Very interesting point.xitian wrote:I do have a similar strategy that offers money, and that too is profitable. Offering money is a lot harder to backtest though, as you can never know if someone would have taken your money if it were there waiting on the order book.
One way of testing offering vs taking would be to offer and take at random using £2 stakes, with stops of x and offsets of y, and see which leads to the least loss.
Something that would need to be taken into account would be the opportunity cost, i.e. the times when, had I taken from the queue rather than offered and not got filled, my offset would have been hit. That is, you may be missing out on lots of successful trades by waiting to be filled. With a random system, that means you will lose less money, but if you have an edge it could mean that you will make less money.
Jeff