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Limit Orders
Started:August 11th, 2010 (11:49 AM) by COTtrader Views / Replies:3,368 / 17
Last Reply:August 22nd, 2010 (02:24 PM) Attachments:3

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Limit Orders

Old August 11th, 2010, 11:49 AM   #1 (permalink)
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Limit Orders

Using Limit Order trading only, is it fairly common for a Limit Order whose price is not crossed to get picked up sometimes, more than sometimes, often? What say ye?

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Old August 11th, 2010, 11:49 AM   #2 (permalink)
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Old August 11th, 2010, 06:56 PM   #3 (permalink)
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Could u be more clear?



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Old August 11th, 2010, 07:09 PM   #4 (permalink)
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I think it's possible if someone intentionally fills it, but it's not very likely because it would result in instant profit for you and instant loss for the other person. I've never had it happen.

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Old August 11th, 2010, 08:01 PM   #5 (permalink)
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You specifically say it does not trade thru the price, so it just depends on your position in the queue and how often it trades that price. Sometimes it trades at the price for one tick, and other times it trades there a whole bunch. In either case, why does it not go thru? Because there are a bunch of traders trying to go the other way at that price. I think the market you are trading will have a lot to do with it as well.

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Old August 11th, 2010, 08:11 PM   #6 (permalink)
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I've been seeing that on a strategy I'm testing when it trades less liquid contracts. I will need to go through time and sales to see if its a bug or if someone actualy hits all those prices.

In the back of my mind I'm wonder if "price" should not be the last transacted price but ask(where depth>n)-bid(where depth>n) on the less liquid stuff.

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Old August 12th, 2010, 08:42 AM   #7 (permalink)
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COTtrader View Post
Using Limit Order trading only, is it fairly common for a Limit Order whose price is not crossed to get picked up sometimes, more than sometimes, often? What say ye?

Other than what has already been pointed out in this thread, the instrument you trade has an impact on the probability to get a fill given the scenario you describe.

E.g. you will likely get filled in a thin instrument like YM given that your price is traded unless you hit a really hard pivot point, while you might end up as #2000 in the queue on the ES, and wait quite a while for a fill even if price is moving your way in an exit scenario.

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Old August 12th, 2010, 05:13 PM   #8 (permalink)
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Limit vs market orders have to be viewed in the context of order flow in your strategy and what you are trying to exploit..
Limit orders are highly overrated because you are straight out committing to taking the other side of order flow, other wise you just wont get filled as a fundamental property of a double auction market...
Whatever your strategy is, you should view it as EV+ to be on the right side of order flow vs eating the spread..
IMO it is only EV+ on strategies that enter when the market stalls to be on the WRONG side of order flow AND your strategy is based on exploiting the market stalling...its EV+ there because of the probability of buying the bid/selling the ask, even though most the time you don't get filled.

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Old August 12th, 2010, 06:03 PM   #9 (permalink)
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you know, there are so many factors to this that it is stupid for someone to even try and give an answer.

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Old August 12th, 2010, 08:06 PM   #10 (permalink)
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This post has been selected as an answer to the original posters question Answer

Hi COTtrader,

I believe limit orders sit in a queue based on price and entry time at that price.

If market orders reach your position in the queue and your offer is accepted by a market order, your in, if not, you get left behind.

Most Futures Markets are single auction markets. Buyers and sellers trade directly with each other.

And Yes, I am definitely a fan of Limit Orders!!!

I use Chart trader to place limit orders. Its great for placing Limit orders directly on the price charts.

Based on support and resistance, I try to calculate where I believe to market is going.

Support and resistance areas can set boundaries for trading a channel.

Also, support and resistance areas are usually tested prior to a breakout to a trend.

I look for these points on the charts.

Limit orders allow me to place an order away from the market where I believe the market will pull back to before continuing.

When the big traders do that nasty sharp hard momentary pullback to stop out the trend traders using market orders, there is my limit order waiting. I gladly take the stop order off the market order trader's hands.

I am more than happy to play his trade for him with a much better entry.

If you believe in limit orders the way I do, don't let anyone make you believe otherwise.

Better fills allow you to use smaller stops.

So what if you miss a couple of trades because you didn't get filled.

The world will not end, and the next trading opportunity is just minutes away.

Just my opinion,


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