Don's openings and more for 2005
- Thread starter Don Bright
- Start date
So you are saying you never lift offers or hit bids? If I'm offering liquidity I'll route to NYSE to try for price improvement. But if I'm taking liquidity why not use any liquidity available? Frankly, I'm a bit surprised a professional firm such as yours doesn't offer as many routing options as I can get retail.
1 step back today -400. Pattern for August.
We have all the routing options, and can choose to simply "smart route" - but why would we want to pay for "taking liquidity"?
The whole thing is simply a profit based business decision, nothing more.
All the best...I hope tomorrow's a bit better for you!
Don
I experimented a bit between taking Liquidity vs placing limit.
When we want to get out bad , the result is almost the same. WHen you place limit order, and the stock is moving unfavourably, it seems that the specialist still holds my order and then would print the limit order together in the large blocks. Only when the stocks move favourably the limit would do better which in this case I would not want to get out. Pretty dull day for OPG:
4 fills ( 3 winners and 1 losers)for a net of 200.
When we want to get out bad , the result is almost the same. WHen you place limit order, and the stock is moving unfavourably, it seems that the specialist still holds my order and then would print the limit order together in the large blocks. Only when the stocks move favourably the limit would do better which in this case I would not want to get out. Pretty dull day for OPG:
4 fills ( 3 winners and 1 losers)for a net of 200.
Just a comment on trading rules/procedures (you may already know this).
We place limit orders below the bid when selling, and above the offer when selling when we "want to get out bad" - because the Clerk/Assistant can push a button and immediately execute limit orders. Only the Specialist can execute Market orders, so they are usually "batched" every few minutes and may be executed at much worse pricing.
FWIW,
Don
I "second" that. I doubted this at one time since I had run in to a page on the NYSE site that claimed limit orders which cross the market as Don describes are treated just like market orders. From my own experience running identical "opg robots" (only differing in their exits) I would get taken to the cleaners a LOT more often exiting with market orders than deep crossed limit orders.
Don't tell anyone our "secret" - LOL..
Don
Small test positions, 1 short 1 long, both winners +50. Yawn.
Sorry to bore everyone.
Sorry to bore everyone.
After a very choppy August I revamped my approach. I have over a year's worth of statistics on my stocks, I know when I have a statistical advantage. Yet I've always traded the same size. This is equivalent of betting the same in Hold 'Em whether you have AA or 54. Makes for very choppy results, like I had in August.
So I've started aggressively adjusting my share size based on my statistics. This was a lot of work to get my home made software to deal with this flexibility. Today was my first day with the new methodology.
Only one day's results but......I'd say I got paid for my trouble.
5 fills +1252, 4 winners, 1 small loser. My capital usage was, if anything, less than average which is important to a retail trader.
+540 can be absolutely attributed to my more agressive strategy.
So I've started aggressively adjusting my share size based on my statistics. This was a lot of work to get my home made software to deal with this flexibility. Today was my first day with the new methodology.
Only one day's results but......I'd say I got paid for my trouble.
5 fills +1252, 4 winners, 1 small loser. My capital usage was, if anything, less than average which is important to a retail trader.
+540 can be absolutely attributed to my more agressive strategy.