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Predictor

Trading in Small Vs Large

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One concept Dr. Steenbarger mentioned a few times was that if you can eek out even a small bit more from your trades then it can add up to a lot.

 

If you get just 1 point better fill over 100 trades then that is worth $5,000.

 

Now, I have always considered myself who trades "in the large". When I try to eek out that 1 extra point I've found it often cost me a lot more. But on the other hand, there are times I go to market and could have "easily" got a better entry. If you look at a method that only makes on average 3 points then 1 extra point is 33% gain.

 

How do you manage to get best fill while not missing the trade? One idea of mine would be to use an algorithm for this, I just tell it I want to go long/short and it uses a programmed logic to get me the best fill.

 

Note I'm not talking about "filling a big order" but getting me the best pricing while not missing the move.

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How do you manage to get best fill while not missing the trade?

 

I am not sure what you mean by big order. I find the best fill without missing the trade is a fill. i.e. buy at the ask and sell at the bid. Greed is what causes you to miss a trade.

 

I have a problem with pricing, I use Bloomberg for live prices and it differs from my brokers. Both are delivered through the internet and most times my brokers prices can lag up to 4s from Bloomberg. This reinforces; buy at the ask and sell at the bid, since the price you see from your broker may not be the actual market price.

Edited by xioxxio

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xioxxio - what are you trading to get radically different broker prices and bberg prices?

recent days we have seen this in the office with equities and a few futures due to the massive increase in volume and vol, but normally its all pretty good - but 4s delays is not good...I ask as we also are in Sydney

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On the ES, it was pre-market and in the first 30 minutes into the trading session. Also when the market goes nuts. I watched the ES go up 3 ticks and back down and IB did not even flinch. I was horrified.

 

I am in the process of looking for another data provider for futures to execute through. I will keep IB for stocks only.

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we have had similar issues in our office but on different systems.

IRESS has been slow - you can see the prices updating ok, but the last sales and the charts have been behind....mind you the volume and speed make this understandable. When you have a whole equity market up or down 1% in less than 3-4 mins at one stage it is to be expected.

Interestingly enough IB was accurate for one of the guys in the office while Iress was slow.

None of us were trading the ES - only Australia the last few days.

trading ES or any other overseas market, you had better have a massive pipe for the info n days like the recent ones, otherwise I dont think you can blame the system.....this is why many banks, hft locate at the exchanges.

A friend was up trading the ES and said he just expects this lag and compensates by legging in his positions expecting bad fills.....and then puts in limit orders when taking things off as profit targets but market orders for stops.....he says it is the only way he can be confident of fills....the worst thing is waiting to see if you are done or not as the lag does not give you your position. (I stopped trading the other day as an instance of this caused me enough frustration - thankfully as it would have cost me when the mkt here was down 5.5% then rallied to be up 1% and I wanted to short it)

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I am not sure about IRESS, I am surprised it is slow, are you running the web version?

 

We have servers in the colo of the exchanges we trade. If not we use Bloomberg or Reuters data.

 

It is amusing watching the differences in IB and BB on the ES

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if you can eek out even a small bit more from your trades then it can add up to a lot.

. . . . .

When I try to eek out that 1 extra point I've found it often cost me a lot more. But on the other hand, there are times I go to market and could have "easily" got a better entry.

 

It's very difficult to time the perfect entry or exit. You need a good "signal" to tell you when to fire off the trade. If anyone watches price on the trading ladder, you'll see price surge hard when it decides to move to the next level. And often times, when price crosses a major support or resistance line for a peak or bottom, the price literally only crosses the line for a split second. You have no time to react in those situations.

 

It's difficult to know if price is going to surge hard over a support or resistance line and keep going, or just cross the line in a split second, and then reverse.

 

Automated entries and exits would probably help with speed of the execution, as long as it's a good signal. If it's a set up that you use all the time, then I'd think an automated order would be great.

 

Then there is the option of scaling in.

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I am not sure about IRESS, I am surprised it is slow, are you running the web version?

 

We have servers in the colo of the exchanges we trade. If not we use Bloomberg or Reuters data.

 

It is amusing watching the differences in IB and BB on the ES

 

yes i have the web version, but the guys in the office with the full blown version were just as slow.....just too much volume and volatility I guess...it sporadically caught up but was never quite up to scratch, and when the match came - forget about it.

(personally Iress for ASX was the bees kness - now its no where near as good as it used to be, but its still sufficient, and BB is better - but i dont need the bells and whistles for the extra monthly costs)

I am pretty sure the IB servers are back in the US (maybe not), but as a retail product they do pretty well.

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One concept Dr. Steenbarger mentioned a few times was that if you can eek out even a small bit more from your trades then it can add up to a lot.

 

If you get just 1 point better fill over 100 trades then that is worth $5,000.

 

Now, I have always considered myself who trades "in the large". When I try to eek out that 1 extra point I've found it often cost me a lot more. But on the other hand, there are times I go to market and could have "easily" got a better entry. If you look at a method that only makes on average 3 points then 1 extra point is 33% gain.

 

How do you manage to get best fill while not missing the trade? One idea of mine would be to use an algorithm for this, I just tell it I want to go long/short and it uses a programmed logic to get me the best fill.

 

Note I'm not talking about "filling a big order" but getting me the best pricing while not missing the move.

 

Hi, thanks for the article. I have written on a similar topic here:

 

http://www.traderslaboratory.com/forums/forex/18608-trading-small-account-sizes.html#post193800

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