I've met a lot of aspiring traders/analysts who have spent (way too) much time looking for the secret magical formula, pursuing a directional edge within very small time steps; they assume that this is how HFT firms do it, and they are very much wrong.
Paying for liquidity makes it tough
There's only so much vol within short periods of time. If the trader has to pay the bid/offer spread, then the trader might have a negative expectation from the get go.
Transaction Costs
Yeah, there are other fees involved too.
Significantly large edge needed
Therefore, a significantly edge is needed to make this profitable; which is near impossible, unless you can see incoming orders, and get yours executed before theirs... i.e. latency arb it.
Simplest Solution
Stop trying to squeeze blood out of stones; this is a painful path to nowhere.
From my experience, some of the longer term trades make more money because of the low costs around IT infrastructure needs and etc.
Paying for liquidity makes it tough
There's only so much vol within short periods of time. If the trader has to pay the bid/offer spread, then the trader might have a negative expectation from the get go.
Transaction Costs
Yeah, there are other fees involved too.
Significantly large edge needed
Therefore, a significantly edge is needed to make this profitable; which is near impossible, unless you can see incoming orders, and get yours executed before theirs... i.e. latency arb it.
Simplest Solution
Stop trying to squeeze blood out of stones; this is a painful path to nowhere.
From my experience, some of the longer term trades make more money because of the low costs around IT infrastructure needs and etc.
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