The only tip is: do it on paper first, with the exact setup, lag times, etc. that you're going to have when doing it live. Do it for a while. And realize tha

The only tip is: do it on paper first, with the exact setup, lag times, etc. that you're going to have when doing it live. Do it for a while. And realize that this is a fanciful pursuit which is likely to lose you money, because the guys you're going up against have $ millions, ns-scale lag times, free or near-free transaction costs, and PhDs in theoretical physics.