Limit orders on ES

Discussion in 'Order Execution' started by andrewbee, Dec 20, 2007.

  1. From my limited experience paper-trading ES through IB's TWS, it seems to me that limit orders don't get filled until the limit price has been touched at least 2-3 times or, preferably, traded through. This is for 1 contract BTW.

    What is you guys' experience with this in the real world? Would you rate the chance of a limit order getting filled on a given price touch at say 30% roughly? Does it differ between brokers or platforms?
  2. ark


    Your order should have been filled. Maybe it's just your paper-trading platform.
  3. You should use market orders on the ES, IB is very honest and you will get a good fill. Think about it for a minute:

    A limit order might not get filled if the market moves in your direction and it gets filled if the market moves against you. You could be left out during a nice run even though you picked the right direction and your limit order just sits there unfilled.
  4. Not necessarily if the limit price hasn't been traded through. ES has a fairly sizeable queue.
  5. I should have been more clear. I use market orders for entry, and limit orders for exit (both directions).
  6. rwk


    I don't recommend this. Market orders are not native on ES, so they are simulated on the broker's server. I have seen them chase the market for several seconds and several ticks trying to hit the best bid/offer. It's better to use a limit order with the price beyond the best bid/offer and count on price improvement. Just don't set the price too far out or the order will be rejected by Globex.

    If you are trying to buy at the bid or sell at the offer, you are at the end of a very long queue. Most of your fills will occur when the best bid/offer moves, so you're probably not getting as good a fill as you think.
  7. Your order should have been filled. Maybe it's just your paper-trading platform.

    The above statement is not true!

    There are times I get filled at the limit and other times I do not. If I had the order in for a long time I noticed I had better chances of getting my limit fill when market traded at my limit price. versus putting my limit in minutes before.
    I use both market orders as well and at times there can be 2 to 3 ticks slip.
    I use TWS.

  8. On the ES, it's safe to assume that price must TRADE THROUGH your desired price level to ensure a fill. Part of the business when trading the most liquid US mini.
  9. Assuming you are selling to get out....either the bid/ask has to trade above the market price, or the market price has to trade through your order to get hit. I have gotten out on the high tick of a candle many times but it's not something I depend on because it's an unlikely event.

    You can't quantify whether your chance of getting hit is 30% or any other number for that matter because it depends on where you stand in time. Suppose you're getting out at 1450.00 and the market comes up to 1450.00 and the B/A doesn't go above 1450.00. The chances of you getting out are 50/50 at that moment in time because the next tick is a flip of a coin -- heads or tails. However, if you are exiting into a strong uptrend then your chances of getting out at that price go up dramatically. Reverse this secenario if the trend is down.

    Something you may want to consider is an MIT order -- Market if touched. This way, if the market touches your order it is sent as a market order, not a limit, but the market MUST touch your price for the order to trigger. This gives you the advantage of being able to place a limit exit with a market order attached. The downside is, it will probably cost you a tick unless your order gets touched with aggressive buying. In this event you can actually gain a tick but it's not something I would count on. The market tends to take the tick away with a market order -- funny how that works.

  10. Good idea profit, but on the ES, as I am sure you have found when using an MIT, you are mostly going to get 1 tick worse than your MIT level. More often than not, this will happen with an MIT on the ES. Argument being, just lower your entry/exit by one tick with a limit order then.

    An MIT can work well on quick moving markets or not as heavily traded as the ES - ER2, CL, EC, etc. It can also work against you just as quick.
    #10     Dec 20, 2007