limit orders, fill rate, algotrading, backtesting, IOC orders. - Emini Index Futures Trading | futures io social day trading
futures io futures trading


limit orders, fill rate, algotrading, backtesting, IOC orders.
Updated: Views / Replies:1,435 / 7
Created: by snusnufreak Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

limit orders, fill rate, algotrading, backtesting, IOC orders.

  #1 (permalink)
Elite Member
Moscow Russia
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: futures
 
Posts: 127 since Apr 2012
Thanks: 44 given, 50 received

limit orders, fill rate, algotrading, backtesting, IOC orders.

Please advise on how to measure and increase one's fill rate of limit orders?

I've recently implemented a relatively high frequency intraday trading strategy (30 -50 trades a day) on e-mini S&P500 futures. During backtest it showed impressive results, however during live trading not all of my orders were filled and performannce deteriorated significantly.

Ofcourse this was a backtesting mistake - I didn't take into account market liquidity and my position in the queue. I learned this the hard way.

I've read that one way to go about this issue is to use good infrastructure and IOC orders, however I do not understand how good infrastructure will increase my fill rate. If i trade e-minis, there is allways around 400 to 500 contracts sitting on each price level during the RTH session, so no matter how fast my execution is (even if its less than 1 msec.) I won't be able to get first in the queue to guaranty my fill as soon as price touches my price level and few trades go off at that level.

So could someone please leaborate on this issue a bit more - how good infrastructure and instant execution may help increase the fill rate? May be someone could point out some research in this field? I would apreciate any info on this matter.

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Nashville, TN
 
Futures Experience: None
Platform: NT
Broker/Data: IB & Kinetick
Favorite Futures: Soybeans
 
elynt's Avatar
 
Posts: 11 since Apr 2014
Thanks: 288 given, 17 received

Answer
This post has been selected as an answer to the original posters question Answer



snusnufreak View Post
Please advise on how to measure and increase one's fill rate of limit orders?

So could someone please leaborate on this issue a bit more - how good infrastructure and instant execution may help increase the fill rate? May be someone could point out some research in this field? I would apreciate any info on this matter.


Hello snusnufreak,

This is an issue I ran into a couple months ago with developing a strategy that trades roughly the same number of contracts you are targeting. I can't help you much with picking up execution speeds (you are still bound by FIFO rules), but what helped me was incorporating "anticipation" into my program. Are you calculating on bar close or waiting until a statement is = true before sending your orders? If so, try figuring out what price from the current price would cause your order conditions to return true and place pending orders at those levels. If your orders are unidirectional (you only place buy stops and not also buy limits, for example), there really isn't much of a downside to this approach. Hope this helps.

Reply With Quote
The following 4 users say Thank You to elynt for this post:
 
  #4 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,339 received

Answer
This post has been selected as an answer to the original posters question Answer

Unfortunately, almost no matter what you do, you likely will not be able to make the strategy profitable. The idea of the previous reply from @elynt - try to anticipate signals and place them sooner - is a neat idea, but even then you'll likely still be joining a big queue (and of course, you will be at the end of the line, albeit shorter one).

One sure way to get your backtest to match real time trading is to change your code (most trading platforms have options to do this) to fill limit orders only when your limit price is exceeded by a tick. Then, in the real world you are guaranteed a fill, and your backtest will match this.

This approach is a little conservative (you will sometimes be filled without exceeding limit price), and your backtest will not show those profitable trades. But then you'll be pleasantly surprised, as opposed to what you have now, where you are unpleasantly surprised.

The downside is that this approach makes developing trading strategies about 100x harder. But it is closer to reality.

Good Luck!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
  #5 (permalink)
Elite Member
sweden
 
Futures Experience: Advanced
Platform: NinjaTrader,MetaTrader
Favorite Futures: futures, FX
 
Mabi's Avatar
 
Posts: 84 since Oct 2010
Thanks: 59 given, 64 received

Market Replay

I found that market replay give more accurate results ni comparison with live trade then with pure backtesting. Lucky me that i did not just start live on my profiatable backtested, walkforward tested strategies which i found was pure losers in sim and market replay. Something with ninjatraders tick timestamp order is not right.

Reply With Quote
 
  #6 (permalink)
Elite Member
Boston, MA / USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: ES
 
Posts: 203 since Apr 2013
Thanks: 2,109 given, 264 received


kevinkdog View Post
One sure way to get your backtest to match real time trading is to change your code (most trading platforms have options to do this) to fill limit orders only when your limit price is exceeded by a tick.

Is this the same as 1 tick slippage in Ninjatrader backtest user interface parameters?

Reply With Quote
 
  #7 (permalink)
Market Wizard
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,368 since Jul 2012
Thanks: 1,130 given, 4,339 received


Camdo View Post
Is this the same as 1 tick slippage in Ninjatrader backtest user interface parameters?

I don't know, I do not use Ninja...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
Reply With Quote
 
  #8 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,077 since Dec 2013
Thanks: 1,722 given, 3,279 received
Forum Reputation: Legendary

Answer
This post has been selected as an answer to the original posters question Answer

Another strategy, and one employed by lots of market makers, is to enter a ladder of orders, purely to maintain your position in the queue. Then as the price gets to your level you have the option to leave it in and hopefully get a quicker fill, or to remove it, normally changing the price so that it drops to the bottom of your ladder. You will get better fills but you also open yourself up to get filled on orders you do not want in fast markets.

Reply With Quote
The following 2 users say Thank You to SMCJB for this post:

Reply



futures io > > > > limit orders, fill rate, algotrading, backtesting, IOC orders.

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Limit orders that fills as market orders Bodil Elite EasyLanguage Automated Trading 7 December 10th, 2014 02:48 PM
Fill of Limit Orders MWinfrey Traders Hideout 16 August 9th, 2014 07:40 PM
Is Time an important factor when market orders fill limit orders? tinus The Elite Circle 5 October 9th, 2013 09:42 AM
Converting unfilled limit orders to market orders toddma MultiCharts 1 January 14th, 2013 10:11 PM
Limit Orders - Proving a fill zeller4 NinjaTrader Programming 1 August 28th, 2009 04:14 AM


All times are GMT -4. The time now is 08:23 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-11-19 in 0.11 seconds with 33 queries on phoenix via your IP 54.161.3.96