Chicago, IL
Experience: Master
Platform: Kinetick Ninja Trader <7>
Broker: Ninja & IB
Trading: YM & Equities & Options & Mutual Funds
Posts: 174 since Jun 2010
Thanks Given: 57
Thanks Received: 88
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I suppose this is an issue for any strategy that is implemented through a broker with a spread...
Gain will not fill if you place a limit order and the market moves greater than one pip away from the current price Bid or Ask. Then the order cancels.
I would figure this is going to effect limit and buy/sell at bar close. Anyone with practical experience want to chime in what logic they used to get the best price?
UPDATE
--seems like GetCurrnetBid/Ask() gives decent fills. Of course there is the chance that the market runs and the order doesn't fill, but so far I'm filling -(1-2) pips which is the spread anyway.
--Entering at the market fills -(3-4) pips consistently
--Entering on the close doesn't seem to work. .
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