LMT != STP Astor wrote: > 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.
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