Trading SPY

F

funky

I am starting to trade the SPY intraday and I was looking at a bunch of posts about spreads being .15, talking about trading intraday with SPY is useless....however I was a bit confused b/c I have been backtesting the past year and it seems like a great intraday trading vehicle. as to the spreads, I don't see these huge spreads some people were talking about....but these posts were posted around 8/02 - 9/02....interestingly enough, i came across this chart of the SPY....and I'm curious, what happened? It seems that the volume jumped from an average of 30 million shares to 50 million and up. I couldn't be the SEC thing with ISLD, was it? I don't see how that would cause the volume to jump so much.

anywhoo, some advice from SPY or QQQ traders would be great. I'm still not sure whether to trade SPY or QQQ but I think my strategy should work well on both.
 

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Also, does anyone have tick or 1-min data for the SPY for the past year? I'm trying to find a way to backtest manually my strategy.
 
esignal can give you 1min data for that period. I used to trade only SPY. QQQ's are way too choppy and the moves most of the time are very small. SPY's on the other hand are also very choppy, but less choppier than QQQ's, and SPY's make larger moves.
 
My experience:

QQQ's are choppy, with faster and more shallow moves. QQQ has a tight b/a, with quick fills of almost any size.

SPY has bigger moves, but in a fast market the b/a tends to widen and it is harder to get into and out of...

If I trade QQQ's on an intraday signal, I may be looking for .20 on 4000 shares

With SPY being priced in the 90's, I take less shares but the bigger moves make up for that - ie, 1300 shares looking for .60.

You have to trade them both to get a feel for what is right for you. What I like about QQQ is I can "pull the chute" with a market ARCA order, and get a great fill 99% of the time. I don't know if I could do that with SPY.

Anyone else care to comment?
 
Quote from kgharris:

My experience:

QQQ's are choppy, with faster and more shallow moves. QQQ has a tight b/a, with quick fills of almost any size.

SPY has bigger moves, but in a fast market the b/a tends to widen and it is harder to get into and out of...

If I trade QQQ's on an intraday signal, I may be looking for .20 on 4000 shares

With SPY being priced in the 90's, I take less shares but the bigger moves make up for that - ie, 1300 shares looking for .60.

You have to trade them both to get a feel for what is right for you. What I like about QQQ is I can "pull the chute" with a market ARCA order, and get a great fill 99% of the time. I don't know if I could do that with SPY.

Anyone else care to comment?
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yeah, i noticed the b/a thing, its one of the things that i am worried about since i'm papertrading right now. the other thing is trading blind on ISLD. Any ideas about this lately? ARCA is another choice, obviously.

the SPY seems to 'obey' my strategy slightly, but I can't really tell until I get some good historical data and seriously backtest it.
 
I have traded with and w/out ISLD. When it became invisible, it impacted me - psychologically.

But, now I trade mostly ARCA, and have no issues/complaints at all (QQQ, not much SPY these days).
 
i have a hot key set up just for spy trading -- it sends the order to the best ECN -- which is either INCA,ARCA or BRUT -- this works pretty well - although sometimes slippage is a problem-- Maybe because of the trade thru and quote thru rules ??? -- i was thinking of switching to the e-minis -- because of the tight spreads and instant fills -- the e-mini spread is equal to a 2.5 cent spread in the spy's ---

anyone else have any thoughts ????
 
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