Futures Brokerage Suggestion for High Volume Trading?

[traderzhang]

I developed an algo strategy in backtesting that executes ~400 trades per day on ES and VX, but with low profit margin - ~$5 per contract per trade (I'm assuming 0 negative slippage because every trade is against price movement). If the fees are $2.50/contract each side all in, it would be non-viable.

I'm Looking for a brokerage that has a good API or better yet, compatible with DAS trader, and of course, low fees per contract. Also looking for other ways to reduce CME and CBOE fees.

Thanks!

 

[CannonTrading_Ilan]

Hello @traderzhang we offer what you are looking for. Also if the strategy works, it may be very beneficial to help you lease a seat on CME to reduce the fees considerably.
Happy to discuss in private if you like. https://www.cannontrading.com/services/cme-membership-prices
https://www.cannontrading.com/software/futures-trading-api

 

[SunTrader]

Backtesting is 10%. Forward testing, i.e. actually trading with money at risk, is the other 90%

 

[traderzhang]

Backtesting is 10%. Forward testing, i.e. actually trading with money at risk, is the other 90%

Agreed! I'd love to find the ideal brokerage where I can start the forward testing

 

[CannonTrading_Ilan]

Agreed! I'd love to find the ideal brokerage where I can start the forward testing

you can even do forward testing using simulated trader, it just needs to be a "very realistic" simulator, one that does not fill you at bid/ask right away but mimics live trading where you have a place in the que/line. CQG comes to mind as well as a few others including our own E-Futures https://www.cannontrading.com/software/e-futures-international

 

[SunTrader]

Agreed! I'd love to find the ideal brokerage where I can start the forward testing

Well unless you first do as Ilan as suggested; apply to lease a seat from the CME, lower commish is only half way there.

 

[ajacobson]

Consider joining an existing desk/shop. Look at exchange member firms that fit your geography.

 

[QuantVPS]

What language is your strategy written in—Python?

Another option to consider is trading directly through TradeStation or NinjaTrader. These platforms not only offer robust APIs but also allow you to leverage their native programming languages, providing advanced GUIs for monitoring, development, and backtesting. Their competitive fee structures could also play a key role in maintaining your strategy's profitability.

As Ilan reached out, it might be beneficial to chat with multiple brokers to discuss your strategy and explore what fee arrangements they can offer.

 

[Coin Flip]

I developed an algo strategy in backtesting that executes ~400 trades per day on ES and VX

You will have your pick of brokers since your high volume will make you one of their most valuable clients.