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I normally use market orders and would like to try limit orders and have a few questions.
1. How do you cancel a limit order after a certain amount of time if it has not been executed (I see there is an option to convert to a market order after a set time but I just want to cancel the order)?
2. When I replace market order with limit order is it best to do a limit order + 1-2 pips? My thinking is that by the time the order gets sent the price may have moved past the price at which the order was generated at?
3. Is there any 'best practises' when using limit orders?
My main reason for wanting to try limit orders is due to slippage. Would be nice if there was an order type that said by at market but no worse than 1-5pips......
Cheers,
Can you help answer these questions from other members on NexusFi?
All orders are canceled and replaced at the start of each new bar. To cancel it in effect, just don't reissue the Buy or Sell order.
You said you are seeing 1-5 pips slippage. 5 is quite a bit. What instrument and during what time frame? You will always see 1 tick "slippage" which is the price you pay for a market order. Most futures you shouldn't see more than two ticks. If you are trading something very thin, like Micro's on CME, then you can easily see spreads of 4-6 ticks especially after hours. A limit order is not likely to help you, the order simply won't get filled.
Ok so orders are canceled and replaced at the start of each new bar. How is this affected when using Intrabar Order Generation (IOG)?
Also what if you are trading a fairly high time frame and want to cancel the order without waiting till the start of the next bar?
I'm trading spot forex eur/usd which should have no liquidity problems...? In fact I'm getting way worse slippage than 5pips, sometimes I'm getting 20pips! I'm in the process of opening an account with another broker to see if its the broker at fault.
IOG enables orders to be sent intrabar. If a condition is called for intrabar and you send an order, it will be sent to market before the bar closes. With IOG off, orders are sent at the end of the bar or start of new bar.
If you have IOG turned on, your condition is evaluated intrabar, but it behaves just like when IOG is off and after 1 bar if the condition is no longer true, the order is cancelled. For IOG, 1 bar = 1 tick. So to answer your question, if in your strategy it is no longer true to send an order to the market, then it will be cancelled automatically. There is no "Live Until Cancelled" option with EasyLanguage orders.
Which broker? I trade with MB Trading on the EUR/USD and there is only 1 pip spread (usually less actually). I use limit orders just because they pay me to do so, but I place a limit order @ the offer. If you are seeing 20 pip spread, then it is definitely your broker who is screwing you.
So if 1 bar = 1 tick with IOG and I send a limit order at the current close price and it doesn't get triggered on that tick then it will be canceled and a new limit order will be created on the next tick if the condition is still met?
Also if you use IOG and you enable the option to convert limit orders to market orders after 30 seconds another tick will likely become before this 30 seconds so does this limit order get cancelled?
I am too am with MB Trading and yes their spread is low but I seem to be getting bad slippage. I will be testing with another broker so I'll know soon if its the broker or not.
I'm not an expert at IOG so hopefully someone else can answer as well.
But it basically will cancel the pending order if the condition is no longer met. There was previously a discussion on whether or not it truly sends these cancellations to the exchange on a bar-by-bar or in this case tick basis. My feeling is that surely, hopefully, please god tell me, it does not. But, someone else said it did. I've not tested it nor have I seen an official answer from MultiCharts.
Good question. I don't know.
That is really odd. Maybe 2-3 pips. But 20??? That is insane. I see you are in Australia, so your latency is probably around 300ms which doesn't help. But still, it seems impossible to see a 20 pip slip. To be clear, you are talking about a slip from 1.4300 to 1.4320. Not a fractional pip, right? The problem is very unlikely MB Trading, in my opinion. I think maybe there is something else at work, some latency problem with your connection, some AV software inspecting packets, etc.
I'll do some testing regarding limit orders and see if I can work out how they function. In the meantime I might post this over on the MC forums....
I'm trading from a server that has 3-5ms to their servers (ping quotes.mbtrading.com). I know it sounds insane but I tested my system on a lower time frame to generate more trades and I was getting an average slippage of 3 pips over 100 trades. I never saw slippage above 8pips. I then changed only the time frame of my system (exact same code) so it generates less trades and I get 20 pip slippage. I went back to the lower time frame and now still bad slippage. So its like I had a period of good slippage and then went into a period of bad slippage. I raised a ticket with them about this and they just closed it unanswered... I will know for sure once I test with another broker.
I have been testing for 1 month (including 3 weeks of forward testing) a strategy I wrote in EasyLanguage for Crude Oil. I use MultiCharts with Open E Cry as the data feed and as my broker. The strategy averages over + $10,000 Net per day for 1 contract …
In the end the OP found it was his strategy at fault.
For example, if you use renko bars, you might call it slippage when your order isn't executed at the price you were expecting, when in effect it is not - it is a known "issue" with how renko bars are calculated and how platforms execute on the Open price of a new bar. Just an example.
Mike I will reply back to this once I've tested with another broker.
How do you go about handling limit orders, more specifically how do you set a price for the limit order? In the condition where your buy I was thinking to do something like this:
