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EasyLanguage, Mulitcharts and Limit Orders
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EasyLanguage, Mulitcharts and Limit Orders

  #1 (permalink)
Trading Apprentice
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EasyLanguage, Mulitcharts and Limit Orders

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,


Last edited by nismo; August 19th, 2011 at 05:52 AM.
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  #3 (permalink)
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nismo View Post
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 market 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,

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.

Mike

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  #4 (permalink)
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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.

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  #5 (permalink)
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nismo View Post
Ok so orders are canceled and replaced at the start of each new bar. How is this affected when using Intrabar Order Generation (IOG)?

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.


Quoting 
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?

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.


Quoting 
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.

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.

Mike

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  #6 (permalink)
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Big Mike View Post

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.

Mike

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?


Big Mike View Post
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.
Mike

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.

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  #7 (permalink)
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nismo View Post
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?

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.


Quoting 
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?

Good question. I don't know.


Quoting 
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.

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.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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  #8 (permalink)
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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....


Big Mike View Post
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.

Mike

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.

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  #9 (permalink)
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Please define slippage. It sounds more like your strategy is not written well than actual slippage on the broker side.

Look here:
https://futures.io/multicharts/11135-multicharts-lag-time.html

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

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #10 (permalink)
Trading Apprentice
Australia
 
Futures Experience: Beginner
Platform: Multicharts
Favorite Futures: forex
 
Posts: 32 since Dec 2010
Thanks: 7 given, 3 received



Big Mike View Post
Please define slippage. It sounds more like your strategy is not written well than actual slippage on the broker side.

Look here:
https://futures.io/multicharts/11135-multicharts-lag-time.html

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

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:

 
Code
If condition1 then begin
entryVar = close;
buy next bar at entryVar limit;
end;

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