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stop limit orders in automated scalping
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stop limit orders in automated scalping

  #1 (permalink)
Elite Member
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stop limit orders in automated scalping

Hi

Have developed a very promising strategy that scalps intra-day. Problem is that it only works with limit orders, otherwise the equity curve flips down on slippage.

It gets in at a stop limit and then posts a stop limit bracket around that entry. In my back-testing I assume no slippage. Yet I use all of MCs options to try to get an accurate result.

-bar magnifier with 1 tick
-only fill limit if beyond 2 ticks
-intra-bar order generation = true


My questions are, are my assumptions ok, is this viable? How to estimate gap through on the limit orders?
Is using limit orders / stop limit order a lost cause altogether. Anyone any live experience with such strategies.


My best idea so far was to add a market stop order as a stop loss just outside the bracket to protect myself? In the trade analysis they don't show up much, yet I would like to estimate slippage on this small percentage of market orders after the limit gap through.

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  #2 (permalink)
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Limit orders and backtesting can be deceiving because they don't take into account for price action. If MC has it, I would suggest running real time trading on a sim account. This will give you the answers you are seeking.



Robert


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  #3 (permalink)
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I thought on the sim all limit orders just get filled whenever touched??? At least that is how it seems on IB...

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  #4 (permalink)
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aczk View Post
I thought on the sim all limit orders just get filled whenever touched??? At least that is how it seems on IB...


I dont remember IB working that way. It should work like most other sims; If your short then the bid would need to touch your limit price. If your long then the ask would need to touch the limit price. You can verify this by watching the bid/ask price and comparing it to the order entry.

Robert

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  #5 (permalink)
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oh,, that's what you mean. That will work sure, but/ask the bid touching my limit is not a guarantee for a fill in reality?
It might still gap through too quick and I am too far behind in the order queue?

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  #6 (permalink)
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aczk View Post
oh,, that's what you mean. That will work sure, but/ask the bid touching my limit is not a guarantee for a fill in reality?
It might still gap through too quick and I am too far behind in the order queue?

Your always going to have situations where it does not get filled or there is slippage, (fills are not perfect nor guaranteed!) , but for validation purposes this should give you good directional results to if your assumption about your strategy is correct.

Robert

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  #7 (permalink)
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aczk View Post
Hi

Have developed a very promising strategy that scalps intra-day. Problem is that it only works with limit orders, otherwise the equity curve flips down on slippage.

It gets in at a stop limit and then posts a stop limit bracket around that entry. In my back-testing I assume no slippage. Yet I use all of MCs options to try to get an accurate result.

-bar magnifier with 1 tick
-only fill limit if beyond 2 ticks
-intra-bar order generation = true


My questions are, are my assumptions ok, is this viable? How to estimate gap through on the limit orders?
Is using limit orders / stop limit order a lost cause altogether. Anyone any live experience with such strategies.


My best idea so far was to add a market stop order as a stop loss just outside the bracket to protect myself? In the trade analysis they don't show up much, yet I would like to estimate slippage on this small percentage of market orders after the limit gap through.


Hey aczk, I'm in the same boat. Did you ever answer your questions with a sim?

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