Iâm working on an automated intraday mean reversion strategy that scalps pennies per share.
In relation to the order queue precedence of my target exit order, I am faced with the following challenges...
I can think of the following:
In relation to the order queue precedence of my target exit order, I am faced with the following challenges...
- As itâs a mean reversion strategy, price action will have swept through the target exit price in the seconds/minutes prior to entry; so I canât already have an exit order in place before that time.
- In addition, as the price action at the time of entry will also be occurring near to the intended exit price, the actions of other market participants will inevitably lead to a âfloodâ of limit orders placed at and around the target exit price. Many of these orders will inevitably be queued before the strategyâs exit order.
I can think of the following:
- Use market-if-touched (instead of limit) order type for the target order (although this will mean [no pun intended] a lower average winning trade)
- If strategy economics still supports it, shorten target by $0.01 (although this will also lower the average winning trade)
