|
PureBytes Links
Trading Reference Links
|
Lance-
I deal with this problem day in and day out.
Considering that the e-Mini S&P contract is
typically triple to quadruple digit in size
on the inside market, there are always quite
a few trades ahead of you.
I'll state the obvious, just in case you didn't
really think about these logistics. The CME is
based on a FIFO que system. So, as soon as you
can place the trade in the exchange's que(live order)
is all the better.
Many out there running quant models(Funds) can
ascertain various price levels of interest at the
start of market and begin filling these que levels
with their orders.
So, when you notice that price trades at any given
level at the Low or High of a 15m bar, and you go back
to check just how many orders went off at a particular
price- - -well you can give yourself a good indication
of what to expect your fill
chances to be.
Restated. . that equates from slim to none,
considering that those trading at size are filling
those ques with 100's if not 1000's of orders before
yours.
My suggestion, if you're trading less than 100
contracts per order, no sooner price is touched at
your level of interest, just hit the bid or lift the
offer at MKT.
If you don't like MKT orders, then cross the inside
market with a LMT order.
You'll get your fill and stay conservative on order
execution.
best,
mike
--- Lance Fisher <truckietrader@xxxxxxxxx> wrote:
> I have a newb question for any experienced e-miny
> traders out there. I'm new at working w/ daytrading
> systems.
>
> I'm working on a system that uses limit orders to
> trade ES (& similar markets) intraday.
>
> In back testing, about 5% - 25% (time frame
> dependent,
> shorter time frame = > %) of the simulated fills are
> at the exact highs & lows of the bars.
>
> My question is this- Assume I'm trading 15 minute
> bars
> on the ES, and during a liquid daytime market period
> I
> issue an order to buy a single contract (or some
> small
> # of contracts)on the next bar using a limit order.
> Subsequently, the exact low of the next bar = my
> limit
> price. What are the odds of me actually getting
> filled
> at that price within the time frame of that bar.
>
> Stated another way, what are the odds of getting a
> buy
> order filled on a limit if the market touches your
> limit price, but does not trade through it by even a
> single tick.
>
> Thanks for any advice,
>
> Lance
>
>
>
>
>
>
> Need a quick answer? Get one in minutes from people
> who know.
> Ask your question on www.Answers.yahoo.com
>
>
|