Target orders and order queues...

Discussion in 'Automated Trading' started by abattia, Dec 21, 2010.

  1. I’m working on an automated intraday mean reversion strategy that scalps pennies per share.

    In relation to the order queue precedence of my target exit order, I am faced with the following challenges...

    • As it’s a mean reversion strategy, price action will have swept through the target exit price in the seconds/minutes prior to entry; so I can’t already have an exit order in place before that time.
    • In addition, as the price action at the time of entry will also be occurring near to the intended exit price, the actions of other market participants will inevitably lead to a “flood” of limit orders placed at and around the target exit price. Many of these orders will inevitably be queued before the strategy’s exit order.
    What options do I have to enhance the probability that my target exit order gets executed?

    I can think of the following:

    • Use market-if-touched (instead of limit) order type for the target order (although this will mean [no pun intended] a lower average winning trade)
    • If strategy economics still supports it, shorten target by $0.01 (although this will also lower the average winning trade)
    Anything else ... ?
  2. NinjaTrader has a "Chase" target property. Also, depending on your broker you can probably replicate something similar.
  3. Thanks, wasn't aware of that ....
    "Auto Chase will automatically adjust the price of a limit order as the market moves away from it."