I'm curious if you ever tried to parallel trade live and Sim. I think the lower your trading timeframe, the less reliable your sim will be. For heavy scalping, most likely it will actually be misleading or as l like to call it - stimulator.
Advise me on R:R for scalping 0.02 and 0.03
- Thread starter birdman
- Start date
I asked about how the sim module worked at TT and they said that actually the ES has a pretty accurate sim of the live market. I assume Tradovate uses the same technology. But I find your post troubling qlai. I too would like to know if anybody has traded in parallel?
ES
ES
Let me tell you a funny story. I developed an algo to scalp mentum bursts/breakouts. It made paper money everyday ... Equity curve straight up. I go live ... Straight down! After investigation (WHICH I SHOULD HAVE DONE PRIOR!) It turned out that my strategy was getting a slightly faster mkt data than sim. So I would get a signal let's say 9:35:50 and Sim would fill me at prices equivalent to 9:35:49 ... before the breakout even started! 
Rookie mistake you say, but there are countless gotchyas when you trade low timeframes. Bottom line - when you scalp, latency (both mkt data and execution) matters. What you see on the screen is a oftentimes a mirage.
Rookie mistake you say, but there are countless gotchyas when you trade low timeframes. Bottom line - when you scalp, latency (both mkt data and execution) matters. What you see on the screen is a oftentimes a mirage.To clarify, I'm NOT heavy scalping. As I've written on ET on separate thread, I'm NOT micro-scalping. I trade off 1 min and 5 min charts. That's hardly heavy scalping. But you can still trade 10s of RTs a day off 1min and 5min charts. So my hold time is not seconds but minutes. So plenty of liquidity! I sim trade 5-10lot at a time. In real life, I wouldn't be surprise if the NQ can handle 20-40 lots with my timeframe easily. With the ES then it can be hundreds of lots. But I didn't practice with ES. But this is my own retail account. So it's a moot point really after 5-6 lots. I'm not going to risk it trading 20-30 lots anyhow. So it's no problem with liquidity.
But to answer your question, yes, I do trade real alongside with sim. For my real account, I'm trading 1 lot. Obviously no problem with fills there. I think I can easly go to 5-6 lots with exactly the same fills. Even 10. Let's see. I'm continuing to refine on the sim.
Scalping would be for the minimum tick size. You are not scalping, you are trading short term intraday. There is a high likelihood that what you are doing will not be profitable as you are getting nearly nothing when right.
Enough time has elasped to prove that my strategy needs some fine tuning for sure, if not a major overhaul. Live and learn
Can someone tell me if this is more/less the idea of scalping?
On average, on a given day a stock might be up or down say 1%. But during the day that stock would have been up and down .1% many, many times. So the scalpers are trying to say, OK, I'll risk the average 1% move for an entire day, but try and capture as many of those .1%'s as I can (really might be .2% if you count both the up and the down). Even if I just catch 2 or 3 a day, that might be like .4% or .6%, less than the 1% average daily move, but the chances of me getting caught up in and losing that 1% or something close to it are relatively small given that I am in the stock only a few minutes each time before I sell. So, on average, I will come out ahead.
That is very rough of course, but is that the general idea, or anything close to it?
Thanks so much!
On average, on a given day a stock might be up or down say 1%. But during the day that stock would have been up and down .1% many, many times. So the scalpers are trying to say, OK, I'll risk the average 1% move for an entire day, but try and capture as many of those .1%'s as I can (really might be .2% if you count both the up and the down). Even if I just catch 2 or 3 a day, that might be like .4% or .6%, less than the 1% average daily move, but the chances of me getting caught up in and losing that 1% or something close to it are relatively small given that I am in the stock only a few minutes each time before I sell. So, on average, I will come out ahead.
That is very rough of course, but is that the general idea, or anything close to it?
Thanks so much!
Ah, scalping is always considered the minimum tick size? Even if a stock has a 1 cent tick size, but a bid-ask spread of like 2.32 to 2.37?
Thanks Buy1Sell2!
Yes. Now you are beginning to understand. ---An issue with a bid-ask spread like that cannot be scalped anyway so the point you are making is irrelevant to the subject at hand.