Every hour my algo decides whether to trade or not. Given the close of a candle, say my algo signals a buy, I can immediately place a market order and hence would be charged taker fees. When the number of trades increase to say 100, this taker fees (market price execution) takes a good chunk of profits.

I want to convert this market order to limit order using some strategy so that I earn maker fees instead of paying taker fees.

Is there any strategy out there? I guess many would have faced the same issue of large commission from exchanges. Any reference to papers or implementation would be very useful.

  • I'm assuming that maker fees refer to ECN rebates for providing liquidity and taker refers to no rebate since it's removing liquidity. Yes? I don't know if it still exists but there was (at least) one ECN that paid rebates for taking liquidity. I think it was also mentioned the Michael Lewis book about HFT. It's purpose was to draw broker orders for the sake of price discovery. After all, what broker doesn't like a few extra dollars of commission (not passing the rebate along)? If it exists and offers fair fills then it might be a solution. – Bob Baerker Aug 10 at 12:19

Your Answer


By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.