HFT and rebate trading

Questions about MultiCharts and user contributed studies.
titletrading
Posts: 23
Joined: 24 May 2010
Location: USA

HFT and rebate trading

Postby titletrading » 06 Jul 2010

I have a strategy that remains mostly flat in P/L curve but generates 10,000s of trades passively and would earn $24 per 1000 shares in ECN rebates. Is there a way to account for this in my backtest?

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Henrik
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Postby Henrik » 06 Jul 2010

???
earn or rebate on commission?
..why don't calculate lower commissions for this strategy?

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Dave Masalov
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Postby Dave Masalov » 07 Jul 2010

Dear titletrading,

Could you please explain the situation in details and precise your question?

titletrading
Posts: 23
Joined: 24 May 2010
Location: USA

Rebate Trading

Postby titletrading » 07 Jul 2010

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.


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