Pre-trade checks in code: the cheap filters that save the most money

[Fairman]

Pre-trade checks in code: the cheap filters that save the most money

Good scalping systems spend as much effort on not trading as on trading. A set of pre-trade checks can block entries when conditions are poor, and each check is easy to implement.

Typical checks include maximum spread, minimum tick rate, maximum time since last tick, minimum distance from the previous stop level, margin availability, and maximum slippage tolerance. Time-based filters for rollover and news windows add further protection.

Each rule addresses a known failure mode. A spread cap avoids paying through the nose. A tick rate check avoids stale feeds. A margin check prevents rejected orders and partial states.

The rules should be logged. When a trade is skipped, record the reason. Over time, the log shows which filters are firing and how often, and whether they are too strict or too lax.

A system with robust pre-trade checks often outperforms a more clever one without them, simply because it avoids the worst fills.

Which pre-trade filter has saved the most money in your experience?