Order entering at lower volume (ETH-RTH times) - Position Sizing / Order Type
i've found very good setups during my strategy testing which appearing outside the RTH session (Metals). Due to lower volume i couldn't assume proper fills at my order volume. It's not a big problem to get a worse price but it should stay within reason and the trade should be triggered. The first question is how i can estimate how big my position can be without a huge market price impact. My first thought was to grab the historical average volume at these specific time and use this as reference. I own the books "Trading + Exchanges" and Algorithmic Trading & DMA" but (very sadly) couldn't read all of the stuff yet (I'm neither a computer nor my name is Fat Tails ) ). It seems that i can enter the market better with an enhanced order enter tactic using the DOM at the entering time to find the right levels + times to scaling in my position with the help of the market depth information. I've read about "guaranteed fills" thru marketable limit orders above/below the current price. But i don't understand if this is a own order type or not and how this works within ninja script. I'm also a DOM newbee.
How thin of a market are you talking about? If you're sweeping the books with a large market order, obviously you're going to have slippage, but if you're scaling in over time, then you can average a price area.
Thanks lsubeano for your reply. I want to check if there is an approbiate approach to enter in thin markets. Standard market orders with the full position causing to high slippage so this type isn't valuable. I need to find other approaches like iceberg orders which i studied yesterday or marketable limit orders.
The WHY is easily explained. My strategy gets 2/3 of the profits in the ETH (-RTH) session and only 1/3 in the RTH session. Currently i want to figure out if i can gain a portion of the 2/3 thru enhanced order tactics. I never can use the "normal" psoition size but the question is: How big can a position be/what scale in tactics i can use, without change the price a lot. There are a few alghorithms but i thougt anybody can give my a rough estimate about it. Perhaps 50% of the last 10 bar volume mean (for instance).