of a position after the 0.5 seconds you've been holding on to it) - you gotta pay for it...

Hopefully this is the right forum to post this question. I hear and read about people, maybe some posting here, who trade futures with "high frequency" strategies. Now, I've been looking at full-order-book tick-data, and I am very puzzled: 1. I assume, and correct me if wrong, trading HF...