I’m a scalper and have made a decent amount doing so with weekly options. I have preferred trading during low volatility duration of the day and pocketed small profits and have always kept a SL( often intended to protect my profits ,rather than curtail losses; since I never let a trade which has gone into profit(including charges) turn into losses ). Of late, I am find that my method has kind of obsolete with large orders.
For example, executing a buy order amounting 3L on Nifty near week closest OTM options almost always causes more than 1% in slippages.
Couldn’t execute orders more than 3-4L in single order( limit of 7500 in Nifty). So have to place multiple orders. So have to execute orders in tranches. Problem with this is that I have to constantly modify trailing SL for all my orders. ( I don’t use Bracket order because for such large orders, they get executed in large number of separate orders, increasing brokerage manifold amounting to neutralising the scalping profits.)
Therefore my primary concern is slippages and multiple orders. Few of my friends have told me to split orders or use automated order placing tools. Could some of you help me with this.
Few have asked me to diversify into different assets class, like stock options or futures. I don’t do this due to few reasons. Bid-Ask spread in stock options is too bad for my taste and scalping. And they have worse liquidity than index options and more slippages. Charges are high for scalping in futures( and in leverage intraday in equities).
Another suggestion was to use disclosed quantity option while filling option. But I couldn’t understand how it helps avoid slippages. Can anybody throw some light on it?
Are there any more techniques or methods to do relatively large scalping trades in BN and NF options for retailers (say amounting to 35-40L)in least amount of time so as the opportunity doesn’t passes by?
Any extra suggestions and @nithin@Sensibull
We are working on something give us a few more weeks. Don’t know if you saw this on the last post we had written. Solving to reduce the impact cost is one of the top items on our to-do list now.
If you still need help with this, you could place multiple orders on different nearby strikes to get filled in larger quantities like 30-40lac. For scalping you need minimal slippage, the volumes in options have increased a lot since you posted but still 30-40lac with very little slippage, immediately, I don’t think is possible.
You can use zerodha’s api to execute the order across different strikes. notaloss.com has a tool that can also do this using zerodha’s api (disclosure: it is my company)
Do we have any data showing that iceberg orders actually improve execution?
My concern is this:
If we place a large order in one shot, without using iceberg or disclosed quantity, there may be a better chance of getting a larger fill, even if slippage is higher. In that case, the opportunity cost may still be lower.
With iceberg or disclosed quantity, the fill rate could be lower because each slice may end up going to the back of the queue.
Given that you run a large brokerage and your brother runs an AIF, I assume you may have meaningful execution data on this. It would be really helpful if you could share any insights on the results under different conditions and when iceberg orders actually help.
Yes, that’s exactly what I was referring to. I’m hoping to get more information if any is available, ideally a data analysis report, or even order raw data (anonymized works) if that’s an option. That would be perfect.
Completely agree with @Funancee . It varies to each stock, depends on it’s free float, depends on order size too, a complete trade off. In few cases it also depends on how bad a user want a fill, opportunity costs definitely is higher than slippages. Also no need to place a market order for that, placing a limit at a bit high price to offer will do.
Many use Iceberg for options trading too but there are more chances of not getting fully executed considering the volatile nature of option prices but when it comes to stocks there are more chances of execution as in most cases they move steadily.
Also at the time of opening or during first 15 mins stock movement is volatile comparatively so using iceberg at opening may not result in full execution.Even during last 5 mins of the day we see weird prices so better to avoid it during these times.
give us a few more weeks. Don’t know if you saw this on the last post we had written. Solving to reduce the impact cost is one of the top items on our to-do list now.
