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

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