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SPY for algo day trading
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SPY for algo day trading

  #1 (permalink)
Trading Apprentice
edison new jersey
 
Futures Experience: None
Platform: motivewave
Favorite Futures: ES
 
Posts: 14 since Nov 2016
Thanks: 4 given, 2 received

SPY for algo day trading

I am planning to day trade SPY using a algo. I was initially leaning towards e-mini (ES) but since this is the first time I am trying algos i want to go with lower leverage. I wanted to ask the experienced traders here if choosing SPY over ES is a good idea. Following are the specs of my trading plan:
1. Day trading only during regular hours (Trades squared off 15 minutes before close)
2. Will be trading 100 units of SPY (scaleout 50 units)
3. Limit order of entry, Market for scaleout and exit
4. Signals based on SPX (S&P 500 index) not on SPY or emini
5. Max risk of 1 point (of SPX) per trade
6. net loosing trades per day is set to 3. (winning trades for the day - loosing trades for the day==3 then halt trading for the day).
7. Halt trading for a day (or more, discretionary) after 3 consecutive loosing days
8. Planning to go with IB but open to suggestions.


I have some questions:
1. What is the break-even Price for SPY for your broker? What is the minimum profit i need to make on a trade in order to break even (considering commission, tax, any, other cost )? For example If I buy a 100 SPY @ 210 then what is the minimum price i need to sell to break-even (no profit no loss).
2. How much leverage does your broker offer you for SPY? I believe most of them require 30% margin for SPY.
3. Can you buy 1 unit of SPY or is there a minimum amount you have to buy. I understand commission etc will make it illogical to buy SPYs below a certain number.
4. Is there anything outrageously wrong about day trading SPY using ALGOs?

Please share your insight.


Last edited by jefforey; November 8th, 2016 at 03:39 AM.
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  #2 (permalink)
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  #3 (permalink)
Elite Member
Prince George BC Canada
 
Futures Experience: Advanced
Platform: IBs TWS
Broker/Data: IB
Favorite Futures: Stocks
 
deaddog's Avatar
 
Posts: 587 since May 2013
Thanks: 93 given, 623 received


There is nothing wrong with your plan.

IB cost in Canada was a minimum $1.00 commission or 1 cent per share. I believe for the US the cost is 1/2 cent per share with the same minimum.

Round trip on 100 shares would be $2.00 If you scale out with 50 shares then it would be $3.00

Yes you can buy only one share, but the commission would be $1.00

FWIW; I traded SPY and QQQ when I was taking strategies live for the same reason you mentioned.

It is hard to find the Truth when you start your search with a preconceived notion of what the Truth will be.
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  #4 (permalink)
Trading Apprentice
edison new jersey
 
Futures Experience: None
Platform: motivewave
Favorite Futures: ES
 
Posts: 14 since Nov 2016
Thanks: 4 given, 2 received

Hi, What is the leverage IB offers on SPY? Also would you know which brokerage offers the highest leverage on SPY?

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  #5 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 372 since Jul 2014
Thanks: 445 given, 431 received


jefforey View Post
I am planning to day trade SPY using a algo. I was initially leaning towards e-mini (ES) but since this is the first time I am trying algos i want to go with lower leverage. I wanted to ask the experienced traders here if choosing SPY over ES is a good idea. Following are the specs of my trading plan:
1. Day trading only during regular hours (Trades squared off 15 minutes before close)
2. Will be trading 100 units of SPY (scaleout 50 units)
3. Limit order of entry, Market for scaleout and exit
4. Signals based on SPX (S&P 500 index) not on SPY or emini
5. Max risk of 1 point (of SPX) per trade
6. net loosing trades per day is set to 3. (winning trades for the day - loosing trades for the day==3 then halt trading for the day).
7. Halt trading for a day (or more, discretionary) after 3 consecutive loosing days
8. Planning to go with IB but open to suggestions.


I have some questions:
1. What is the break-even Price for SPY for your broker? What is the minimum profit i need to make on a trade in order to break even (considering commission, tax, any, other cost )? For example If I buy a 100 SPY @ 210 then what is the minimum price i need to sell to break-even (no profit no loss).
2. How much leverage does your broker offer you for SPY? I believe most of them require 30% margin for SPY.
3. Can you buy 1 unit of SPY or is there a minimum amount you have to buy. I understand commission etc will make it illogical to buy SPYs below a certain number.
4. Is there anything outrageously wrong about day trading SPY using ALGOs?

Please share your insight.

Please keep in mind that if you want to day trade SPY( underline) with a margin account, then you will need to keep +25k in your account- Inline with the PDT rule.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #6 (permalink)
Trading Apprentice
edison new jersey
 
Futures Experience: None
Platform: motivewave
Favorite Futures: ES
 
Posts: 14 since Nov 2016
Thanks: 4 given, 2 received


Neo1 View Post
Please keep in mind that if you want to day trade SPY( underline) with a margin account, then you will need to keep +25k in your account- Inline with the PDT rule.

neo, yes i read about the pattern day trader rule. since my system produces about 2-5 trades everyday i fall in that category. I believe this would apply even if i traded ES. would it?

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  #7 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 372 since Jul 2014
Thanks: 445 given, 431 received


jefforey View Post
neo, yes i read about the pattern day trader rule. since my system produces about 2-5 trades everyday i fall in that category. I believe this would apply even if i traded ES. would it?

No, the PDT rule does not apply to futures/ forex, only equities/ options.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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