Hey guys, lets say you have a trading signal triggered and you put in a limit +.01 for an illiquid stock. How long do you give the order to fill? Do you cancel and resubmit, etc or what is your strategy if it does not fill or runs up/down?
Partly, this is a function of the time frame you're trading; if you're a swing trader you might leave your limit order in place for longer than you would if you're a High Frequency rebate trader, etc (because the set-ups are more fleeting in the latter case). Also, your latency/distance to the market might affect how you deal with this; if you're too far away (or not automated) and trying to trade in too fast a time frame, you're limit orders will never get in fast enough to get you front-position in the order queue when the best signals occur. Might be best to just bite the bullet and submit market orders ... so that you at least can get on to the move when it happens.
I'm a swing trader using IB, automated but trading super volatile low liquid stocks, was told not to use markets. Holding time is between 1 day to few weeks.
Someone correct me if I'm wrong or please offer additional information.. I'll try to answer your question because no one else has responded. If you're holding for more than a day then limit vs market orders aren't going to make a huge difference. The idea behind using limit orders is to reduce slippage (not getting in at or near the price you intended). If you intend to hold more than a day I would think you would want to just get into the market and a market order would be acceptable. But to help answer your question... As an example, by default NinjaTrader automatic order management will cancel a limit order that is not filled within the current bar. If you're entry/exit rules still apply then your strategy will execute another limit order. This seems good enough to me. Otherwise I would have to write my own order management code based on time, current price, bars, etc. Now I would say if you are having issues getting filled with your "+0.01" then you could consider: - Executing a limit order at the current bid/ask. - Execute a limit order at the open of the new bar. - Execute a limit order at the close of the current bar +/- one tick or n ticks which means you are accepting n ticks in slippage on each entry. Let us know what works out for you.
Thanks for your responses. I have yet to finish coding my automated system. Will let you know how it works. For a follow up question, does anyone try for the opening bid/ask and get it, not get it? Typically how much slippage is involved?
How low is the liquidity in the stocks? If the spreads are > 1% wide it would be dumb to use market orders. I would keep limit orders until they fill but update them periodically depending on what the stock is doing.