I am currently working on a price based algo for CL. It basically goes long or short at different levels or whole numbers. Originally, I was hoping I could go long or short within a two or three tick spread, but what I didn't take into account is the amount of slippage. (This is do to the market swaying in and out of the price levels causing multiple orders to be placed between the bid and ask). Has anyone out there encountered this problem? What can be done about reducing the amount of slippage? Any ideas or suggestions would be greatly appreciated.
Thank You
Thank You