You can’t make less than a cent per trade in most markets. The bid-ask spread can never be less than a cent. I guess you could make less than cent with commissions, but you certainly can’t make $0.0000001.
This is a result of the common Maker/Taker pricing model. [1]
Those who "make" liquidity by publicly quoting ask/bids are rebated fractions of a cent when their orders are filled, and those who "take" liquidity by exercising the Maker's position are charged.
This is separate to the spreads. The book Flash Boys has a very good explanation of the model.
Well if we’re averaging, sure. But that’s not what the parent is talking about. Moreover, what you’re describing isn’t a HFT strategy, it’s an investment strategy.
So Virtu profits on 51-52% of its trades. The type of math you are describing does not make any sense. Unless Virtu is significantly different from every other HFT firm, your idea of high asymmetry of profit and losses is not true.
Those who "make" liquidity by publicly quoting ask/bids are rebated fractions of a cent when their orders are filled, and those who "take" liquidity by exercising the Maker's position are charged.
This is separate to the spreads. The book Flash Boys has a very good explanation of the model.
[1] https://www.investopedia.com/articles/active-trading/042414/...