HFT and rebate trading
Questions about MultiCharts and user contributed studies.
4 posts • Page 1 of 1
Our firm is paid to provide liquidity (e.g. getting passive (limit) order filled on the ECNs that we use) and I would like to account for this in a strategy. For example, 1 strategy we are testing made only $-500 to $1000 ove the past year but would have done over 30,000 passive entries and exits on highly liquid names. Since we are paid $0.0025 a share to provide this liquidity our realized profit would have been in the $10,000s range even though the gross profit of the actual shares would be negligible. Perhaps the ability to enter negative commission per share would be the solution? This is a high priority for our firm because we are a liquidity provider and this is a key part of many of our High frequency strategies.