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Question for lescor, or anyone who would like to chime in. Considering what happened on may 6, would you maintain a seperate account on another exchange incase execution went down on equities and you needed to hedge? How about a direct line to the SP pit? Managing million dollar positions is...

actually the more vague the answer, the closer I think I am to finding my own truths.

1. commissions. Solution: try to get the commissions that suit your trading style while not compromising level of service. 2. bigger losers than winners. Solution: when you are winning you have to increase your size in order to make up for future losers.

so you mean the trade would look like this - 15.50 - 100 shares 15.49 - 100 shares 15.48 - 100 shares 15.47 - 300 shares Your example has a 2 cent break-even point with 600 shares inventory and a $12 draw down. My example has a 2 cent break-even point with 1000 shares...

hey lescor, great work on the journal, definitely a good read and headed for the ET Hall of Fame. I have a question about your mean-reversion and your position sizing. When you build up your position, do you use equal clip sizes at static price points? for example for every 3 cents...

The vix where it is now is going to force HFT and MMs to either quote wider or not quote at all. Well some can walk away some have to quote regardless due to exchange obligations. Imagine you are a MM or HFT firm and you can quote a market $1 dollar (100 cents) avg deep from the opening...

well said. HFT shouldn't be forced to trade if they don't want to. Just like any other trader they have the right to stop trading (providing liquidity) and walk away. Besides that sell off took time, it wasn't like it happened in milliseconds. intra day traders had time to get out. I don't...

no.

if its an opening order, sometimes the specialist will delay the open. Not all stocks open right at 9:30.

Hey Lescor, long time reader, first time poster. Its a long read so thank you in advance for taking the time to read, and more thanks for taking the time to answer. i have a couple of questions about your trading. On your RTM, do you attempt to hedge directional risk with another...

BANG!

credit traders taking over SIRI, its trading above a dollar.

Im pretty sure there is an algo that can monitor edga/nqbx and can cross market for example 5000 shares when the total amount showing is some arbitrary number like 100,000. Then turn around and add liq for the rebate. You also get paid to remove those 5000 shares (20 cents per thousand). Not...

so u pay when you add liquidity on edga? and you get paid for removing?? seems like is a good way to filled on the super thick stocks. pay 20 cents per 1000 to gain the spread then flip for a 1 cent winner. And on the flip side whoever hits your quotes pays only 20 cents per 1000 instead...

anyone care to record it and put it on youtube?

I'm looking for a firm that will waive the sterling fee for doing volume. 20c/1000 shares and split. Remote. Can some one pm me and let me know what kind of volume will I hav e to do and what kind of split can I expect. Thanks.

Cost structure is 20c/1000 shares, all other fees are standard. I tried hedging with etfs but its never a perfect hedge, so gross is important. I think I need to run the model as long as possible on the stocks that are able to maintain a positive gross the longest. What worries me is the...

My data is from live execution. 100 shares per execution. I did it on cheap, liquid stocks so I wouldn't get burned on an outlier movement. Wish I applied the model on AA (alcoa) or SNDK (sandisk). The increase in volitility would help the HFT model trade through more shares before reaching...

just found this on zerohedge....good read on HFT MM. " The one factor consistent across all HFT strategies is that they benefit from increased volumes and micro-second execution advantages. The majority of profits are made on razor thin margins. For example, market makers are often...

I have been playing with a market making strategy for some time now. Below you will find attached a sample of my trading. My observation is that even with a razor thin PnL a market maker can be profitable depending on the amount of share they can execute (market share) for example my BAC...