I am trying to control my slippage by using limit orders. However, limit orders do not always get filled obviously. To combat this I am thinking of first splitting the bid/ask. If a OnMarketData() event fires indicating the bid/ask has moved again split the new bid/ask as long as the total distance from entry has not exceeded some threshold of acceptable slippage.
Has anyone tried doing something similar? When trading forex, how often does splitting the spread work for getting filled?