A good book (limit vs market)

Discussion in 'Order Execution' started by ProgrammerGuy, Aug 19, 2007.

  1. I was wondering if there is a good book explaining when to use limit vs market orders?
  2. rosy2


    never use market orders. i would place a sell limit at the bid price in a worst case. at my current firm i have never seen a market order placed.
  3. that's interesting personally I believe there is no difference between the (2). I'd need data to support this, of which I'm in he process of collecting, but the question is, is it worth it to pay the extra tick for every trade vs losing out on the big one that never gets filled when you enter a limit order.
  4. a sell order at the bid price. I can see no benefit of doing this.

    I can however see a benefit placing a sell order at the ask price
  5. mde2004


    Use market orders when trading, the majority of the time you get filled on limit is when you are on the wrong side of the trade.
  6. I have placed about 2,000,000 NYSE Limit Orders...
    And probably < 1000 Market Orders, only in an emergency.

    A trader has only 2 ways to make money:

    (1) Exploiting inefficient markets.

    (2) Exploiting the bid-ask spread.

    By using Market Orders you are doing 2 things:

    (1) You are throwing away #2 above...
    In fact, you are rolling over and ALLOWING a Pro to exploit YOU.

    (2) You are saying that you cannot manage a f*cking stock position...
    Cannot get in and get out in an optimal way...
    And you are so scared and incompetent...
    That you are willing to open/close positions at waaaay sub-optimal prices.

    Just to be clear...
    We are talking about trading here... not investing.
  7. Unless you have an algo that can follow the market with limit orders, you'll miss a lot of good opportunities in the fast-moving markets. I never use limit orders. If I see a good opportunity, I get in, if I need to get out, I do it as fast as I can...
  8. hey mr. quant plus boy.

    Having a name like Mr quant plus one would think that you keep good records and such.

    Perhaps rather than babble on, maybe you'd like to enlighten (provided you keep record) of % of times your limit orders are filled, and other helpful data that can help us answer the question of limit vs market
  9. Market orders are for people who are allergic to money. Why not just take a limit order and cross the market 5 cents? That way you can almost assure your getting filled and 'limit' the slippage.
  10. Surdo


    Did you use a market order to get long 15 NG futures?
    #10     Aug 19, 2007