Using Limit price... good practice?

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arjfca
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Using Limit price... good practice?

Postby arjfca » 09 Nov 2011

Hello
Question about using stop limit order

Did post a similar thread on Forex Factory, but no answer
http://www.forexfactory.com/showthread.php?t=325152

Lately, I'm experimenting big slippage on EurUsd. All my orders are done using a Buy Stop. Last days, I have seen up to 6 pip, often 3 pip. When an order is based on a 10 pip range bar, this is a big chunk of probable profit that is gone in smoke.

To prevent that, is it a good idea to use stop limit entry. Stop price reach then a limit should ensure that I'm getting my calculated price, hence my calculated risk. I understand that some trade wont be triggered because limit price would had not been available.

If so, what is the configuration that professional use to enter at EX: 1.3056
a) Stop 1.3056 Limit 1.3056 Stop equal Limit price
B) Stop 1.3057 Limit 1.3056 Stop higher than limit price
C) Stop 1.3055 Limit 1.3056 Stop lower than limit price
D) Others
E) this is not a good practice to use limit entry

Any comment appreciate

Martin

PricePuzzle
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Re: Using Limit price... good practice?

Postby PricePuzzle » 09 Nov 2011

Problem of Stop Limit is the need of confirmation from broker if either one filled. After receive the confirmation, MC will cancel the one left.

The communication time may take longer time than market moving to hit left stop. Means you have 2 positions both stop price and limit price instead of 1 order.

So the key is to balance the range between the stop and limit to communication time. To give you the idea, you can find the communication time in your logs. I find it is too risky to deal with these things in fast market both of the sever and range are not friendly.

=========================
[0x000009F0](25.10.2011 - 22:51:47.983)Place entry order : ID - 92255057; Instrument - EUR/USD; Quantity - 0; Action - Sell
[0x000009F0](25.10.2011 - 22:51:47.983)UpdateAccount: AName= 3000040484, AID= 40484, Hedging= N
[0x000009F0](25.10.2011 - 22:51:48.030)UpdateAccount: AName= 3000040484, AID= 40484, Hedging= N
[0x000009F0](25.10.2011 - 22:51:48.030)FreeOutdatedOrFilledPosInfoData: OrderID= 92255057
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arjfca
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Re: Using Limit price... good practice?

Postby arjfca » 10 Nov 2011

Thank PricePuzzle

I should explain that my orders are sent outside of MC. They are sent via Excel with data from MC. All the orders reside on IB server. All info is sent in one shot. Nothing to enter, only press a macro button that i have coded when ready to Buy or Sell an instrument

Entry,limit,stop,time of validity ( they are cancelled automatically if target not reached before the end of the bar). All is on IB server, nothing in my PC

So my question remain on what is a best practice for professional to limit slippage

To go long using Stop / Limit order

- Trigger a stop then wait for a higher limit price
- Trigger a stop then wait for a lower limit price
- Trigger a stop and a limit price at the same level
- Don't use Stop Limit

Martin

arjfca
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Re: Using Limit price... good practice?

Postby arjfca » 10 Nov 2011

Did found some info on this web site

http://www.worldlinkfutures.com/stoplimitorder.htm

Basically, I will set the stop loss and the limit to the same level. That should insure that I bet around my selected price, hence my risk. But also, I get the risk to miss some entry

Martin
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