scalping ES

This is a discussion on scalping ES within the Discretionary Trading forums, part of the Methods category; Today for the first time I tried scalping ES on paper trading., I am using Tsim. My profit target was ...

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Old Aug 8, 2005, 6:02pm   #1
 
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scalping ES

Today for the first time I tried scalping ES on paper trading., I am using Tsim. My profit target was 0.25 and loss target at 0.50. I am using IB.
I made 84 wins and only one loss. Tha commission was 408 . I made gross profit of 1050.This was so easy. The trades were filled in one or two seconds and trade completed in another one or two seconds.
I was also doing buy at bid and sell at ask.

What am I missing? Making profit was so easy. Will the fast execution continue on real time basis. one trade only at a time.

Has anybody tried scalping like this. Commission is very high but so what if you end up making profit. I just have one minute bar chart- no technical indicators and I do the trade looking at the last bar.

Comments very much appreciated . Thanks
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Old Aug 8, 2005, 6:12pm   #2
 
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only disadvantage of sim trading is how realistic is the fill. X_trader simulator counts the bid/ask size and order flow and gives a semi-realistic estimation of when you might get a fill, but its still a bit optimistic.

If your simulator was only taking 1-2 seconds for a fill i'd say thats mega unrealistic. I've traded ES and waited minutes at a time for a limit on the bid/ask to fill - ES is pretty deep and sometimes there are upto 5000 contracts on the bid/ask... you join the queu behind that lot and see how long it takes to fill!
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Old Aug 8, 2005, 6:52pm   #3
 
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In SImulation mode on Tsim , when your price is hit the order will be filled , in reality there may be another 1,000 odd orders in front of you
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Old Aug 8, 2005, 7:14pm   #4
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The few times I've traded ES via IB and another interface, I've been filled very very quickly - 1 or 2 seconds I would say. If you're trading with small size this shouldn't present a problem.

EDIT : of course, this is using market orders - limits may take longer, as Arb says.
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Old Aug 8, 2005, 7:25pm   #5
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Quote:
Originally Posted by Arbitrageur
only disadvantage of sim trading is how realistic is the fill. X_trader simulator counts the bid/ask size and order flow and gives a semi-realistic estimation of when you might get a fill, but its still a bit optimistic.

If your simulator was only taking 1-2 seconds for a fill i'd say thats mega unrealistic. I've traded ES and waited minutes at a time for a limit on the bid/ask to fill - ES is pretty deep and sometimes there are upto 5000 contracts on the bid/ask... you join the queu behind that lot and see how long it takes to fill!

yep.

also think of the time for reporting a fill.

unless you have a direct connection to the exchange, fill confirmation could take 1-2 secs which could make a huge difference if on a regular broadband connection.

most pro scalpers will be looking at at least 30-50% scratches (getting out where you got in), so you still get hit on costs. costs MUST be low low low for scalping anything.
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Old Aug 8, 2005, 7:35pm   #6
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Quote:
Originally Posted by osho67
Today for the first time I tried scalping ES on paper trading., I am using Tsim. My profit target was 0.25 and loss target at 0.50. I am using IB.
I made 84 wins and only one loss. Tha commission was 408 . I made gross profit of 1050.This was so easy. The trades were filled in one or two seconds and trade completed in another one or two seconds.
I was also doing buy at bid and sell at ask.

What am I missing? Making profit was so easy. Will the fast execution continue on real time basis. one trade only at a time.

Has anybody tried scalping like this. Commission is very high but so what if you end up making profit. I just have one minute bar chart- no technical indicators and I do the trade looking at the last bar.

Comments very much appreciated . Thanks


this is what they want you to think. you start trading like this and ib earn loads of money is commissions
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Old Aug 8, 2005, 8:18pm   #7
 
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osho67 started this thread Hi Arb
What about limit orders in YM, is that as deep as ES?
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Old Aug 9, 2005, 8:39am   #8
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As pointed out above by others you are fooling yourself by buying the bid and selling the ask in a simulator. In real life your chance of getting a fill is minimal unless the price trades trough your bid / ask and then you are no longer buying at bid or selling at ask.

YM is much thinner but it is also a totally different game for scalping because of smaller tick size etc.

Bungle
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Old Aug 9, 2005, 8:48am   #9
 
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osho67 started this thread Hi

I think the problem with the simulator is that it uses Last Price (this is on IB). Is there a simulator that closes a trade on Bid or Ask only
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Old Aug 31, 2005, 3:29am   #10
 
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I use Ninja Trader platform. Has most realistic fills for simulation.... I believe IB offers it ...cost $50.00 per month.......I would echo Dr. Bundle's sentiments about buying the bid and selling the ask...must trade through price 90% of time to get filled.
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Old Sep 29, 2005, 8:24pm   #11
 
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try buying the ask and selling the bid in your simulations ( ie hit and lift) as this is a worst case scenario (almost) and a definite fill, look for 1 - 2 ticks profit es or 3-6 ym. if you make profit consistently on a # of trades per day this way, your laughing!

happy trading
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Old Sep 30, 2005, 8:11pm   #12
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Quote:
Originally Posted by osho67
What am I missing?
In answer to your question, you are missing reality.
Slap some money on your trades and welcome to the club.
The nature of your questions will change.
Be careful with a stop that is twice as deep as your profit.
What % accuracy do you think that you will need to bring you into profit after slippage and fees on this basis?
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