Hey, I've got a potential strategy from the MFT course and the it would be profitable at least on the backtest using QuantConnect. However, I calculate that the commissions would make the strategy not profitable. Does anyone know of a Futures broker that would be beneficial for a fairly high frequency strategy. In the backtest the strategy took almost 8,000 round trip trades. I believe even Interactive Brokers would eat up all profit from my calculations. Thank you!
The 8,000 trades were in one month's time.
Hi,
We have received the following reply from Dr. Ernest Chan:
"One can pay to become a member of the CME in order to enjoy a lower exchange fee. That is worthwhile if you are trading large volumes to justify the membership fee.
See https://www.cmegroup.com/company/membership/individual.html"
Hope this helps!
Thanks,
Akshay