Limit v Market orders

[MBender]

I'm curious about the results of the market v limit order changes Brad's working on. I thought it deserves it's own thread.

I've been using stop-market orders for trading into a trend. I really haven't programmed channel trading yet (the next job on my list). I'd probably do limits for those.

... I can't believe how dull the open was this morning. I really hope these markets improve.

Cheers, all

[merkro]

You're going to end up with more threads than Superman's cape. Not sure which one to post to. Limit orders are far superior to market orders, as you remove slippage. On ES, there is almost always slippage of at least 1 tick each direction, meaning a scalp is behind the eight ball by half a point before it starts. Unfortunately I don't have the luxury of limit orders within the virtual broker, as I am unable to get fill confirmation.

This is a good thing when testing, as it means the result is delivered under the worst possible conditions. Another reason I like to let my system run 24 hrs a day, as if I can make a profit under those conditions, then I should be able to better when full facilities are available.

I had a nett result of $225 last night (Thursday market) between 7am and 5pm. One of the problems I have with the current version is many short losing trades of 2 to 3 ticks while the indicators are hovering around neutral. That is, they cross the entry criteria, the recross in the opposite direction, causing a quick entry, followed by a quick exit, all at market. I know how to fix it, but scratching for time.

I'm off to Tasmania in a few days for the Australian National Veteran Car Rally, and I'm busy preparing a 102 year old Reo. SO I may be a bit quiet for 3 weeks.

Cheers

Merv

[arbifox]

Market vs. Limit

I messed around with this concept a while back, and I created a version of my program that would only enter trades on 0.1 points better than when the signal was given, all limit orders. I also added a countdown timer of 5 minutes which would convert that order to a market order if the order was not filled.

The results over the course of 15 months were dismal. Entire trades were missed or not filled as my entrance criteria was no longer valid once the signal had a chance to fill.

I might mess around with this more someday, but for now the concept is to get a few points a day, and I honestly do not think that a tick here or there makes a difference IF you wegh it with the option of not taking the trade at all.

T