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nourozi

Limit Order Fills Without Price Penetration

By nourozi, in General Trading

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nourozi    10

nourozi
Posted

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!

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