Market capacity is an important consideration after you have been trading for a while.
Keeping capital in the markets is important.
Broad markets with a lot of instruments are different than, say, ES, which is a single instrument.
T&S is your guide for every instrument. You may not use a level of particiaption that penalizes you. Back of somwhat from the larger blocks that are flowing on the T&S to get the partial fills to complete your entry or exit in equities. I know you are focused on day trading BUT it is possible to do 5 to 10% a day on equities while trading their "natural" cycle over a few days. yohoo hit the nail on the head by suggesting not exceeding 10% of volume for an equity. To further his comment, do not exceed 100,000 positions ever but spread over several issues. I feel that 10 to 50 dollars is the range and the mode is as near 25 as possible. Because entry is at a lower price and where volume is a fraction of the peaking, a ratio of 20 to 30 for entry to exit is likely interms of partial fills required. Holding 30 million in this way, unleveraged, would take about 10 streams of capital and this kind of trading means that you are focused on 3 to 4 stocks a day and the capital is being crossed over doing partial fills up to about mutual fund settlement time each day. after that just do exits in order have opening cash available.
For slower trading with larger capital, a four week cycle is called for. You can still use the same way s above but several days are required the fill for trading a longer fractal cycle; the profits drop to 4% a week average over the hold.
The intraday trading in single instrument markets is different. this is high velocity trading and deals exclusively with what the market offers. This is in contrast to focusing on disturbances and measuring magnitude of disturbances.
Markets flow money from the majority view to the minority view. What is offered is how much is being transferred at a particular time. The two flow meters are market pace and depth of the market. The flow may only occur between two boundaries that are established by the majority building walls (limit orders) that exceed the capacity of the market.
This gives the context of what may be day traded. One side of every trade is a market order. Trading with market orders is how money is made. Expert trader value timing over price. One of my recently deleted posts made this point in the context of big money trading and how it related to floor trading in the past.
Pace increments are exponential in nature and follow the Power Law. Over the last 12 months the pace levels (as quintiles) have migrated by 70% in an upward direction. The majority and minority are controlled by those who trade at market opposing each of these two groups as the balance swings from one side to the other.
Since the capacity is exceeded by limit orders for all paces of the market, it is incumbant of the trader to optimize his velocity of profit flow by doing partial fills. I feel that there is a set ratio of total fill to capacity which is 5. To be able to handle this during a day where there are five pace shifts in a catinary function, it is necesary to have the pace known at all times and to know the minority depth at that time as well since you are trading opposite the minority.
In odd harmonic markets, the technique of partial fills is orthagonal to that of even harmonic market fills. Only one dimension needs to be considered to handle this. That is relating price to the action timing. The math of this would take a little explaining and I am not able to make the investment right now.
If anyone has saved my many posts that were deleted I would appreciate being able to recover them as an archival matter related to my writing projects. PM me with any ideas you have.
