Scalping - Momentum, Reinforcement and Speed

[Arta700]

Just out of interest after reading this thread I set up a few simple automation rules and ran it in practice mode and surprisingly each time it activated it has returned a profit on each occassion. I'm not saying it would return a profit over a long test period but thought it was worth a mention.

[Iron]

Zenyatta-

I hope you've read that!

Scalping doesn't have to be a bloodbath!

Jeff

Just out of interest after reading this thread I set up a few simple automation rules and ran it in practice mode and surprisingly each time it activated it has returned a profit on each occassion. I'm not saying it would return a profit over a long test period but thought it was worth a mention.

[Zenyatta]

Zenyatta-

I hope you've read that!

Scalping doesn't have to be a bloodbath!

Jeff

Just out of interest after reading this thread I set up a few simple automation rules and ran it in practice mode and surprisingly each time it activated it has returned a profit on each occassion. I'm not saying it would return a profit over a long test period but thought it was worth a mention.

I can do that. Of course if you are aiming for tiny gains, you can go many races making profits, but it's of no use if at the end of the day a single big price spike comes along and wipes out all your profits.

Personally, the short-term stuff would drive me insane. Like I said, hours and hours of hard work making small gains can be wiped out in an instant, with a single price spike that goes against you. Massively frustrating.

[Iron]

hours and hours of hard work making small gains can be wiped out in an instant, with a single price spike that goes against you. Massively frustrating.

That's true, although I think it's possible to minimize the chances of that happening to you by taking sensible precautions.

If you're trading in a very flat market (a grade 1 favourite, say), and there is plenty of support and resistance, I'd say you'd be unlucky to suffer a huge loss from a spike.

Jef

[Iron]

One of JayBee's main arguments against scalping is that it is not scalable:

'A scalper's income in horseracing markets is fixed as they can only effectively trade one market at a time. ... A trading bot designer, on the other hand, has a scalable job as they can trade every market available to them simultaneously.'

Does anyone have a profitable scalping bot that can trade more than one market at once?

Jeff

[Euler]

Well I'll agree that is not very scalable, as the more money you use the more you influence the market and my main objective in a market is that people don't see me. If they can't then they can't oppose me.

One of the keys of scalping is fill rate though and most people are aware that volume arrives really late in most markets so the vast majority are not worth messing with until quite close to the off. If you try and scalp in multiple markets at the same time your strike rate will fall, it's not very profitable and you do it at much more risk.

So it's a no from me.

[jimrobo]

The playing field is level as you can only poll price 5 times a second at Betfair. Any faster than this and you return stale data. Its the most level playing field there is from a trading perspective. HFT traders on the stock market have no such obligation and some of the trading floors pay a fortune just to be a ms in-front of somebody else.

As a bit of a tangent the HFT boys on the financial exchanges have a similar issue although the latency is much less. I am told that they get round it by putting in minimum orders around the price and filled contracts update several milliseconds faster than the price feed so they know price has moved before the general price feed everyone sees has updated. I know betfair cache their data but as far as I am aware bet retrieval is instant?? Is there anything stopping someone writing a bot that did a similar thing on betfair and in effect could beat the price feed cache refresh??

[Euler]

JR, I think you have a couple of issues with that in that data request charges would prevent you from doing that and also the unmatched and matched bet data return from Betfair is very slow, much slower than price updates.

You probably haven't noticed this as it's become popular in API software to mask this affect. So when you place a bet the update on your screen feels instant but in fact the call has even gone to Betfair or had a response.

We always used to wait till displaying this information but people started deliberately doing unfavourable comparisons between us and other software so we adopted the same process. That's why we also give you the option to calculation the P&L locally or from Betfair. It all depends on how important timely and accurate information is to your strategy.

[gutuami]

One of JayBee's main arguments against scalping is that it is not scalable:

'A scalper's income in horseracing markets is fixed as they can only effectively trade one market at a time. ... A trading bot designer, on the other hand, has a scalable job as they can trade every market available to them simultaneously.'

Does anyone have a profitable scalping bot that can trade more than one market at once?

Jeff

I like the name of website: betfairprotrader.
I also like this saying: a fool can throw a stone in a pond that 100 wise men can not get out

[PeterLe]

Hi
I just thought I would capture one of my scalps on video this afternoon, to add to the thread..

I chose a race that I thought would be good for scalping. I did a much better one yesterday, but then realised my username was visible
It didn't make a great of money and there were a couple of errors I made in trading it. It wasn't a perfect trade. But I thought it interesting to watch as you can see that the price did in fact move more than I initially thought. Even with this greater movement, it was still relatively stable enough to scalp.
I was using an 80 pound or so stake (that scales) and put though 3100 about 36 trades for a Return on Turnover - greened up 0.4% on stake.

If you could achieve this on 75% of the races each month, it would net you about £5.5K after PC1
Anyway, here is the video:-
http://youtu.be/BRk9eUXwznk
Oh, you may want to use 720HD and enlarge the screen..
Regards
Peter

[to75ne]

nice scalping peter

according to the many wise sage's that have popped up on the forum over the last 18 months or so, scalping does not work - you must be a genius to pull of the impossible

seriously good vid

[PeterLe]

Thanks for that
Worth noting; When you have big liabilities like this when scalping, its worthwhile creating a rule to constantly convert any outstanding orders to SP (every few seconds), that way if you lose connection you have some safeguard.

Mind you; after seeing Peters blog tonight, I think Im still in my final year of my apprenticeship!
Regards
Peter

[Zenyatta]

Good Peter, good. Yes, scalping is definitely possible, but I just wouldn't have the patience for that. You have such a low return on turn-over, it only takes a couple of very minor mistakes or silly decisions to wipe out the profit and you're back to square one again. Not my cup of tea.

[Euler]

I think where this thread has gone off at a tangent is that lots of people scalp successfully, some using fairly normal techniques, some automatically. Some of them add an edge using their ability to read the market, some just work mechanically, some of them haven't a clue how they did it. But it most certainly can be done and can be shown to have a clear underlying technique. The original post was bound get up the noses of people who actually did it. Jaybee failed to clarify exactly how he defined scalping, so never the two shall meet it seems.

I did a test last week, I don't tend to trade with small stakes but used a spare account to pop through some scalps. I couldn't trade all markets but just dipped in and out during the week when other activity allowed.

Using £10 stakes this was the result, 76% strike rate. Maximum refresh one second.

28-09-2013 - Scalping.png

[Iron]

Wow! I wouldn't have thought that kind of ROI was possible when scalping.

Were you one tick scalping?

Jeff