Limit orders do not necessarily protect you from excessive volatility. Your limit order becomes market order when the limit is touched but there is no guarantee that that the execution will be at the limit price. If price gaps, the execution can be quite far from the limit.
________________________________ From: ShaggsTheStud <[email protected]> To: [email protected] Sent: Wed, November 10, 2010 1:18:17 PM Subject: Re: [JBookTrader] market order vs limit order I think it would be good practice to limit 5 ticks away (some number that is both big enough, and small enough), and if that fails, halt trading. I'm not sure if it is worth the effort, though. It might also be good to halt if the spread gets too wide. On Mon, Nov 8, 2010 at 3:37 AM, Eugene Kononov <[email protected]> wrote: > >On Mon, Nov 8, 2010 at 2:21 AM, Jian <[email protected]> wrote: > >hey jbooktrader >> I saw all orders created by jbooktrader are market orders, not limit >>orders. >>Is there any risk of doing this? for example, after some special events, like >>fed meeting note announcement, the price is change very rapidly, is the >>following situation possible: jbooktrader decides to buy or short at a >>price, >>then place a market order, then filled with a price that's far away from the >>expected price? >> >In my live trading, IB executions were from 150ms to 600ms. The slippage is >virtually 0, that is, the fill price is nearly always the same as the expected >price. I do acknowledge that under some extreme market conditions, the >slippage >may widen, but I think the probability of that is quite low. The limit orders >are not without the risks, either: think about chasing the market with a limit >order endlessly, thus incurring a bigger loss compared to the one taken with a >market order with some slippage. > > >-- >You received this message because you are subscribed to the Google Groups >"JBookTrader" group. >To post to this group, send email to [email protected]. >To unsubscribe from this group, send email to >[email protected]. >For more options, visit this group at >http://groups.google.com/group/jbooktrader?hl=en. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
