I have some strategies which use limit orders for both entries and exits. Now when back-testing when target is hit (which is limit order) then the program exits at that target price. My last system trades the ES and therefore assumes when price hits both entry limit order and target limit order that we get filled both times. Do you guys do worst case scenario or limit orders for entries and exits?? When backtesting i have started to put all my entry limit orders so price has to trade through entry price 1 tick (but i still place entry as the limit order price if filled). So this therefore assumes if prices hits entry price we do not get filled unless price trades through. I have done the same for targets and target being hit is only if price has traded though our target line. All stops are hit and filled if prices even touches stop price. Therefore, with trading something like the ES i would assume this method of entry and target would have no slippage (or in rare cases slippage in my favour), and maybe some slippage in very fast market with the stops. How do you guys program limit orders and what is the correct way to do this?