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Fellow traders:
I've developed a EOD system with profit exits using limit orders. I went
through trade by trade and determined on which days my limit price was
exactly the high of the day (for longs) or the low of the day (for shorts).
For worst case testing, I presumed I would not have been filled on those
day. On some of those cases, this caused a winner, as reported by TS, to be
turned into a loser.
I am trying to decide whether to use MIT orders instead.
My question is this: To those of you who have used MIT orders, what kind of
*average* slippage should I expect, in terms of ticks? I am not looking for
worst case, just average over many trades. Some have told me that they get
their price most of the time. For example, if you are filled at your price
50% of the time and average a tick slip the other half, you would figure
your *average* slip on MITs to be a half tick per fill. In particular case,
if this were true, it would be better to use MITs because it doesn't take
many cases of a winner turned into a loser to wipe out any advantage of no
slippage.
The markets I am interested in are: NY energies, Bonds and Notes, and Hogs.
TIA,
SH
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