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Just go borrow money and have at it. Mortgage your house, whatever. If you don't have any assets to borrow against then I'm going to guess you shouldn't be trading with 10X leverage anyway.

All those "prop trader" tools you mentioned are available to you too and cost less than hiring a single employee at most any business. These are definitely not barriers to entry. The barriers to entry are knowledge.

It is a vastly different world. Complex algorithms, complex derivative agreements, multi-leg trades, software tools to measure risk and trade opportunities in infinite ways, often high leverage, etc.

Quite a bit of the successful prop trading strategies are ones that cannot be executed on a small scale. It is impressively complex today and is miles away from just hitting the buy or sell button on a stock when a chart looks good.

"Our traders have withdrawn over $3 million in 2021 because when you focus on the process, the results take care of themselves." Does this mean that all traders on their platform have only made a combined $3 million this year? This makes no sense.

Of course not. RenTech makes billions every year with their PhDs. Being smarter, working harder, doing more analysis, etc. usually pays when you deal with markets. Hire smart people.

The measurement was a Linux timestamp on the local machine when the order went out and a timestamp on my local machine when a confirmation # came back on the IB API callback. I ran this test 1 time so take it with a grain of salt. My expectation was a directed order would be faster but that...

I have tested IB and TD by sending each an exact order at the exact same millisecond on a 1 Gbps fiber connection. This was multi-threaded to ensure one order did not go out first. A marketable limit order was sent and both were identical. IB won hands down every time and was far cheaper than...

I did one test with this and found a SMART routed order took something like 120 ms to get an order confirmation but a NASDAQ directed order took about 1200 ms. Both were marketable limit orders on the same stock. This result makes no sense at all. The crazy high cost of a directed order does...

With maker rebates from the exchange I have often "paid" a negative commission.

I'm using the IB SMART router. Seems to work better than my own algorithm that picks routes. No, I am not using their "free" trades. All my orders get onto an order book.

This has nothing to do with trading fast, looking at lit liquidity or probing dark pools. The point of the thread is to suggest an optimal algorithm, not ask a broker for one. So far no one has even proposed an algorithm yet the point of the thread was to talk ideas on the design of the...

The bid/ask spread. Trading options just comes at too high of a cost.

That's a neat idea but option spreads are too costly.

I have developed a method to measure the efficiency of my order entries. Basically you take a snapshot of NBBO at the time you enter an order. You then move your price around according to your algorithm until it is fully filled. Over hundreds or thousands of trades you can then measure how...

Not interested in measuring success based on VWAP. That's way too simple. Most of my trade volume is far lower than 10% of average daily volume. That is an outlier case with very small companies. Assume I need to fill an order where the fill size is 10% of the volume during the last 10 minutes.

10% of average daily volume is an outlier case. But it can vary from 0.01% to maybe as much as 10%. So I'm looking for ideas to cover all the bases.

Good point. The time to enter is another input to this function. Orders fall into two categories. The first set need to be fast - all fills within 60 seconds or so. The other set of orders we have 120 minutes to get done. Order size as a percentage of recent volume varies quite a bit. It...

Looking for advice on best algorithms for order execution. I am writing software to enter my orders obviously. Once I determine to enter or exit a position I simply want the most efficient executions, on average, over a large number of trades. The obvious first approach is to break an order...

This is the only way to go and it's not really that expensive. I'm not about to put my algorithms on someone else's platform where they can see them. It's also important to have an environment that you manage yourself so you are less dependent on others.