Hi there, I'm working on an automated strategy that uses stop limit orders, where the limit px is equal the trigger px, to enter a position in ES, NQ and CL. I was wondering what the odds of getting filled are if i place such order type with let's say 25-50 contracts for ES, NQ and 10-20 contracts in CL (always trading the most liquid contract during day session hours). Also how do my odds change if my broker is holding the order vs if it's already in the market. Also, I could think of of adding a tick to the to the limit price in order to increase the chances of getting filled. Any feedback is welcomed and appreciated. Rubicon
How many ticks (on average) does your strategy make per trade (winners and losers included, i.e. net alpha)? If it's >> 1 tick (say, 10 ticks/trade), then you should just use limit + 1tick, I dare to say, that your strategy is not going to be profitable if it's not profitable with this modification.
Thank you for your post. I tested the strategy (just with longs) for 2008 using limit+tick (both in and out) and it made money. With respect to the NQ the strategy averaged 0.73 points per trade on 1210 trades. That included commission and a 0.25 slippage for entry and 0.25 for exit.
2008 isn't a good year to backtest a strategy due to the financial crisis being at its highest point. Volume and emotions were very high so getting filled on your lot size was highly probable. The markets move a lot slower now, which may work to your advantage because if you get a partial or the market slides by your trigger it may come back to it where you'll get hit. Since you're only making .73 on each trade adding a tick to the stop limit would be very costly. Stick with the most liquid markets and if you get partials just take what the market offers you. I can't remember the last time I got a partial on the ES but partials on an instrument such as the TF are common place, especially if your trading size. You may have that problem on the CL because it has a tendency to move very fast.
Thanks four your advice The1. One clarification; the average of 0.73 the strategy made included the limit + tick slippage (and commission)