Mailbag: Bot Trading Manages Risk at the Open
David Aferiat (June 12th, 2009) Writes:
The Open and its frenzied activity can reward as well as punish traders. The difference between these two groups comes down to experience certainly, but also the insight and quick decisions that new tools (especially automation) can bring to bear.divbr /From the Mailbag (Support Forum) came a href="http://investorshub.advfn.com/boards/read_msg.aspx?message_id=38598662"a question/a about such topics that I want to answer here. First the question then our response:divdiv/divblockquotedivbMean Reversion and poor fills: /b/divdivbr //divdivI'm using a mean reversion strategy that looks for stocks with spreads 9c. I have been automatically placing limit orders at bid+1c at the open, and have been getting killed by adverse selection. /divdivbr //divdivIf the stock moves up, I only get 1/10 of my order, and if the stock moves down, I get the entire order. I did learn that I'm making my time the order is in force too long (2 min) - losers move down in ...


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