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Filling Limit Orders on the ES
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Filling Limit Orders on the ES

  #11 (permalink)
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Thanks Again

Greetings all,

Thanks for the additional post, video links, and references to custom indicators, and most importantly for being gentle with me! I did have an opportunity to test a number of additional products last night (ZN, ZB, 6A, 6E, BRN, WTIC). It would appear from my testing the ZB and ZN has the most promise. To my original point, the real test will be if these can provide better executions on the limit orders in live.

I did try to re-script for market orders and the fills are all over the place especially in scalping. Best result was a 3 point swing market, burn a point on each side for market orders fills, which only leaves a tick in the middle, if you’re lucky!

I am starting to see a swing trade on a forward month and scalp within closer months and only then within profitable swing trades. This way if I get stuck on a non fill with a limit order, I have natural hedge. This work around on order fills is tough. My prior trading experience has been in the spot ForEx and Bonds, which never had this type of order handling problem.

Again thanks for your feedback on my market order challenges, you made me think which is cool!

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  #12 (permalink)
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Happyface View Post
Greetings All;
I have been trying to utilize limit orders for entry order with per 1 tick take profit and 7 tick stop.

Hi, with this type of strategy you have no choice but to use limit orders and accept the fact that you will have fewer trades. If the strategy is working out for you then consider accepting less trades with limit orders and increasing your size. This is exactly what I'm doing and is proving fruitful.

As I'm sure you know the probability of making money with this strategy using market orders is extremely low which is why you use limit orders.

Another approach to consider is trade more instruments. I actually use limit orders for some instruments and market orders for others. I also use limit orders and market orders based on different times of the day and numerous other criteria. You can do some pretty funky stuff with ATM strategies. For example you can say if the instrument you are placing the order is gold and the time is between 4 am and 6 am then place a market order or if it's gold and the time is 9 am to 11 am and volatility is low place a limit order. Alternatively if it's CL and the last two 5 range bars formed in less than 1 minute place a market order. Paying attention to this stuff can really help your P&L.

Good luck with it
DJ

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Happyface View Post
Greetings all,

Thanks for the additional post, video links, and references to custom indicators, and most importantly for being gentle with me! I did have an opportunity to test a number of additional products last night (ZN, ZB, 6A, 6E, BRN, WTIC). It would appear from my testing the ZB and ZN has the most promise. To my original point, the real test will be if these can provide better executions on the limit orders in live.

I did try to re-script for market orders and the fills are all over the place especially in scalping. Best result was a 3 point swing market, burn a point on each side for market orders fills, which only leaves a tick in the middle, if you’re lucky!

I am starting to see a swing trade on a forward month and scalp within closer months and only then within profitable swing trades. This way if I get stuck on a non fill with a limit order, I have natural hedge. This work around on order fills is tough. My prior trading experience has been in the spot ForEx and Bonds, which never had this type of order handling problem.

Again thanks for your feedback on my market order challenges, you made me think which is cool!

The term scalper is being misused in today's language. In the pits and on the floor a scalper was somone who bought the bid and sold the offer. Quite often they would get filled at the SAME TIME! They would yell out their bids and offers in the pit and get hit both sides and they would profit from the spread. Now, have a think, what kind of orders are they using? Market orders? No. They are using LIMIT ORDERS. This is taking scalping to the extreme, but they use limit orders. Have a look at Don Miller's videos on YouTube, search for Trading After Dark. Don is a liquidity provider on the ES and "scalps" but he does so using limit orders all the time. He has traded millions of ES contracts in his time.

Your posts still show you don't understand. ZB and ZN are highly liquid markets. Please don't tell me you did your testing on a demo account? You do know that demo accounts do not behave the same way as live accounts on the futures markets? You do also know that if you are scalping you join the back of the queue of all the other higher time frame traders (as I said in my earlier post)?

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  #14 (permalink)
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my current order handling “wish list”

Greeting Traders!

Since I started this string, I thought I would provide some additional thoughts on my post limit order testing and “wish list”, with a view that this might help some new traders;

Background: I was totally disappointed that I could not replicate the SIM limit orders with live trading. However, it is important to take into consideration as part of your automated trade development the “real world” factors regarding order handling, order fill and execution. As you can see from this string, I am getting lots of help with my learning curve, but still it costs me some capital to test real trading of my automated trade strategies.

Here is my current order “wish list” and general objectives after taking into considerations this “real money trading” order execution factor;
  1. Fewer higher probability trades: Pick the trades you want to pay commission on even if it is a break even trade.
  2. Directionality: rather than picking tops and bottoms, trade with the market direct and momentum, if you get a limit order filled make sure in is headed in the correct direction with the market. Otherwise you will only get your orders filled that are against the direction of the market, ha!
  3. Get in front of the Order Line: Get you trade placed in the fastest way possible. I am running round 4000 microseconds for round trip to my B/D exchange gateway (see my posting to Vender and Product Review regarding VPS). The quicker you get your limit order placed and confirmed, the better chance of it getting filled when the market hit your limit order price.
  4. Limit IN: I fire off and lot of out of the money limit orders, if the market moves away from me then I cancel. If one of my limit orders gets filled, I consider it “getting lucky”. I try not to move my limit orders unless the market is move totally away. Think of it like, the longer you hold a limit order position the more seniority the order has (the further up the order queue) and the higher probability of it being filled.
  5. Limit OUT with Market Order backup: Sometimes they do not want to fill my newly placed “take profit limit order” and this has caused me to not only see a profit go away but profitable positions to turn into a losses. I have solved this in the following manner. I auto place a take profit limit order when my entry limit order if filled. I also have a backup auto trade script prepared to place a market order to take profit if my unrealized profit => $X. This Market Order provides me a method of a backstop to market order take profit if my limit order take profit is not filled. Kind of like, pay me at the 1 tick limit order (with low order queue position) or fill my market order at 2+ ticks profit!

You won’t to get all your limit orders filled, but if you do you need to be going with the market and have a backup to locking in the profit.

Good luck with your trading, especially limit orders!

Thanks for all the posted to this string, most helpful!

VBPR,
Happyface


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  #15 (permalink)
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Happyface View Post
Greeting Traders!

Since I started this string, I thought I would provide some additional thoughts on my post limit order testing and “wish list”, with a view that this might help some new traders;

Background: I was totally disappointed that I could not replicate the SIM limit orders with live trading. However, it is important to take into consideration as part of your automated trade development the “real world” factors regarding order handling, order fill and execution. As you can see from this string, I am getting lots of help with my learning curve, but still it costs me some capital to test real trading of my automated trade strategies.

Hi, I know this is an old post but I am interested in how your SIM limit fills compared to live trading? I am currently testing an automated strategy in Ninjatrader which uses limit orders.

Just to clarify, I am using limit orders, not stop-limit orders. I assume you were also using limit orders as oppose to stop limit orders?

How much did your fills vary? I am going to run my automated strategy in live and sim. Look at a tick chart and compare the fills I am getting.

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  #16 (permalink)
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Dear Nourozi;
Thanks for your inquiry to this prior thread of mine.
So many factors go into simulating life trading. In the end, it becomes an average of many things. But then you take this average and put it into as a manual setting of the NT Simulation Options settings.
Start with my changes the NT Simulation Options setting where “enforce immediate fills” is NOT selected. I also uncheck “enforce partial fills” for my purposes.
Next, start playing with manual setting for “delay comm” and “delay exchange”. These two numbers relate to many things including a few as follows:
 datafeed latency
 order gateway round trip (see my other string on VPS, which is a must for speed)
 depth of order stacking based on “first come first serve” on the specific contract you are trading
 if your limit order is static or dynamic (a set price or a moving price where you lose your place in line)
 remember NT simulation is server side not resident with B/D
If you have the luxury of testing simultaneously live and demo at the same time on the same future contract, then you can get a good read on the difference.
Start by turning off “immediate fill” and putting 5 msec in both “delay comm” and “delay exchange”, then adjust based on your testing. As referenced in the above string, not all limit orders will get filled so your strategy should reflect same.
Good Luck and good trading!
Happyface


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  #17 (permalink)
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Happyface View Post
Dear Nourozi;
Thanks for your inquiry to this prior thread of mine.
So many factors go into simulating life trading. In the end, it becomes an average of many things. But then you take this average and put it into as a manual setting of the NT Simulation Options settings.
Start with my changes the NT Simulation Options setting where “enforce immediate fills” is NOT selected. I also uncheck “enforce partial fills” for my purposes.
Next, start playing with manual setting for “delay comm” and “delay exchange”. These two numbers relate to many things including a few as follows:
 datafeed latency
 order gateway round trip (see my other string on VPS, which is a must for speed)
 depth of order stacking based on “first come first serve” on the specific contract you are trading
 if your limit order is static or dynamic (a set price or a moving price where you lose your place in line)
 remember NT simulation is server side not resident with B/D
If you have the luxury of testing simultaneously live and demo at the same time on the same future contract, then you can get a good read on the difference.
Start by turning off “immediate fill” and putting 5 msec in both “delay comm” and “delay exchange”, then adjust based on your testing. As referenced in the above string, not all limit orders will get filled so your strategy should reflect same.
Good Luck and good trading!
Happyface

Thanks, once I go live I will run my automated strategy both live and live sim to compare the results. I will be looking at a tick chart and comparing the fills I receive live and on live sim. I will also post my delay settings. Hope to give a good comparison on live vs live sim for others to see.

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  #18 (permalink)
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I know this is off topic but first off, you should know that resting orders get filled first so trying to enter a tick away means you'll get filled last because everyone else who had their orders there previously will get filled first.

Secondly, 7:1 risk reward, especially for just one tick, is a losing game. I don't think the best professionals could make any money with this type of odds, It just puts you at a severe disadvantage. Even if you targeted anything large than 1 tick profit will give you better odds, like 10 tick target, because you'll most likely be there first and it'll also give you a lot more room to minimize risk if price is moving against you. Try 1:2 or larger.

Cheers


Last edited by Itchymoku; January 13th, 2014 at 07:23 AM.
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  #19 (permalink)
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Mr. Moku;
Alternate order handling types and risk/reward strategies are both important factors to consider, and are addressed in some detail on other strings. I started this string when I had a blistering simulation limit strategy that could not be transitions to real trading. Limit Orders was one of the biggest differences I found between the futures market and limit orders in other markets. To your point, so many other factors apply and thank G_d for good forums like futures.io (formerly BMT)F, everyone should become a member and support this great forum, it has really helped me!
Good Trading,
HappyFace


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Last edited by Happyface; January 13th, 2014 at 11:31 PM.
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Happyface View Post
Mr. Moku;
Alternate order handling types and risk/reward strategies are both important factors to consider, and are addressed in some detail on other strings. I started this string when I had a blistering simulation limit strategy that could not be transitions to real trading. Limit Orders was one of the biggest differences I found between the futures market and limit orders in other markets. To your point, so many other factors apply and thanks G_d for good forums like futures.io (formerly BMT)F, everyone should become a member and support this great forum, it has really helped me!
Good Trading,
HappyFace

Yeah, honestly the forum is a great way to get feedback and believe me it's a lot more positive then the feedback you'll get on other trading forums on the internet lol

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