nourozi

Hi guys, does anyone have an idea of which futures market out of 6e, 6a, 6b or es would fill limit orders the fastest? For example if my buy limit order was 5 ticks below the market. Then the market came down, touched my limit and reversed. Which of the futures markets would most likely fill the order? Also be good to know your reasoning. I assume it would not be the ES due to the saturation of HFTs which use limit orders. Thanks.

Hi guys, I have created my first automated strategy and I am wondering what I should expect from it going live, judging from the results in market replay testing with NinjaTrader. It uses limit orders on the ES. The thing is, it is profitable when I use liberal fills (filled when limit orders touched). It loses just as much when using conservative fills (filled when price penetrates the limit price). Let's say it loses 5K on average per week when using conservative fills, and it profits 5K when using liberal fills. The point is it seems to have a total inverse result when using these different fill settings. The problem is with conservative fills, it touches the limit order and then reverses, leaving me unfilled and causes me to miss a trade. The question is, what can I expect from it going live? Even if I am filled on half of the touched limit orders, I should break even. The limit orders are typically placed about 5 mins before it is touched. But ranges from 1min to 15min. Thanks!

Hello there! This is my first post to this forum. I am currently testing a strategy and would like to know the likelihood of limit orders being filled when touched and not penetrated. i.e when price goes up/down to a limit, touches the limit, then reverses without penetrating the limit order. I am placing a limit order about 5 ticks above/below the price on the es and 6e. Does anyone have any idea what the percentage might be or how I could simulate this (maybe NinjaTrader Market Replay)? Ideally I am hoping for a number of 50% of touched limits being filled or better. Thanks!