Scalping Execution Strategy: Bid vs Ask for 5-15 Minute Trades

The Reddit discussion from r/Daytrading reveals practical insights from active scalpers:

• Execution priority over spread savings
  : Multiple traders emphasize that for 10+ minute trades, getting filled is more important than avoiding the spread. Missing a fill hurts more than paying a few extra cents [8].
• Aggressive execution preference
  : Many traders use market buys/sells or hit the ask directly for speed, particularly in fast-moving conditions [8].
• Context-dependent approach
  : Some traders adapt based on liquidity conditions - hitting the ask in thin liquidity or widening spreads, but working nearer the mid in clean, high-volume conditions [8].
• Platform-specific experiences
  : One trader reports success buying at the bid on SPY 0DTE/1DTE via Webull with quick fills, while others express frustration with Tastytrade fills [8].

Market research confirms the conditional nature of execution strategy:

• No universal consensus
  : Execution preference depends on instrument liquidity, spread/volatility, strategy type (momentum vs mean-reversion), order size, broker routing/fees, and latency [1][3].
• Aggressive execution rationale
  : Buying at the ask ensures fills on breakouts/momentum, avoids missed moves and late entry slippage, and simplifies management for short trades where time is the primary edge [3][7].
• Passive execution benefits
  : Posting at the bid saves the spread, reduces explicit execution costs, can earn maker rebates or price improvement, and fits mean-reversion/range-bound scalps [1][6].
• Broker execution quality varies
  : Robinhood shows 44.79% effective spread over quoted spread compared to Public.com’s 32.88%, indicating higher execution costs that impact scalping profitability [9][12].

Both Reddit practitioners and broader research align on the core principle:

• Speed vs. cost trade-off is fundamental to scalping success
• Market conditions (liquidity, volatility) dictate optimal approach
• Hybrid strategies combining both methods are common

• Reddit traders emphasize practical fill experiences and platform-specific issues
• Research highlights structural factors like PFOF, maker-taker fees, and regulatory requirements

• For momentum scalpers: Aggressive execution (ask/market orders) prioritized
• For mean-reversion scalpers: Passive limit orders at the bid may be preferable
• Platform selection matters: Execution quality varies significantly between brokers

• Fill risk
  : Passive orders may miss profitable moves entirely
• Slippage risk
  : Market orders can suffer from poor execution, especially during high volatility
• Platform dependency
  : Execution quality varies significantly between brokers [12]
• Regulatory uncertainty
  : Enhanced disclosure rules in 2024 may impact PFOF arrangements [9]

• Hybrid approaches
  : Using marketable limit or IOC orders for fast fills without uncontrolled market orders [2]
• Technology advantage
  : Order-book tools (Bookmap, DOM) provide real-time microstructure insights [5]
• Broker optimization
  : Selecting platforms with better execution quality for specific trading styles [11][12]
• Strategy refinement
  : Matching execution method to specific market regimes and instrument characteristics

Successful 5-15 minute scalping requires flexible execution strategies rather than rigid rules. The choice between bid and ask execution should be dictated by your specific trading approach, current market conditions, and broker capabilities. Consider implementing hybrid approaches and leveraging order-flow tools to optimize execution quality while managing the inherent trade-offs between speed and cost.