Order logic for Gain

NexusFi · 2010-12-21T16:08:06-05:00

I suppose this is an issue for any strategy that is implemented through a broker with a spread... Gain will not fill if you place a limit order and the market moves greater than one pip away from the current price Bid or Ask. Then the order cancels. I would figure this is going to effect limit and buy/sell at bar close. Anyone with practical experience want to chime in what logic they used to get the best price? UPDATE --seems like GetCurrnetBid/Ask() gives decent fills. Of course there is the chance …

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Updated December 21, 2010

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Order logic for Gain

December 21st, 2010, 04:08 PM	#1 (permalink)
mainstream Chicago, IL Elite Member Experience: Master Platform: Kinetick Ninja Trader <7> Broker: Ninja & IB Trading: YM & Equities & Options & Mutual Funds Posts: 174 since Jun 2010 Thanks Given: 57 Thanks Received: 88	I suppose this is an issue for any strategy that is implemented through a broker with a spread... Gain will not fill if you place a limit order and the market moves greater than one pip away from the current price Bid or Ask. Then the order cancels. I would figure this is going to effect limit and buy/sell at bar close. Anyone with practical experience want to chime in what logic they used to get the best price? UPDATE --seems like GetCurrnetBid/Ask() gives decent fills. Of course there is the chance that the market runs and the order doesn't fill, but so far I'm filling -(1-2) pips which is the spread anyway. --Entering at the market fills -(3-4) pips consistently --Entering on the close doesn't seem to work. .

Last Updated on December 21, 2010