Limit Orders - Will They Be Taken

[the pro]

Hi Guys

I am looking for a bit of advice on the following:

I have a Spreadsheet which has say, 10 potential orders for the day. I am looking to put these into the market on limit orders and I know that most will probably not be met and cancelled at the end of the day.

I am a bit of a Money Management freak and like to know my potential risk at all times and therefore would like to try and second guess which orders may be taken first.

Obviously, the ones nearest in percentage terms from current price to limit price are good favourites, but is there a calculation of sorts that one could use say, using the 14 day ATR or similar.

Thanks in anticipation for any constructive replies

 

[Purple Brain]

Obviously, the ones nearest in percentage terms from current price to limit price are good favourites,

Your limit orders closest to current price will obviously be favourites as you say, but I get what you're saying about ATR. 10 pips may be closer than 20 pips, but if the former is on eur/chf and the latter is gby/jpy then I know which I'd bet on getting filled first.

I'd probably not use anything as long as 14 and likely just base it on the prior day or two at most absolute range.

 

[the pro]

Your limit orders closest to current price will obviously be favourites as you say, but I get what you're saying about ATR. 10 pips may be closer than 20 pips, but if the former is on eur/chf and the latter is gby/jpy then I know which I'd bet on getting filled first.

I'd probably not use anything as long as 14 and likely just base it on the prior day or two at most absolute range.

Hi purple brain

Thanks for the answer. Will take on board what you say, just trying to formulate a priority list on the Spreadsheet.

Thanks again

 

[lucas_king]

Hi Guys

I am looking for a bit of advice on the following:

I have a Spreadsheet which has say, 10 potential orders for the day. I am looking to put these into the market on limit orders and I know that most will probably not be met and cancelled at the end of the day.

I am a bit of a Money Management freak and like to know my potential risk at all times and therefore would like to try and second guess which orders may be taken first.

Obviously, the ones nearest in percentage terms from current price to limit price are good favourites, but is there a calculation of sorts that one could use say, using the 14 day ATR or similar.

Thanks in anticipation for any constructive replies

If you take ATR as potential volatility, say 5%, and one of your position’s upside-to-limit as 5%, you could give t a value of 1 (5% dividend by 5%)
If you take the next stock and its figures are 9% ATR and 5% upside you attribute a value of 1.8 (9% divided by 5%) which means more chance of being hit base don volatility
Maybe you could rank all the orders by the values derived, highest to lowest, with highest having the most chance of being hit.
Good luck.

 

[the pro]

If you take ATR as potential volatility, say 5%, and one of your position’s upside-to-limit as 5%, you could give t a value of 1 (5% dividend by 5%)
If you take the next stock and its figures are 9% ATR and 5% upside you attribute a value of 1.8 (9% divided by 5%) which means more chance of being hit base don volatility
Maybe you could rank all the orders by the values derived, highest to lowest, with highest having the most chance of being hit.
Good luck.

Hi Lucas_king

Thank you for you reply. this was the kind of thing I had in mind. Would you take the upside potential from the low of the day so far or from the actual price itself.

Many Thanks

 

[lucas_king]

Hi Lucas_king

Thank you for you reply. this was the kind of thing I had in mind. Would you take the upside potential from the low of the day so far or from the actual price itself.

Many Thanks

I’d always use the current price as that gives you the most up-to-date risk situation.
You could have additional columns using high and low of day too if stocks moving about.
If you have access to live prices maybe get them plugged into your spreadsheet to give you your risk in real-time.
Let us know how you get on.

 

[the pro]

I’d always use the current price as that gives you the most up-to-date risk situation.
You could have additional columns using high and low of day too if stocks moving about.
If you have access to live prices maybe get them plugged into your spreadsheet to give you your risk in real-time.
Let us know how you get on.

Hi lucasking.
Good to hear from you again.

i have already plugged in the prices live well nearly live. Need to have a look at it tomorrow and see what I can do. Once I have worked out, how to rank them I will number them in accordance with chances of limit order being taken.

The reason for this is that i may have as many as 10 possible set-ups but don't want to place limit orders for all of them at once but in the order they are most likely to be taken.

thanks again