Strategy Session: Liquidity and Rebate Traders

Strategy Session: Liquidity and Rebate Traders

Sep 29, 2005

We have been following a thread on Elite about liquidity trading. After looking over at some ideas we have come up with a set up designed specifically to help rebate and liquidity traders maximize their returns. Remember that these set-ups are sketches meant to give you an idea how to model your own trading plan. Use this ‘as is’ or modify it to your own liking as many others do.

The Strategy
Liquidity and Rebate Traders Set-Up

Who Could Benefit
Rebate and liquidity traders seeking to maximize returns. We are assuming liquidity traders will always be adding size and we are trying to provide some protection, while at the same time pointing out the interesting moves.

How It’s Modeled
Primarily this set up uses our Size on the Bid and Ask filter to only monitor stocks that have at leat 100,000 shares on the best bid and best offer at the time of the alert.

Thoughts on improving this set-up? We hope to get your feedback to make it better.