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

    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

    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:

    NiN