Generally....over 25 starts to partial.....but usually not a prob...its according to what is going on, volume and time of day......
Michael B.
Michael B.
How to Determine Position Size to Limit Slippage?
- Thread starter mazotrade
- Start date
during liquid times, u can see at least 1000 contracts on the best bid and offer. during less liquid times, a few hundred contracts.
during crazy times (unemployment reports and the like), that's a different story.
to put this to dollar terms, even 200 contracts on the best bid and offer would equate to around 10 million dollars worth of risk that you can easily get out off with a click of a mouse.
extremely liquid!
during crazy times (unemployment reports and the like), that's a different story.
to put this to dollar terms, even 200 contracts on the best bid and offer would equate to around 10 million dollars worth of risk that you can easily get out off with a click of a mouse.
extremely liquid!
sell into strength, buy into weakness
-m.o.
-m.o.
The generalized solution for trading over a full range of equities on any fractal and optimizing capital appreciation is two fold.
My basic strategy is to attain high money velocity firstly by picking the better fractals. Our basic difference may be the amount of capital involved.
You scalp it turns out.
The two facets involved are individual trades and the magnitude of the market.
Here are the two bottom line rules. You can back into the details of getting to this strategic answer.
1. Through the RTHs maintain a maximum cummulative trading activity. My maximum number is 10% of total cummulative volume for RTH that day in that equity in that market. (There is a liquidity Q, of course but that is built into basics of approach that anyone develops.
2. Trade at the T&S mode block size as it changes through out RTH. Mode means most frequently occuring in the contemporary moments.
General nature of things. You need to use capital to make money. Therefore, you must distribute capital over as many opportunities as required to apply all capital. For non equities you can "ladder" entries and "ladder" exits keeping a mean amount of capital at play. For all excursions as you maintain a % of cummulative volume, you will find that you will be blocking with one entry size and exiting with a smaller exit size. The Constant is amount of capital in entry vs exit. Therefore, you will do fewr entries (time separation greater) and more exits. Your target net profit yields the Constant.
As you get this stuff down, you will find that you can make much more money. About three improvements will get you to an order of magnitude difference.
Some of the comments in this thread are kinda lame.
My basic strategy is to attain high money velocity firstly by picking the better fractals. Our basic difference may be the amount of capital involved.
You scalp it turns out.
The two facets involved are individual trades and the magnitude of the market.
Here are the two bottom line rules. You can back into the details of getting to this strategic answer.
1. Through the RTHs maintain a maximum cummulative trading activity. My maximum number is 10% of total cummulative volume for RTH that day in that equity in that market. (There is a liquidity Q, of course but that is built into basics of approach that anyone develops.
2. Trade at the T&S mode block size as it changes through out RTH. Mode means most frequently occuring in the contemporary moments.
General nature of things. You need to use capital to make money. Therefore, you must distribute capital over as many opportunities as required to apply all capital. For non equities you can "ladder" entries and "ladder" exits keeping a mean amount of capital at play. For all excursions as you maintain a % of cummulative volume, you will find that you will be blocking with one entry size and exiting with a smaller exit size. The Constant is amount of capital in entry vs exit. Therefore, you will do fewr entries (time separation greater) and more exits. Your target net profit yields the Constant.
As you get this stuff down, you will find that you can make much more money. About three improvements will get you to an order of magnitude difference.
Some of the comments in this thread are kinda lame.
Stocks suck personnaly I have never succeeded to buy stocks without these @#!\§% cutting my order into pieces , better go to future only for that single reason 
.
. Hi, mazotrade
The general rule:
Open Outcry exchanges have big slippage; Direct Access exchanges have almost no slippage.
If you want very low-sometime zero- slippage try E-mini futures;
E-mini Nasdaq-100 Futures, Mini Dow Futures or E-Mini S&P 500 Futures. Paper trade a few weeks and see which is ok for you.
(Start with Dow, than Nasdaq and the last S&P. I will stay with Dow because of ok volatility and tick size). Much better than scalping stocks:
-100% Electronic Environment
-better leverage
-less taxes to pay and easy reporting
-no wash sales rule
and a lot more.
Good trading
The general rule:
Open Outcry exchanges have big slippage; Direct Access exchanges have almost no slippage.
If you want very low-sometime zero- slippage try E-mini futures;
E-mini Nasdaq-100 Futures, Mini Dow Futures or E-Mini S&P 500 Futures. Paper trade a few weeks and see which is ok for you.
(Start with Dow, than Nasdaq and the last S&P. I will stay with Dow because of ok volatility and tick size). Much better than scalping stocks:
-100% Electronic Environment
-better leverage
-less taxes to pay and easy reporting
-no wash sales rule
and a lot more.
Good trading