From what I've been able to figure out, true emini scalpers are member traders, meaning they take advantage of the $50 daily cap for GLOBEX clearing fees. Also, they trade with firms that will clear their trades for very little commission. I think these guys might be paying a $1.50 a side while we pay $2.40.
Scalping e-minis
- Thread starter Breakout
- Start date
True scalping has become an oxy moron in the "first in, first filled"world of electronic trading. In the pit, trades are not time prioritized. Thus a floor trader (local) joins the bid or offer and "leans" on the customer orders that are resting at those prices. Through relationships with filling brokers, the local tries to buy the bid and sell the offer. The most egregious impact this practice has on both customers and other locals is when the market "turns". For example, lets say for the sake of argument that SP trades in .25 like ES does. Of course it actually trades in .10 but lets suspend reality. Lets say the pit is 25 bid at 50, 200 by 10. You need to buy 50 contracts. Your broker lifts the 10 lot offered and now bids .50 for 40. Other buyers move up and join the .50 bid, leaning on your order. Now an order to sell 20 lots enters the pit. You are not at all guaranteed of getting a piece of that 20 lots even though you were the first .50 bid. A scalper may get those twenty lots, lean on your 40 lots, hoping that you or someone else pays .75 before another seller emerges. On the screen the scalper has no like opportunity. As soon as you "made the market" on your .50 bid you were qued in first and any .50's that trade are yours until the balance of your bid is satisfied. Thus scalping in it's most primal form is rapidly becoming a relic.
Pabst, and that my friend is why I fell in love with globex when I first traded on it. Edge? What edge? That's the most overused if not down right false word in the traders vocabulary. Edge is what they once had on the floor.
But just fyi, I was filled all day by joining the bid or offer, and about 50% of my mkt exits were filled at the nice price (well not really, but I got the lucky bounce.)
But your point is well taken, there does seem to be an alarming shortage of paper in an electronic market.
But just fyi, I was filled all day by joining the bid or offer, and about 50% of my mkt exits were filled at the nice price (well not really, but I got the lucky bounce.)
But your point is well taken, there does seem to be an alarming shortage of paper in an electronic market.
Wow, I guess I did make money! I was figuring 14 trades, but it was only 7 r/ts, so it came out to 4 ticks total gross profit minus 7 rts.
so 7 trades
2 winners
4 losers
1 scratch
If you can make money with those stats, you have something to build on.
so 7 trades
2 winners
4 losers
1 scratch
If you can make money with those stats, you have something to build on.
and there was a 3 tick loss in there.
1 (.75)
2.(.25)
3.(.25)
4.(.25)
5. 0
6.+.75
7.+1.75
It really doesn't matter if you are trading for ticks or handles, when you get a string of small losses and a few relatively larger wins, everything just seems to go so way much better.
50 bucks minus 33 and some change comm = .34% (on 5000 per contract) so let's see, That's about 3 days for a percent, 10 percent per month....Yeah, double my money every year? no problem. (and then there's some compounding in there somewhere, and the IRS will be showing up for a handout, and I have to eat, then there is the question, do I really HAVE to eat?)
1 (.75)
2.(.25)
3.(.25)
4.(.25)
5. 0
6.+.75
7.+1.75
It really doesn't matter if you are trading for ticks or handles, when you get a string of small losses and a few relatively larger wins, everything just seems to go so way much better.
50 bucks minus 33 and some change comm = .34% (on 5000 per contract) so let's see, That's about 3 days for a percent, 10 percent per month....Yeah, double my money every year? no problem. (and then there's some compounding in there somewhere, and the IRS will be showing up for a handout, and I have to eat, then there is the question, do I really HAVE to eat?)
hey profitseeker,
you do quite have a good sense of humor (not alone in this post, i remember "the easiest system under the sun" thread)
trader fail for 2 reason, they are:
1. undercapitalized and/or
2. overmotivated
so, you better have a ton of $ and take it easy, best way to make a living...
tradingFor those looking to scalp the e-minis, when you do your math and analysis, don't forget to account for the fact that you are starting at a one tick disadvantage from the get-go due to the bid/ask spread.
Say you put a buy order in at 882.50 and get filled. Now if you use a 2-tick stop loss and put your sell order at 882.00, you only need one tick against you and you are filled. Similarly, the market has to move two ticks in your favor for you to show a profit, as the first tick takes you to break-even.
This one-tick disadvantage also makes backtesting on 1-min charts more difficult, not to mention many cases where you don't know if your stop order was hit before your profit target on the same bar. Also, if your stop-loss or profit target was the high or low of a bar, you can't tell for sure if you would've been filled. Even if it is one tick past your entry/exit price, if the market touched it and bounced off your order may not have been filled.
A good sanity test is take your backtesting or papertrading results and charge yourself one tick. Can your system survive the 'one tick test'?
I developed an emini scalping method on 1-min charts with profit-target of 1.50 with stop loss of 1.00. 65% win-rate tested over 2 years of intraday data. I felt pretty good about the results. No optimized parameters. I traded it for 4 weeks and while the system showed I should've made 38-point gain after 100 trades, I only made 12-points before commissions. After commissions a mere 2-points profit.
Now if only I can push the win-rate to something like 75%...
Say you put a buy order in at 882.50 and get filled. Now if you use a 2-tick stop loss and put your sell order at 882.00, you only need one tick against you and you are filled. Similarly, the market has to move two ticks in your favor for you to show a profit, as the first tick takes you to break-even.
This one-tick disadvantage also makes backtesting on 1-min charts more difficult, not to mention many cases where you don't know if your stop order was hit before your profit target on the same bar. Also, if your stop-loss or profit target was the high or low of a bar, you can't tell for sure if you would've been filled. Even if it is one tick past your entry/exit price, if the market touched it and bounced off your order may not have been filled.
A good sanity test is take your backtesting or papertrading results and charge yourself one tick. Can your system survive the 'one tick test'?
I developed an emini scalping method on 1-min charts with profit-target of 1.50 with stop loss of 1.00. 65% win-rate tested over 2 years of intraday data. I felt pretty good about the results. No optimized parameters. I traded it for 4 weeks and while the system showed I should've made 38-point gain after 100 trades, I only made 12-points before commissions. After commissions a mere 2-points profit.
Now if only I can push the win-rate to something like 75%...
Let's slow down the entire process. I am watching the tape (as I have been doing all day today -- slow day at work!) and the current price is:
882.25 x 882.50
I decide to purchase at ask for 882.50. Now, if I put a stop loss in at 882.00, then in order for my stop loss to trigger, the bid has to fall to 882.00 -- where there is a chance I will get filled, depending on how hard ask is hitting demand and where I am in the que.
Now if bid were to fall to 881.75, then I will definately have been stopped out since ASK drilled through my stop-loss level.
So in essence, if it ticks one way against you, you may or may not get stopped out -- but two ticks and you are definately out (assuming you put a two tick stop loss underneath your purchase price).
However, if you were scalping for a point, why would you want to put a 2 tick stop loss order in to begin with? If you are watching the tape, you should eye the level of contracts sitting at bid and ask if it is trading slow enough and get a feel for the momentum. If I scalp for a point and give a stop loss of 1.5 points and I trade into momentum, statistically I should hit my target before getting stopped out, unless the market just decides to get funny.
I'm curious about your system. Do you use IB? If so, I can program an auto-scalping program that uses your exact mechanical approach -- and if you can't trade fast enough, I assure you that this program will be able to do what any human can do x10 faster.
You can set up a program to eye simple parameters and then make trades on .25 - .50 pullbacks from the short-term trend and then grab a point -- much faster than any human could do so.
E-mail me -- I am writing an autotrade program for IB to do things faster than I could (self-adjusting stops, trailing stops, etc...)
aphie
dottam, nice work. Any system which shows any profit has value. You know how hard it is to make money in this business?
But I totally disagree. Any hit rate over 50% is just good luck. The answer isn't the hit rate, the answer I am sure of it is the r to r.
Now don't get me wrong, I don't think you can make money with a good mm system, but I do think if you have a good mm system in place, it will capture good luck.
Man I would love to talk to you about system testing. To me, that is the most exciting frontier. Since I believe we all trade with a system, but we don't always know it. And when you inject just one little character flaw into your system, it produces disasterous results.
And I truly believe, a guy who is not a good trader will never come up with a good system, because he isn't thinking right to begin with.
But I totally disagree. Any hit rate over 50% is just good luck. The answer isn't the hit rate, the answer I am sure of it is the r to r.
Now don't get me wrong, I don't think you can make money with a good mm system, but I do think if you have a good mm system in place, it will capture good luck.
Man I would love to talk to you about system testing. To me, that is the most exciting frontier. Since I believe we all trade with a system, but we don't always know it. And when you inject just one little character flaw into your system, it produces disasterous results.
And I truly believe, a guy who is not a good trader will never come up with a good system, because he isn't thinking right to begin with.