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Relationship between timeframe and unfilled limit orders
Started:May 22nd, 2012 (10:31 AM) by placcio Views / Replies:827 / 1
Last Reply:May 22nd, 2012 (10:31 AM) Attachments:0

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Relationship between timeframe and unfilled limit orders

Old May 22nd, 2012, 10:31 AM   #1 (permalink)
Elite Member
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Relationship between timeframe and unfilled limit orders

Hi, I'm backtesting an intrday systems. It works with limit orders on 10 min time frame. I just have systems witch works with limit order on daily time frame. I have found very big differeces.
On daily basis I never had an unfilled orders in realtime.
that was false in intraday.
I think there is a link beetween time frame and unfilled limit order.
Mare small the time frame more unfilled orders.
There is anyone that have mede some study about?

If I consider, in backtesting my intraday system, filled only the orders 1 tick beyond limit the system don't works, and olso is a pessimistic backtest.
Not all limit order reain unfilled in the reality.

Maybe understanding the relation between time frame and unfilled orders is possible to calibrate the systeme choosing the right timeframe and have a more realistic backtest.


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Old May 22nd, 2012, 10:31 AM   #2 (permalink)
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