Re : Does Scalping work anymore

[weemac]

Maybe Euler can confirm, but I can hardly imagine a much more volatile/risky race type to attempt a 1-tick scalp than a NHF race. I've tried a similar experiment on handicaps in the past (at odds of between 6.0 and 11.0 to get the bigger tick increment values) with similarly poor results. The main problem seemed to be that when the price moves significantly against you, you're just building up a bigger and bigger position on an ever worsening price movement. That was where the real killer lay, and the one tick successes came nowhere near mitigating the losses.

Also, beware of betfair's transaction charges for over 1,000 bets in any hour. These charges are very deviously hidden within your account statement and can only be found by visually scanning your account statement. They are not listed as totals in a separate category and can't be downloaded; you have to ask betfair to send you a spreadsheet. Every sub-£2 scalp attempt counts as 4 bets placed - not 2.

[ruthlessimon]

The main problem seemed to be that when the price moves significantly against you, you're just building up a bigger and bigger position on an ever worsening price movement.

& it's easy to get away with that for a long long time. Ironically the biggest profits come when the price goes miles against you (by this time you have a massive position), & completely bailing after a slight retracement gets a gigantic winning trade.

[Iron]

The main problem seemed to be that when the price moves significantly against you, you're just building up a bigger and bigger position on an ever worsening price movement.

I agree.

My main concern about one tick scalping is that the market can move strongly against you, and you end up trying to sell to a market that is, itself, selling, and therefore isn't interested in what you're selling.

I'm open minded about the possibility that the constant 'Brownian motion' in the market that allows you to get loads of trades through by offering might more than compensate for this.

Also, beware of betfair's transaction charges for over 1,000 bets in any hour.

Good point, I wasn't aware of that.

As it's a one off, hopefully Betfair will show a bit of clemency.

Thanks

Jeff

[Derek27]

I started off trading as a scalper and learned the hard way, 5 one-tick profits followed by a 10 tick loss!

Scalping is fine on very stable markets, I've often executed the same scalp repeatedly and built up a nice profit, but try it on a volatile market and you are doomed.

You also need to take care on markets that look liquid enough but are low in activity - they often stay static for a period of time and then BANG - someone moves the market several ticks.

I usually have my potential scalps two or three ticks apart, wait till ones taken and then move the other.

[Derek27]

My main concern about one tick scalping is that the market can move strongly against you, and you end up trying to sell to a market that is, itself, selling, and therefore isn't interested in what you're selling.

That's a problem I've encountered many times, when a horse drifts upwards, nobody wants to back it. The situation is probably compounded by other traders who want to lay off their trades.

[weemac]

Also, beware of betfair's transaction charges for over 1,000 bets in any hour.

Good point, I wasn't aware of that.

As it's a one off, hopefully Betfair will show a bit of clemency.

Thanks

Jeff

They showed absolutely no clemency to me after removing over £1,000 from my account without my knowledge.

[Dallas]

Years ago you could happily scalp an outsider and its only moving if a influx of money comes in on it, thanks to XM thats no longer the case and a flurry of money on any of the front runners can now send it soaring off.

[ruthlessimon]

The situation is probably compounded by other traders

They'll certainly be traders on the sidelines, with strategies designed deliberately to exploit these trapped scalpers needing an exit (i.e. every trader looking for a breakout )

[Iron]

Just been chatting with Betfair support on Twitter.

It seems that, because I made a net loss during the hour in question, I'll be fine (though the adviser wasn't very clear).

He told me: 'This is the activity on Chilli Jam'. Yeah, cheers mate, that clarifies it perfectly!

Jeff

They showed absolutely no clemency to me after removing over £1,000 from my account without my knowledge.

[Euler]

If you just try and scalp everything has never worked as a plain vanilla type strategy, apart from perhaps in the very early days. But if you are selective and use all the information in front of you it still works. But just pumping lots of orders into a market randomly with a spread in-between will just produce random results.

[LeTiss]

Just been chatting with Betfair support on Twitter.

It seems that, because I made a net loss during the hour in question, I'll be fine (though the adviser wasn't very clear).

He told me: 'This is the activity on Chilli Jam'. Yeah, cheers mate, that clarifies it perfectly!

Jeff

In other words, you don't have enough money in your account that's worth taking

[Iron]

I revisited the scalping today, this time focusing on the second and third favourites.

I didn't do as badly as last time, but still lost money - £4.92 loss on £1186.75 turnover (-0.27% ROT).

I was up after the first hour and quote enjoying the trading, till the 16:25 7f Nov Stks, when all my good work was undone by Agars Plough.

I've attached a spreadsheet relating to that race, with bets in ascending order by Betfair ID (i.e. the oldest at the top). As you can see, before I redded up I was 18 ticks down, wiping out my patiently accrued gains in other races.

Curiously, this experience corresponds with a post I wrote nearly six years ago -
viewtopic.php?f=17&t=5019.

Any thoughts?

Jeff

Trading Experiment 3.xls

[Euler]

I can't actually work out what your strategy is? On Agar's plough you seem to just be pumping in multiple orders? You have way more lay than back orders?

[Iron]

The strategy was for the second and third favourite, and was:

- Offer a lay to the market at the bottom of the current spread.

- If the lay is taken, offer a back on the top of the spread.

- If the price drops a tick, offer a lay at the bottom of the new spread. If the previous trade hasn't closed, offer a back bet at the top of the new spread.

- If the price rises, offer a new lay at the bottom of the new price.

- Green or red up 10 seconds from the off. Do not close any open orders prior to this point.

I appreciate that I wasn't that far from crossing the line to profitability. Any advice on tweaks I could make that might take me to the other side of that line would be appreciated.

BTW, my biggest concern when running the experiment was avoiding running up transaction charges for going over 1,000 trades an hour. Does anyone know of any way of ensuring that I don't make more than 1,000 trades an hour, apart from continually monitoring my bet history?

Thanks

Jeff

[foxwood]

Idle thoughts on transactions ...

Worst case races per hour at 5 minute intervals assuming no collisions = 12

Max bets per race = 1000 / 12 = 83

Max trades per race assuming simple place/offset each time = 83 / 2 = 41

So, on a busy day the most trades per race would be 40

With 80 bets in 5 minutes that averages 7.5 secs per trade - unless you are looking for micro signals in price movements you don't need a fast refresh rate.

Adjust all of that for placing an opening offer then cancelling if not matched in x seconds - each bet counts whether matched / cancelled / lapsed.

Analyze your strategy in depth to work out the real details of bets to be taken / offered bearing in mind the overall limits.