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You are in luck, I happened to have researched this myself a few years ago. Here's all the info I found: http://www.investmentlawgroup.com/launching-an-incubator-hedge-fund http://www.fwallstreet.com/article/170-how-to-start-your-own-hedge-fund http://www.riveleslawgroup.com/...

Yes, I can do larger trades and for shorter timeframes, but the main problem is still trying to beat the bid/ask spread. I have done live trading for many years (not using quant type strategies) but never used limit orders, so I need to experiment with them to see how much that will save me.

Sig - Thanks, that is good to know. I will try some limit orders with SPY and some with ES and see how they compare.

Also, I looked at my Interactive Brokers statement for both SPY and ESH7 and the commission was the same ($2) for each of them ($100,000 trade).

Yes, I did that in Multicharts after some of the answers here were not very clear to me, and SPY and ESH7 moved about the same. So, for short term trading (seconds or minutes), SPY seems like a much better method for me, as the bid/ask spread for the E-Mini seems at least 2.5 times more expensive.

I am using machine learning (quant) strategies that enter almost every minute, and in backtesting (on unseen data) they consistently make around $2-$5 per trade. But that is not enough to cover fees. I can use a limit order to save the 1 cent spread for SPY, but my backtesting shows that may...

I am trading around $100,000 per trade, and am generally in the trade for 1-2 minutes. And yes, I know I can use limit orders to get a rebate from the exchange.

I have some automated strategies for SPY that make around $5 per trade, so they don't make money after trading fees. I am just trying to figure out if trading ES works out to be more or less in trading fees. Yes, I can use a limit order with either SPY or ES, but that messes up my strategy somewhat.

I am still confused about the bid/ask spread size when comparing them. If I want to buy $100,000 of SPY, that is roughly 500 shares, so I lose $5 (500 shares x 1 cent) due to the bid/ask spread. If I instead take that same $100,000 and buy roughly 50 shares of ES, I lose $12.50 (50 shares x 25...

I have traded SPY for many years (intraday trading only), and people always say I should trade E-Mini S&P minis instead. I am aware of the various leverage and tax differences, and of course that futures trade for more hours. But, my question only has to do with the trading fees. Interactive...