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Slippage and Limit Orders


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Slippage and Limit Orders

  #1 (permalink)
 SuperBliss 
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Hello, I am working on designing a trading strategy that I will eventually trade live. The strategy I am working on now will use limit orders and have stops as close as 2 to 4 ticks away from entry. I am looking at using the strategy on NQ, GC, CL and ES. My question is, if I am running the strategy from home using ninjatrader brokerage, how often can i expect my limit orders to not get filled if I trade 1 to 10 contracts? Or, if I use market orders what kind of slippage should i expect?

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  #3 (permalink)
 
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 rleplae 
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SuperBliss View Post
Hello, I am working on designing a trading strategy that I will eventually trade live. The strategy I am working on now will use limit orders and have stops as close as 2 to 4 ticks away from entry. I am looking at using the strategy on NQ, GC, CL and ES. My question is, if I am running the strategy from home using ninjatrader brokerage, how often can i expect my limit orders to not get filled if I trade 1 to 10 contracts? Or, if I use market orders what kind of slippage should i expect?

It depends where you will put that limit order.
For example if you put it behind a support/resistance, then the fill will be less likely than in front of that zone
same goes for the end of a rotation

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  #4 (permalink)
 mithoon 
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rleplae View Post
It depends where you will put that limit order.
For example if you put it behind a support/resistance, then the fill will be less likely than in front of that zone
same goes for the end of a rotation

Isn't there a way to modify limit orders after a pre determined time ?

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 rleplae 
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mithoon View Post
Isn't there a way to modify limit orders after a pre determined time ?

of course
you may want to study the example code of a bot i published in the past
it contains code to do updates to the limits


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 xplorer 
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rleplae View Post
of course
you may want to study the example code of a bot i published in the past
it contains code to do updates to the limits


Maybe I did not understand the question that was asked in relation to


Quoting 
It depends where you will put that limit order.
For example if you put it behind a support/resistance, then the fill will be less likely than in front of that zone
same goes for the end of a rotation

How did you interpret it?

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  #7 (permalink)
 
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 rleplae 
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xplorer View Post
Maybe I did not understand the question that was asked in relation to



How did you interpret it?

Well i suppose the question is about changing the limit, once you see it will net get filled, either
be it on time based on or price action (you detect a rotation going away from your limit), you
can then technically chase the price and update your limit...

The question was, can it be done ?
My answer is yes, you can modify an order, be it a limit, target or stop


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