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Kim,
You're right. There is paradox here in that day trading demands volatility
and minimal slippage. A distinction needs to be drawn between volatile days
and fast market days. Thursday's S+P action didn't have a lot of volatility
meaning swings in one direction, then back, but it fell fast and sharp which
meant slippage was HUGE. The higher price climbs the more volatile price
action becomes -- wider swings, retracements, and possibly higher slippage.
High markets like the S+P are more prone to fast market conditions due to
their volatile nature but their volatility alone doesn't necessarily mean
higher slippage than say when the S+P was around 990.
Yes, you can have constant (minimal) slippage in an increasingly volatile
market but the frequency of periods when markets fall fast and sharp will
increase with the volatility. This will increase the frequency of high
slippage bouts.
Brian.
PS. I wouldn't start studying OJ tick data quite yet.
-----Original Message-----
From: KIMBOLEGSA@xxxxxxx [mailto:KIMBOLEGSA@xxxxxxx]
Sent: Saturday, August 29, 1998 1:39 PM
To: felixty@xxxxxxxxxxx
Cc: List@xxxxxxx; Omega
Subject: Re: Globex S&P and emini
In a message dated 98-08-29 12:13:40 EDT, felixty@xxxxxxxxxxx wrote:
<< But, remember, these games does not hurt or affect the position players
(some of them just watch the whole day, execute their entries at the
close),
mostly the daytraders or the ones we called "punters" who lose and the
naughty
small
borkerages trading account trying to scalp, my conclusion is daytrading will
become extremely hard and not worth it anymore >>
Hasn't 'day trading' always been extremely difficult? Isn't volatility the
key
to a 'day trader's' heart? I thought that it wasn't 'worth' daytrading in
the
less volatile markets of the past. Like trying to day trade OJ now. Given
the
volatility in the S&P, I've assumed that day trading is (relatively) easier
now than it's ever been. If volume remains high and therefore volatility
continues, the pitfalls of various order placement methods will always be a
gut-wrenching experience. New ones will only offer a new variety of stomach
pains. In the end the amount 'they' slip you will only determine whether or
not you can 'scalp' which is only one type of day trading anyway.
If my assumptions are incorrect then I had better get some tick data for OJ?
Rgds,
Kim
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