This morning was a bitch on shorts. Did you consider concelling all orders when the ES shut up from 937 to 939? That's 0.2% on a 0.5% enveloppe it increases the risk IMO. The FV is an evolving thing as the ES moves. I find that a lot of bad fills occur when the ES moves by a lot at the first minutes/seconds. I sometimes cancel all if I dont like the ES action.
4 fills long, all miners abx ccj gg, -10$.. if i held it little bit would have been $50. but i am getting paranoid lately as I am negative big for the month on this strategy.