Question about limit order fill in live vs demo trade

my 2 cents.

if price prints below your bid you are guaranteed a fill at your bid price.

if it only touches your bid price I have gotten differing reports as to how often you get filled.

I have only sim traded on OEC. Dont know what algorithm they use but sometimes they fill me on the bid right away, sometimes I have to wait 30 seconds to a minute to get filled and sometimes am never filled. I assume if I ever go live I will rarely get my fill at bid (unless price moves lower) because that would be too easy.

I wonder if it matters where the price was right before bid.
 
Quote from ycxc16588:

So my question to experienced scalper is what is the statistical percentage rate that buy/sell limit order can get filled at bid/ask.
More...
The ES spread is .25 while the SP spread is .1, so possibly there is some correlation between the SP quote and the percentage of ES trades occurring just above and below that, for example with SP at 1115.1x1115.2 and ES at 1115.0x1115.25, you'd likely see more ES trades at 1115.25 than at 1115.0.
 
Quote from StillStanding:

my 2 cents.

if price prints below your bid you are guaranteed a fill at your bid price.

if it only touches your bid price I have gotten differing reports as to how often you get filled.
More...

You are correct.
I've done some live trading since I posted this thread some time ago.

If last trade prints below your bid, you limit buy order is filled as buy on ask.

My real experience is if you want to get in a trade quick, buy ask and sell bid when placing limit order. There might be 5-10% chance your limit buy/sell order gets filled at bid/ask if you have placed that order long before price moved to that point, or price basically bouncing between bid/ask for quite long time.
 
Quote from ycxc16588:

You are correct.
I've done some live trading since I posted this thread some time ago.

If last trade prints below your bid, you limit buy order is filled as buy on ask.

My real experience is if you want to get in a trade quick, buy ask and sell bid when placing limit order. There might be 5-10% chance your limit buy/sell order gets filled at bid/ask if you have placed that order long before price moved to that point, or price basically bouncing between bid/ask for quite long time.
More...

Not sure how important it is to get in quick versus getting in at a good price. If I cant get a good price I would not get in.
 
I had the same question. My scalping strategy worked very well on a demo mode on Tradestation. I was buying the bid and selling the ask looking for 2 to 3 ticks profit target. Made tons of money on SIM. Then when I traded it Live, I'd place the order and my order would sit there for a very long time (sometimes over a minute) before I was filled while the price traded at that level multiple times.
So I abandoned the strategy and will try testing to account for this delay.
Bottom line is when you place a limit order you are in the end of the line and it will take significant longer to get filled using the strategy above. Like someone else mentioned, Sim trading you should find a way to bake this issue into your strategy.

Speed is important if your strategy is Scalping.

Out of the box, demo fills is much quicker then live fills.
 
Quote from nzfaria1:

I had the same question. My scalping strategy worked very well on a demo mode on Tradestation. I was buying the bid and selling the ask looking for 2 to 3 ticks profit target. Made tons of money on SIM. Then when I traded it Live, I'd place the order and my order would sit there for a very long time (sometimes over a minute) before I was filled while the price traded at that level multiple times.
So I abandoned the strategy and will try testing to account for this delay.
Bottom line is when you place a limit order you are in the end of the line and it will take significant longer to get filled using the strategy above. Like someone else mentioned, Sim trading you should find a way to bake this issue into your strategy.

Speed is important if your strategy is Scalping.

Out of the box, demo fills is much quicker then live fills.
More...

Thanks for your input. wow 5 posts in 5 years.
 
Quote from nzfaria1:

I had the same question. My scalping strategy worked very well on a demo mode on Tradestation. I was buying the bid and selling the ask looking for 2 to 3 ticks profit target. Made tons of money on SIM. Then when I traded it Live, I'd place the order and my order would sit there for a very long time (sometimes over a minute) before I was filled while the price traded at that level multiple times.
So I abandoned the strategy and will try testing to account for this delay.
Bottom line is when you place a limit order you are in the end of the line and it will take significant longer to get filled using the strategy above. Like someone else mentioned, Sim trading you should find a way to bake this issue into your strategy.

Speed is important if your strategy is Scalping.

Out of the box, demo fills is much quicker then live fills.
More...
Try using NT for live SIM. The order are placed in the books as if it's live.
 
You must log in or register to reply here.
Back
Top