jcl is right. I don't think a retail trader stands any chance with commissions we have to pay and speed (read: slowness) of our executions. Trading against all professionals and HFT out there, no way!
firesell, if you're really serious about all this you would need a very large capital (to negotiate much lower commissions), a broker like LMAX or faster, a fast, collocated server near exchange, and a very good algorithm. And I think you would still lose, because you can't really compete with Goliath in their own game.
You certainly have heard that recently they clock their algorithms not in microseconds, but in nanoseconds? 'Nuf said.
