Australian (ASX) Stock Market Forum

Intraday trading on various exchanges?

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Hi all,

This is my first post, although I have been reading for a while.

By way of background, I am a competent Matlab user, and have spent the past few weeks analysing historical end-of-day data that I bought off eoddata. I have developed a strategy/algorithm that in leave-one-year-out backtesting produces some decent returns. My algorithm involves intraday trading in that it is based on buying (and/or shorting) stocks at the opening price, and selling (or exiting the short) at the closing price (as close to these prices as I can get).

My question is simply: Do you have any advice on which online broker to go with? I only want to do intraday trades. Ideally I would be able to trade across different exchanges (ASX, NYSE, NYME etc), and go long and short, but I will begin with just the ASX and the long-side.

I know it's a question that's been asked a million times, but I figure my specific conditions may impact the advice offered...

Another thing that may be of interest is that I will have 10-30k capital, and ideally be looking to take on up to 50 small intraday positions. I have yet to work out whether the fees involved in so many positions will kill my returns, because I'm not sure what the fees associated with such a trade typically amount to...

Thanks in advance for any advice - I think this forum is a really valuable resource!
 
Interactive Brokers.

Can trade anything.
Will need $15k min.
Then enough to cover margin on whatever you want to trade as futures.
 
If it's just ASX long, can't go past BellDIrect. $8 trades if you're freqeunt enough. Saves the hassle of trying to break into Fort Knox (IB).
 
Another thing that may be of interest is that I will have 10-30k capital, and ideally be looking to take on up to 50 small intraday positions. I have yet to work out whether the fees involved in so many positions will kill my returns, because I'm not sure what the fees associated with such a trade typically amount to...

For ASX, commissions will absolutely kill your returns on that many small positions, unless you can get a broker with exceptionally low fees, or else trade fewer but larger positions. FP Markets are the only broker that I'm aware of that has no minimum commission (on DMA CFD's), but you need to have an account with at least $50K with them, then you get charged a flat 0.08% fee with no min. Brokers usually charge a min. fee of $10 or more per trade, and that would add up to quite a lot if you're doing 50 trades per day! Your commissions would be costing you $1,000 per day (for buy and sell), unless you get a broker that has a no min. fee structure.
 
Right yeah, the fees might kill my strategy.

I have a strategy that in leave-one-year-out backtesting predicts intraday price changes that average around 1%. That would amount to a staggering annual return.

By price changes I mean the difference between open and close, and the algorithm (as it is currently written) buys/shorts around 50 stocks per day on average.

Clearly if I get charged on the order of 1% of the stock value per buy+sell, the returns will be negligible.

Maybe I need to stop being so excited about this!!?!
 
punta, your system finds 50 stocks at the end of day's trade, that you will enter at next day's open and then sell at close - is that right? What sort of stocks does it trade? If you want to use DMA CFDs, they only let you trade certain stocks.
 
punta, your system finds 50 stocks at the end of day's trade, that you will enter at next day's open and then sell at close - is that right? What sort of stocks does it trade? If you want to use DMA CFDs, they only let you trade certain stocks.

Do you mean 'Market Maker' CFD's? With DMA CFD's you can trade every stock listed on the exchange (at least I can with my broker).
 
Right yeah, the fees might kill my strategy.

I have a strategy that in leave-one-year-out backtesting predicts intraday price changes that average around 1%. That would amount to a staggering annual return.

By price changes I mean the difference between open and close, and the algorithm (as it is currently written) buys/shorts around 50 stocks per day on average.

Clearly if I get charged on the order of 1% of the stock value per buy+sell, the returns will be negligible.

Maybe I need to stop being so excited about this!!?!

Hi Punta,

1% should be workable, if you can keep the fees low. Paying say 0.1% per trade for both buy and sell would still leave you with 0.8% profit per trade. And if you were trading futures the fees would be much lower than with shares.

Why do you need to trade so many positions at once? Surely 10-15 would be enough. Why 50? You wouldn't really be spreading the risk much anyway, if all trades are in the same market, as the majority of stocks move together anyway.
 
Why do you need to trade so many positions at once? Surely 10-15 would be enough. Why 50? You wouldn't really be spreading the risk much anyway, if all trades are in the same market, as the majority of stocks move together anyway.

Yeah you're right - if all stocks make the same factional change on average, I should be able to pair the numbers back. I am just starting to look at more practical aspects like this - until now I have just been looking for reliable patterns in the data...

I have a vague idea what a contract for difference is, but not what the dma cfd versus market maker cfd etc. Clearly I have my work cut out for me. Kind of fun to be on a learning curve again though....
 
I have a vague idea what a contract for difference is, but not what the dma cfd versus market maker cfd etc. Clearly I have my work cut out for me. Kind of fun to be on a learning curve again though....

Basically, you don't want to have anything to do with 'market maker' cfd's. The 'market maker' takes the opposite side to your trade, ie. if you win, they lose. So it's in their interest to ensure that you lose. Generally the spreads are wider than the real market, and if you are consistently profitable, they can delay your orders or do other tricks to reduce your profitability, or ban you from trading with them any more. You'd think this sort of behaviour would be (or should be) illegal, but apparently they can get away with doing this.

With DMA cfd's though, the broker does not profit from you losing. They hedge your trades with positions in the real market, so it makes no difference to them whether you win or lose. Trading them is no different to trading the actual share - when you place an order, the same order is duplicated in the real market, you can see the order in the market depth. Price, spreads, etc are identical to the actual market. It's just the same as trading the real market, except fees are generally lower, you can short as well as go long, and you can use margin. However I wouldn't advise using margin until you're more experienced and are very sure that the system is profitable.
 
Thanks a lot for the info there AlterEgo. It's really good to have an overview of these things to anchor further reading to...
 
Trading is my job :)
Wondering, and hope it's not too nosey, what live trading platform do you use? I have custom indicators in Amibroker but an ASX all stocks live data feed is not available. Interactive Brokers offers only 200 stocks to Amibroker.
I have a Commsec Pro Trader account/platform, an Etrade account, an IG CFD account/trading platform, a MetaTrader 4 FX account/trading platform.
 
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