I use limit orders to trade Bund/bobl but usually I have to wait quite a long time(sometimes more than 10 minutes) before they could be executed. From the quotes shown, there are usually thousand of bid and ask but only a few transactions. Does it mean there is a very lone queue? Since I use the 1min chart, the condition may already changed before my orders have chance to be executed. The original signals seem to be useless and I have to cancel the orders. Does anyone have similar experience? Is market order the only way to go? Is this also a problem for trading systems? When we test the system, we assumed that all signals would be executed at the time the they are generated but in reality that may not be the case.
Who is your broker ? I've used IB's TWS and J-Trader to trade bund / bobl and never experienced any problems... Unless of course your trying to buy @ bid and sell @ ask. Since they both have a decent (huge) volume, executions shouldn't be to much of a problem.