Order Placement

[candletrader]

Quote from profitseer:

Well then how bout this. You want to get long really bad, but you want to buy the bid. Wait until the bid becomes the offer, then buy at the market, and you should get filled at what you thought was a good price.

I thought I would revive this thread, because the ticks can potentially add up and make a difference, IF one can nail the optimal strategy and IF there is not an offsetting opportunity cost to capturing the spread...

I have wondered about doing what profitseer was talking about (which isn't actually capturing the spread, but is waiting for the price to come in a tick on bid and offer, so is equivalent in monetary terms to capturing the spread, relative to the initial price observed)... however, occasionally the emini just doesn't stop and you end up missing a fantastic trade... but this has to balanced against the numerous times where a tick saving could have easily been made...

Has anyone done any extensive backtesting on order placement to work out if waiting for the bid and offer to come in a tick (the monetary equivalent of capturing the spread) is actually a net positive strategy, given the opportunity cost of an occasional missed trade which ran strongly ?

 

[candletrader]

I assume from the lack of responses that people don't care too much about saving ticks... they do build up, you know!

 

[H2O]

It depends on your target/ trading style

If I scalp the eMini's I go for 0.5 to 0.75 Sometimes If I'm not confident about the trade I even take the 0.25
If you trade this way, every tick counts and I only buy @bid / sell @ask
Orders can be in there way before the price reaches S/R so you get a decent chance on a fill.

Hope this helps

 

[profitseer]

Quote from candletrader:

I assume from the lack of responses that people don't care too much about saving ticks... they do build up, you know!

I solved the problem by adding one to the target and shaving one off the stop, now I can enter at will

 

[candletrader]

Quote from profitseer:

I solved the problem by adding one to the target and shaving one off the stop, now I can enter at will

Please elaborate

 

[profitseer]

Quote from candletrader:



Please elaborate

I figured if I was going to give up one tick on the entry, I had to make it back somewhere. So I added one to the target, and then shaved one off my stop for good measure.

Money management is what saves my ass when I am not reading the market well.

But here's the thing, say you are using the bracket function. You hit the hotkey to sell bid, but the market moves up before you hit transmit. Well, now you are sitting at a better entry, but a tighter stop and a wider target. Do you take it? You were going to take it anyway.

Or do you readjust? Or do you do like me, just sit there and watch it keep moving at what would have been against you if you weren't too scared to hit transmit.

And then start thinking about going the other way.

 

[candletrader]

Thanks for the clarification Profitseer...

 

[x-or]

In 2002, on the ESTX50 I used to buy at ask+1 tick and sell at bid-1 tick. Paying the additional tick was rewarding because you often had a 5-10 ticks momentum leg behind the entry.

As the marlet cool down a little, the momentum is not so strong and this additional tick is a part of the scalp profit.
Then I began to buy at ask/sell at bid and even buy at bid/sell at ask. That was really better for this market.

But recently Eurex implemented a new schedule fee and now charges every submission/modification/cancellation of an order (*). Non executed orders can be costly.
I've been overcharged one day only. But that is not a relaxed way to trade. I'm always afraid of not being filled or I hesitate to modify an unfilled order because of this charges.

That's why I'm actually give a try to the ES/NQ because I can submit/modify/cancel orders as I want. Ok, i've got a lot of cancelled orders (as expected) but the ones being filled are the winning ones.

On the ESTX50, i'm thinking to trade only strong momentum play. I want to be filled and be rewarded for it. Entering at ask for long and bid for short seems enough to be in.

(*) : EUREX will consider any order submission, modification, or cancellation as a system transaction. Fees will be levied on users who create excessive system transactions relative to the number of executed orders, in excess of the ratio 5:1.

 

[profitseer]

oh man, I hate to hear that. You know there is someone out there who has some computer system that enters and cancels a million orders per minute, so that is probably why they did it.

Hope a flee to globex will make them rethink, but Eurex is the leader, so possibly globex will follow.

Know what you mean about submitted orders affecting judgement.