Quote from def:
And you'll get all 75K in one fill? Do the same math on 100, 500 and 1000 shares.
Surprisingly yes, and in two contracts, both trading between $5 and $10 (no, not their range - I wish - one is near one end, one the other). The trades wouldn't suggest it has such good liquidity, but after the first five minutes the book is full for every tick for several ticks up & down, with a spread of 1 and on rare occasions 2. Would fill in one tick with occasionally needing to take from the next. There's a lot of sideways within a day, along with regular movement. Testing shows a day would typically involve an entry and 30 to 40 reversals required to ensure I'm in place for the quick higher ranging price jumps. In fees, that adds up. A lot.
The past two days are a little weird with volume down so far compared to recent weeks, but it looks awfully good.
Did a quick volume test the other day to confirm that the book wouldn't jump away. One click in, pause one click out: one cent difference on the spread. Only one cent lost to the test, but at the final fee it was an expensive test none the less.
I used to be able to easily get 10 lots of rimm when it was between $120 and $150, and usually could bump that up to 16. In slower periods, usually afternoons, I'd have to go down to 5 lots. Now, I can't find a safe way to enter aapl without going down to 2 lots, and it's still iffy. And it's down to 5 lots of rimm and I have to wait well past open for the book to fill up before trading, even with it's current low price.
If I can't get my money into the market, it's not doing anything for me.
So, given the available book on those two contracts, they look mighty viable. NASDAQ is 1 cent round trip. TSX is two.
Questrade on TSX is 1/3 the fees.
I went to IB for large cap. Use SMART. In 400 trades for my testing, there have been six where I've felt, well, used, due to very poor fills that didn't make sense given the book. The bulk of the trades are appropriate to the book, and near half the time somewhat better than expected. Depending on the day, around 1/8 of the trades are filled with me saying "how did I ever get that good a price". So I'd gladly put up with the six bad fills - that's an awfully good ratio.
But, to run this under $10 stuff at a volume that's worth my time...
I may end up running low volume on auto through IB API, and do larger volumes at Questrade due to the fee difference.
As trades will almost always be taking liquidity, not sure if it's even worth it to do the math on the alternate pricing structure. I should see if anyone's developed a spread sheet for that.
