> I know on our T4 platform when a STOP is executed in CL it actually > becomes a LIMIT ORDER 50-cents away from the market It is not the T4 platform to my knowledge. The CME does not know market orders - only limit orders. With good reason (so that when the fill out be outrageous you get an error and resubmit better).
Are you allergic to Limit Orders? Do you set money on fire for fun? Firstly, I don't believe the first part... Where Forex Market Orders results in "little or no slippage"... There's no ECN on the planet where that would happen... Since you are trading against Pros that make a living by providing liquidity... You are paying 50% of the Forex spread plus anything else they can take you for. CL spreads average about 1.5 ticks on near term contract... And about 2.5 ticks on a 3-4 month out contract that is still very liquid. You will pay > 50% of that with Market Orders = you are total screwed in Long Run. Stop using Market Orders except in an emergency... This has nothing to do with Automation or Algos. Instead, simply park a Limit Order 2 ticks outside the NBBO... You may get only 70-80% as many fills... But (w/price improvement) you will be CAPTURING 50% of the spread... Instead of PAYING > 50% of the spread. You gotta be the Casino, not the Gambler... Irregardless of the strategy you employ.
on a few contracts & 95% of the time yes, 4% an extra tic, however you'll pay a few or more ticks if your stop market order is at a clear break out level ie at HOD or LOD or during the EIA Petroleum Status Report released at 10:30 AM Wed
You are complaining about 1tick spread??! :eek: LOL I pay 8ticks spread for wti, and used to pay 12ticks spread when trading crude in 2008/9. SO if you cant handle 1tick you need to develop an actual trading stratergy, not just a ''mathematical betting system''.
I use xtrader and set limit order as default order type, and if I want to enter market immediately just hit bid/offer, and if i want to wait - I put limit order. I see no problem there you can choose right on the field if you want provide liquidity or take it
Looking at the August Crude Oil futures order book at the moment - it seems to be always one tic wide; two tics for a fraction of a second during market movements. The Euro currency future and the Japanese Yen future are usually one tic wide. Given the fact that Crude Oil has a 20 day historical volatility of 33 %, the Euro's vol is 11 %, and the Yen's vol is 8 % - I think that slippage is acceptable. Besides, it is what it is and you are not going to change it. No rational person is trading for a tic in a market with 33 % vol and an average 20 day trading range of 277 tics. As of 8:33 am Central time, the CL already has a 383 tic trading range for the day.
Sure, that works just as long as the losers you take anytime you wish are no bigger than the winners you take anytime you wish.