Wow.... do you even know how a stop limit works??? If you set it to only accept only a tick or two of slippage it will skip over you and never fill... if it quickly comes back down and does fill you then the breakout will likely fail and your stuck...'in theory' yes it does solve the problem..in practice...not so much
DATE MKOP T= W/L WIN% 8-2 UP 1.5 27/3 90% 8-3 UP 1.5 18/1 95% 8-6 DWN 1.0 18/1 95% 8-7 UP 1.5 35/8 81% 8-8 DWN 1.5 47/1 98% 8-9 DWN 1.0 24/2 92% 8-10 DWN 1.0 25/1 96% 8-13 DWN 2.0 33/0 100% 8-14 UP 2.0 37/1 97% 8-15 DWN 2.0 34/1 97% 8-16 UP 2.0 35/2 94% 8-17 UP 1.0 19/0 100% 8-20 DWN 2.0 24/3 89% 8-21 UP 1.5 18/0 100%
Nice job Hoodoo. So when are you going to meet with Surf and his quant team to discuss the details of your method?
I was going to reply directly, but you answered it perfectly. I've never used a stop limit in CL for that exact reason. My worst slippage in CL was a very innocuous-looking ascending triangle breakout, slipped 21 ticks, but still got a fine profit on it. Slippage like that means, "Longs, try and catch me; shorts, you're toast!"
R. RASKOLNIKOF: Nice job Hoodoo. So when are you going to meet with Surf and his quant team to discuss the details of your method? ----------------------------------------- You da man RR. Great sense of humor. Regards
I've only been trading CL for about 4 months now, but I've never had a stop limit order fail and it's basically the only type of order I use. I also submit my orders far in advance of the actual trade, as much as possible, so I probably have some priority among the limit orders. Also, I adhere to the idea that there is always another trade coming down the pike, I just don't know the exact time of its arrival. Missing any single trade, while it can suck, just isn't a big deal when I forecast that I will make hundreds of trades over the coming year. If I miss out on a dozen of them or so, I can deal with that. It does move quickly when it wants to, though.
Stop limits are not a panacea, but they are my order of choice. I think that slippage is a real issue, especially if you're trading some size, but I think that unless you are getting in at prices where everyone's looking to get in (or vice versa) or you get hit by some news spike from nowhere, I doubt you'll get slippage so bad that your stop limit order doesn't fill.
I think it would be great to start a thread about stop loss orders. I only placed two many years ago and they both failed. Be nice to see how it works now. been thinking about it lately but just haven't got the nerve to do it yet.
I could be wrong, but don't stop limit orders sit "off the order book" before they are initiated? I know when I put in a stop limit on TT, it shows as "0" size on the order book. I always thought that once the price is traded it then hits the order book as a limit order (at that point the order hits the market showing what the actual size is and goes to execute at that price or better). So.......you really can't get any priority in the que/at the price in the order book because your order doesn't "hit" the market until that stop price is hit. I could be wrong, but if I'm right it wouldn't really be an advantage to place stop limit orders early. Limit orders, definitely, but not stop limits.