I hate adding to an old thread but I've read about this a bit. Below is my idea of how I would do it in separate accounts, during low volatility times, when the market is moving in a predictable range. My goal would be to accumulate and distribute while having (Inventory) on both sides of the market.

I would accumulate my Sell (Inventory) when price hits the R at the top of the range. I will distribute along the way while still carrying a net short position in the market.

The same will be true for the Buy (Inventory) accumulating towards the bottom of the range, distributing at the mid-line and towards the top.

As long as price stays in balance, within this range, I will continue to keep my Buy/Sell inventory. If a breakout happens and has strength, I will 'puke out' on the weak side and keep my inventory on the strong side.

Perhaps a bad idea but I saw this being discussed on another forum with links here.

tderrick 

I can't believe I haven't run across this idea until now. It works in Market Replay, but I'm not sure if the exchanges would allow it.... Is it possible to have an overall long or short position going, but then scalp along the way either long OR short? I love to trade ping pong edges in tight consolidation. However, the macro trend may still be valid. So I guess the question is - Can you have a long contract going then short a scalp along the way, of course with a separate contract? How long have I been trading ? NQ in particular .. AMP / CQG grazie

You can trade "spreads" they just can't be on the same contract using the same commodity, index or financial. But its common to trade calender spreads such as long ESZ18 and short ESH19 or Long ESZ18 and short YMZ18

Now that we have Micro contracts, would it be considered as Wash Trade if I try hedging with one mini and 10 micro contracts? In other words can long 1 mini and short 10 micro contracts? I looked everywhere but couldn't find an answer.

A wash trade is intentionally buying and selling at the same time.

Being Long ES and short MES is not a wash trade and is very allowable. Also from a margin standpoint if you are for example Long 1 ES and Short 5 MES you will get margined as if your position was Long 5 MES since they offset.

In addition many of the physical delivery micro's are fungible/convertible into the full size contracts. So if you are long 10 M6E and short 1 6E, you can ask you broker to offset the positions. This is definitely true for all 5 micro currencies (M6A, M6B, MCD, M6E, MJY), Gold (MGC) at a 10:1 ratio and Silver (SIL) at a 5:1 ratio. Could be others that I'm not yet aware of.

You can't do this with financially settled contracts but since their margins offset, you don't need to worry about it.