1 tick scalping strategies

This is a discussion on 1 tick scalping strategies within the First Steps forums, part of the Reception category; here's a real, workable strategy for you: in the FGBL future, or indeed, any future with a reasonably liquid back ...

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Old Aug 24, 2008, 6:33pm   #9
 
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here's a real, workable strategy for you:

in the FGBL future, or indeed, any future with a reasonably liquid back month & calendar spread;

watch the range of the calendar spread, and try buying it at a below-average price, or selling it at an above-average price.When you get a fill, in the spread, leg out via the outrights. The calendar contract is fungible against the front and back month outrights.

Voila! you just scalped a tick!

Because your trade is in the spread, you're somewhat hedged against up/down directional movements in the outrights, and if you get legged up, you could (usually) get out for scratch or a tick or two loss.

You will find, however, its not as easy to execute as it is to describe, and that this description is an extremely simplistic one at best.
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Old Aug 24, 2008, 6:38pm   #10
 
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Do you do this arb?

I thought it was impossible?

I thought it in fesx but it was too machined...
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Old Aug 24, 2008, 7:38pm   #11
 
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Here is a strategy I have employed in the US 10 Year T-Note. Define a decent support/resistance area on the chart and wait for the market to confirm by hitting it and rejecting. This needs to be done in a time of relatively low activity e.g. I do it before the US open or around US lunchtime. So lets say you are trying to buy 11600. Wait for the market to trade up a tick and then bid 11600 wth a 1 tick automatic stop. As soon as you get filled hit the offer. If you watch the size carefully you can try and time it so that you get a good place in the queue on the offer so that if the bid gets hit, you can get out easier. Otherwise there might be a problem if not enough size transacts at your offer once you are in. Anyway, lets say you are doing this on a 1 lot. Well, once you have done this twice in a row and taken 2 ticks out of the market you can do it on a 2 lot with no more added risk than you initially took. The very next trade you can do it on a 4 lot. Then you can do it on an 8 lot and repeat. Sometimes price will trade in a 1 tick range for a while and if you have a directional bias you can establish your huge size and then let it go and hope you have called the market to the tick.
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Last edited by trader_dante; Aug 24, 2008 at 7:44pm.
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Old Aug 24, 2008, 8:17pm   #12
 
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Quote:
Originally Posted by DC STOXX View Post
Do you do this arb?

I thought it was impossible?

I thought it in fesx but it was too machined...
I dont do this. it was a slightly tongue in cheek response to the OP, who wanted a strategy for scalping 1 tick. This is a legitimate way to scalp a tick, however.

If you really want to scalp single ticks, doing it through the spreads is a somewhat less-risky way. Legging out however, is the tricky bit.
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Old Aug 25, 2008, 6:43am   #13
 
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I'll see if I can find my 5 tick strategy, it's around somewhere. You can modify it by closing 4 ticks early.
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Old Aug 25, 2008, 7:09am   #14
Joined Aug 2008
Trying to scalp for 1 tick is, indeed, a bad idea. Professional scalpers rarely, if ever, enter a trade with the intention of taking 1 tick. They are usually looking for anywhere from 3 to 8, depending on the volatility. They might take 1 tick if it looks like they're not going to get anymore but 1 tick is not the goal because you can't always get out for a 1 tick loss. You have to give the market a little room at times. So if you're taking 3 and 4 tick losers, you have to take 3 and 4 tick winners.
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Old Aug 25, 2008, 7:49am   #15
 
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hayag108 started this thread Thank you all for your feedback.

The question was put out there knowing full well the challenges. As expected, many people shared good insights.
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Old Aug 25, 2008, 11:56am   #16
Joined Dec 2003
Chances are people looking for 1 tick will get it most of the time. That' the good news.

The bad news though is that when wrong chances are they'll lose 5 or 10 ticks.

Conclusion - You better find a strategy that wins 95% of the time otherwise the account will go down in value. And the chances of finding a strategy that wors 95% of the time OVER TIME are almost 0%.

Good luck anyway
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