I plan on using stop limit orders. BY stale, you're saying they haven't been cancelled yet, and won't be honored?
What do you mean by lookback trick?
thanks for all this info.. Really informative.
What do you mean by lookback trick?
thanks for all this info.. Really informative.
DislikedAs far as trading in tight distances is concerned, you would have to be extremely smart to overcome the trading costs. When your machine sees the price change and wants to follow the market, you will often get filled at a price much worse than results from backtesting, because lots of quotes are stale. If you trade on limit orders, you will be rejected many times on the bottom or top ticks by the banks that apply the lookback trick. Be careful and generate enough trades on small positions before going ahead.Ignored