Limits and splippage

Discussion in 'Automated Trading' started by masterm1ne, Mar 11, 2010.

  1. I am trading a strategy with a real account and am wondering how I had a fill that was much lower than what I wanted (the program set a buy limit order at a certain price). It turned out to be a profitable trade because the fill was less than my limit and my profit target limit was hit, but a buddy and I are trying to figure out how I could receive an entry price around 2 full points lower than where the program said the entry limit was placed.

    I guess since the limit order was a long position, if it was filled lower than my limit price, it was OK because this would be in my favor if I expected price to rise.

    So basically with limit orders does slippage always go in your favor? If it didn't then your limit order wouldn't be a limit order by definition, because you would be accepting a price that is higher (when buying) than the limit you have placed. Is this an example of positive slippage?

    This occurred at 7:30 am central time this morning.
  2. Need more details... Contract / Bid/Ask exact time the trade was placed and filled. Were you filled instantly or was this order in queue for a while?

    Limit orders by definition will fill you at or better than the price you specify.
  3. promagma


    Yes slippage on a limit order will always go in your favor. There was an offer already out there, below your price, so your order just hit that offer.
  4. Contract - Emini NQ future
    Exact time is unknown for me as it is automated, therefore I can't say if I was in an order queue. How would I know if it was in a queue?

    Thanks, as you might infer, that's what we thought. So, someone must have submitted a sell at market order and since my limit was next, it was taken, but at the sell price because it was lower than my exact limit price.
  5. TraDaToR


    Not a sell at market order. A limit sell order that became best ask when you submitted order. It was your order that was "marketable", even if limit.
  6. The answer is in your trading log/audit trail and it will show the exact time...surely you have one:confused: