Is there an optimal way to get my limit fills without using market orders?

kevinkdog · February 16th, 2013, 01:24 PM

liquidcci

Same here @Big Mike

I find limits to function well most of the time if latency low and much safer than a Market Order.

So, sometimes you don't get filled and the market just goes without you - meaning you will miss some profitable trades? I assume you compared the alternatives:

Using limit orders: missing X trades when limit doesn't get filled, costing you Y points in profitable trades that you miss entry by a tick
Using market orders: getting you in all trades with slippage, costing you Z points in buying the ask, or selling the bid everytime

And then Y<Z if limit orders are better than market orders

Or is there something I am not taking into account? If you have any statistics on it you'd like to share, I think it would be enlightening.

I ask because typically if I want in, I use a market order. Maybe that thinking is costing me.

February 17th, 2013, 03:29 AM

Unless you have a lot of 0-tick MAE trades, then submitting a limit order @ the offer should not be costly in terms of missed opportunities.

I am talking about doing this as a discretionary trader. If you are talking about automation, it would be equivalent to something like:

EnterLongLimit(GetCurrentAsk())

or

EnterShortLimit(GetCurrentBid())

If you do have a lot of 0-tick MAE trades, then naturally limit orders are not for you. 1-tick MAE trades or more, and your in business.

Mike

Jigsaw Trading · February 17th, 2013, 07:38 PM

The dilemma is pretty simple.

You can often tell when the market is about to pop up.

At that point, there is close to zero chance of being filled if you place a limit order to buy at the inside bid or lower.

So, you need to enter a marketable buy order. That is either a limit buy at the inside offer (usually 1 tick above the inside bid) or a market order.

I do the former (as does Mike). It is a protection against slippage.

On the bright side, if you are right, then very shortly after your entry the market will tick up and you will be at b/e.

In terms of getting filled on a buy at the inside bid. There is nothing you can do to jump the queue. If there are 2000 contracts bid and 100 contracts offered, chances are if you put a bid in, you won't get a fill.

December 29th, 2015, 04:33 PM

I've been developing strategies for quite some time, and once you have an interesting Backtest, the logic next step would be a real-time simulation, where the critical "filling" orders procedure could be easily, mostly, one of the reasons why remarkable differences found between Backtest and Real-Time.

I've listened several opinions from experts, senior members and my own experience. The conclusions are still general and rather depending on many factors, such as: the market you're trading, the instrument, day's conditions, general liquidity...etc. All of us know the main features and differences between limit and market orders but the practical consequences is what really I try to manage. For example:

- I've seen Strategies working with limit orders ( check against backtest trades ) where 85% are identical but with some "Not filled" ( as expected ), it doesn't sound very bad but unfortunately this might affect the internal continuing logic of calculations and signals ( if day-trading ) besides the overall performance.

- Despite you could have some indicators to detect volatility, still is not predictable a "black swan" or "Fat-finger" that could turn markets insane in secs, so under these conditions of fast and big volatility, limit orders is going to let you down or getting you in troubles.

There are more "naked-truth practical examples" when using limit orders. Now Market orders has its darkside too. If you're trading in not very liquid instrument, market orders, with wide spreads can kill you in hours ( if day-trading of course ), besides you're an easy victim for HFT profit from you.

So, I'd like to know experiences or suggestions regarding to this critical point, I'd highly appreciate your comments.

Thanks in advance

Is there an optimal way to get my limit fills without using market orders?

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Is there an optimal way to get my limit fills without using market orders?