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But they do not have direct access to your order's identity. They have ways to infer, but don't know definitively, if your 1, 5, or 10 lot order is retail or not.
As far as painting the tape (or walking the price up or down to squeeze opponents), they incur short-term risk by doing this. Their accounts are big, but not bottomless.
Anyways, the end result is to trade along the big players and not get wiped out through volatility and tight stops.
No one would be here if they thought they didn't stand a chance.
I totaly agree with you. There are always the bears and the bulls and if you are a bear you have to know where the bulls have their targets and stops to know where the bulls are selling because they get liquidated and this is often the point where you enter a trade as a bear. It's not the marked who is against us because we are the market
I know a guy who works for FINRA, his advice to me was if you ever trade more then 10 contracts,
"the algo's will start picking off your trades". I'm not even sure what that means exactly, but this is a guy who is on the inside and has been around
the pits for more then 30 years and was pretty convinced there was some chicanery going on. His advice was multiple account trading less then 10 contracts each.
A few years back trading micro FOREX contracts they were notorious for having these outrageous overnight spikes- stop you out and go back in your direction-
it happened too many times to count ................
breaking your lot size on the same account would have the same effect, unless you are alleging your broker or the exchange is sharing account_ids along with the order_ids.
as long as your account_id and order_id is not revealed by your broker or the exchange directly or indirectly to other active market participants, then your order won't stick out or be identifiable unless you are overtly trading large lots.
also, there already are many algorithms that split up a large order to smaller lots, that's very common and normal.
Just a quick side question - What if you are trading less liquid instrument, such as Copper or Sugar or Orange Juice or Cotton or Heating Oil with more than 10 lots instead of regular suspects like ES and NQ?
Does the market still 'go after' you and try to murder your positions with algos?
He didn't differentiate between markets and his magic numbers was 10 contracts. He was absolutely convinced you would see diminished system results with 10 or more contracts. As for softs, in my experience Coffee (KC) has some of the horribly worst spreads, slippage and fills. And while not a small market it's not as big as the indexes. It's so bad on a daily basis I've started trading it in a weekly basis, as the slippage was so terrible compared to a benchmark spreadsheet, it was almost not worth trading!
I once calculated average tick size for the markets I trade, ZB being the highest ($31.25), B6 being the lowest ($6.25), with KC ($18.75) being above the average of ~$14.00, it wasn't uncommon to slip 10 to 12 points from my stop price to fill price. If you estimate your average cost at $50 per trade when testing, KC is way way higher.
While that info is interesting, I'd like to see how those stats change throughout the day. I've noticed that slippage is clock dependent, in times of low volatility it seems spreads and slippage rise (overnight) as well as times of heavy volume and volatility (FOMC days). I benchmark my system on a spreadsheet for pure signal generation (no commission or slippage) and compare it to my real money trading account. This year I've placed over 2,200 trades on a basket of 19 commodities, real time, and the average trade cost is exactly $48.18, which represents commissions, exchange fees and slippage. As I've said previously markets like KC especially with opening gaps have very large amounts of slippage, and others not so much. I think most quants when they back test a new system they usually factor in between $50 ~ $100 per trade just to give themselves room for error, so my number isn't out of the range of possibilities.