SPY for algo day trading - Stocks and ETFs Trading | futures.io
futures.io futures trading


SPY for algo day trading
Started: by jefforey Views / Replies:231 / 6
Last Reply: Attachments:0

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 
Thread Tools Search this Thread
 

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 04:39 AM.
Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Prince George BC Canada
 
Futures Experience: Advanced
Platform: IBs TWS
Broker/Data: IB
Favorite Futures: Stocks
 
deaddog's Avatar
 
Posts: 579 since May 2013
Thanks: 88 given, 618 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.
Reply With Quote
The following user says Thank You to deaddog for this post:
 
  #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?

Reply With Quote
 
  #5 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB,IG,TT, IQ Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 341 since Jul 2014
Thanks: 422 given, 391 received

Futures Edge on FIO

Which products do you trade?

 

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"
Reply With Quote
The following user says Thank You to Neo1 for this post:
 
  #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?

Reply With Quote
 
  #7 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB,IG,TT, IQ Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 341 since Jul 2014
Thanks: 422 given, 391 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"
Reply With Quote

Reply



futures.io > > > > SPY for algo day trading

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Anthony Drager: Pulling the trigger with confidence

Elite only
 

Leo Murphy: The Art and Science of Technical Analysis

Elite only
 

FuturesTrader71: Ask Me Anything

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Algo Trading bughatti Traders Hideout 12 March 14th, 2016 08:28 PM
Algorithmic Trading (Algo) rleplae Terms (Glossary) 0 December 12th, 2015 10:46 AM
Noob questions on Algo Trading Veritasig Elite Automated Trading 2 October 29th, 2014 07:39 PM
Advice on Algo Trading scrambled2 Stocks and ETFs Trading 2 May 22nd, 2014 08:50 AM
Algo Trading - Best Platform? njetty Platforms and Indicators 7 October 19th, 2012 06:35 AM


All times are GMT -4. The time now is 07:14 PM.

no new posts
Page generated 2017-01-23 in 0.11 seconds with 19 queries on phoenix via your IP 54.205.153.63