How scalable is scalping on highly liquid stocks?

Discussion in 'Order Execution' started by Leigel, Jun 25, 2020.

  1. Leigel

    Leigel

    Hello,

    I scalp U.S. stocks that have an average daily volume of 7+ million shares. My average (limit) order size is about 2000 shares and the order gets filled easily when it becomes marketable.

    If there are any profitable stock scalpers here, what do you assume the size limit to be in $ for efficient (<1 second) executions on those liquid stocks?

    Thank you.
     
    777 likes this.
  2. Sekiyo

    Sekiyo

    You’ll see when you get there.
    Now focus on moving forwards.
     
  3. Leigel

    Leigel

    Merci! :)
     
  4. Sekiyo

    Sekiyo

    Ce fut un plaisir xD

    Seriously ...
    Liquidity depends on multiple factors.
    Today’s potential might not be tomorrow’s potential.

    If you really want to know then look at the time and sales and / or level 2 (Depth of Market).

    It will give you an idea of what size trade at each price.

    Usually the open and the close is more liquid.
    As I said ... Liquidity depends on many factors.

    But don’t bother with scaling constraints until you face the problems.

    I believe you have already enough challenges.
     
    Last edited: Jun 25, 2020
  5. Sekiyo

    Sekiyo

    Here, for exemple, you can see the last 5 prints on AAPL.

    I see at (more or less) 361$
    100 contracts = 36,100$
    100 contracts = 36,100$
    608 contracts = 219,488$
    200 contracts = 72,200$
    260 contracts = 93,860$

    These were filled within 3 seconds.
    It’s about $152k per second or 422 contracts

    These could be yours.
     
    Last edited: Jun 25, 2020
    Leigel and JesseJamesFinn1 like this.