reducing slippage

Questions about MultiCharts and user contributed studies.
fringe
Posts: 20
Joined: 17 Jan 2011
Been thanked: 2 times

reducing slippage

Postby fringe » 09 Jul 2013

Hi everyone,

I am investigating how to reduce slippage while autotrading. I am currently using stop orders (e.g. buy next bar at XXX stop) and I am NOT using intrabar order generation.

I am thinking about converting all my entries to limit orders instead (e.g. buy next bar at XXX limit). Would this guarantee that, once my entry price is touched, I either get in at that price or better?

I am aware that it may also happen that I am not filled at all if the market doesn't go back to my price after touching it. However, I noticed an option in MC that allows the conversions of unfilled limit orders to market orders after a certain amount of time has passed. Based on your experience, how well does this feature work? Does this feature work also when entering with only one contract? (e.g. if my limit price is touched and I am not in within 30 seconds, my order is converted to market orders so that I am guaranteed my entry).

Thank you for sharing your insights!

User avatar
Henry MultiСharts
Posts: 9165
Joined: 25 Aug 2011
Has thanked: 1264 times
Been thanked: 2957 times

Re: reducing slippage

Postby Henry MultiСharts » 22 Jul 2013

Hello Fringe,

Using a limit order guarantees that your order will be filled at limit price or better price.

Unfilled strategy order replacement options affect the conversion of price orders that were submitted at the broker but unexecuted until the bar close into market orders after the timeout specified in seconds. The timer is launched depending on the option "Get realtime data from":
- broker (when the price at the broker touched the order execution price)
- chart (when the price order is executed on the chart )

If the timer was started but the bar closed faster than timeout finished then price order is converted into market order.


Return to “MultiCharts”