Limit Orders Vs. Market Orders

Discussion in 'Index Futures' started by larrybf, Apr 29, 2002.

  1. For globex traded products( i.e.- emini es and nq ) is there any advantage to using limit orders instead of market orders for intraday scalping 1-10 minutes total trade time?? My experience with market orders slippage is almost nothing and at least i do not miss getting into a fast market $100 scalp. thanks
  2. Yaz


    My experience has been much the same. Over dozens of trades, I've gotten positive slippage, and negative slippage. I take on the additional risk of perhaps buying the top-tick...but I also don't have to worry about missing a bigger move higher or lower either. If you're using good risk-management, it all works out, in my opinion.
  3. Thanks Yaz. It is true, with fast IB order execution the total of positive and negative slippage just about "zeroes out". Thanks again for confirming my suspicion.
  4. larry -

    For globex instruments, a market order is always transformed into a limit order anyway (limit price determined based on an adjustment factor added/subtracted from the current price at the time you enter the order).

    And since execution is electronic and there's nobody in the middle who might hold your market order in order to screw you, you should see no difference in execution between entering a market order to buy the ES when the price is 1100 than if you entered a buy limit of say 1105.

    Either way, you should get filled (sweeping multiple offers if necessary to fill your quantity) at the lowest available price (below 1105 anyway) on a first in, first out basis.
  5. stevet


    so effectivly if you enter a but limit at 1105 - you are entering a market order - so why not just do it as a market order anyway?

    if you have your platform always ready to send an order - you would have had to have used a market order - since you might send the order at a time when the market had moved - so u would need to set it up as a market order?
  6. I was just thinking about this. Out of the last 100 or so trades I've made, I can only think of 3 that didn't move against me by at least one tick.

    Granted, those 3 were very good trades which I would have missed, but still, those 3 had to overcome 97 ticks just to cover the added cost of entering at the market instead of buying the bid or selling the ask.

    What do you think?
  7. First off...I just want to say that I agree with

    Usually the rule of thumb is..."Use a limit order for entry and
    a market order for exit".

    But, as several posters have pointed out, with todays ultra-fast electronic executions, you can use market orders exclusively.

    Now, back in the "OLD" days, you "HAD" to use a limit order
    for entry. Sadly, as a previous poster pointed out, the floor
    brokers would "screw" you (for lack of a better word) for
    several ticks on a regular basis.
  8. Same experience here. I just use a limit say 1 pt higher to get a market fill. I have noticed that I often will get filled at the bid if I'm a tiny bit patient. But I then miss the big/fast moves that I really want to be in.