Cheaper? How. 10/order makes no sense at all if you are ordering 10-20 shares at a time. It makes a lot of sense if your orders are 100,000-200,000 (or more) shares at a time. Individual traders (most often) only do the 10-20 shares or so... Check to see if your broker has limits on the number of shares/order.
High frequency algo trading, as presently committed to by the big banks, relies (as others have noted) on advanced notification (if only, at times, milliseconds in advance...) which, as an individual, you probably won't get. But that just means you can't make use of the same algorithms as the banks. You'll want to derive your own algorithms to exploit some specific pattern(s) that are different from those that rely on advanced word. It's possible, but unless you're already in possession of some wealth, unlikely that you'll be able to design, implement and tweak your algorithm to profitability in anything like a year or so. I certainly wouldn't try it as anything less than a full time occupation... certainly not something that can be done as an 'experiment'.
High frequency algo trading, as presently committed to by the big banks, relies (as others have noted) on advanced notification (if only, at times, milliseconds in advance...) which, as an individual, you probably won't get. But that just means you can't make use of the same algorithms as the banks. You'll want to derive your own algorithms to exploit some specific pattern(s) that are different from those that rely on advanced word. It's possible, but unless you're already in possession of some wealth, unlikely that you'll be able to design, implement and tweak your algorithm to profitability in anything like a year or so. I certainly wouldn't try it as anything less than a full time occupation... certainly not something that can be done as an 'experiment'.