Why am I not getting filled?

[sopodo]

I have spent some time in a simulator trading the emini s&p 500 futures, I have been getting onto the simulator in the last hour before market closure. I always use limit orders. I go to buy at such and such price and it takes time for the order to fill. Then when I go to sell, sometimes for 1, 2, 3 or 4 tick profits. It always takes a long time to fill and most of the time I give up and cancel the order and redo the order to sell at a loss which strangely fills quickly. When I am going for the 1, 2, 3, or 4 tick profit the market just moves up and down back and pass my sell limit price and this happens many times and the order still isn't filled. I am only trading 1 contract.

How can I stop this from happening and get filled?

 

[Waterfield]

Try using a wider spread.

 

[sopodo]

Try using a wider spread.

Many thanks for your reply

When you say wider spread, are you saying that I should increase my profit for that trade? So instead of making 4 tick profits, go for something like 6, 8 or 10 ticks? I don't understand how that would help with getting filled?

 

[Waterfield]

No no no. You have to make sure you spread them wide. No one will fill you otherwise.

 

[Sang Froid]

Not sure? When my girlfriend asks me this I tell her it's because I'm too drunk again but really it's cos she's put on about two stone.

 

[sopodo]

No no no. You have to make sure you spread them wide. No one will fill you otherwise.

Can you go a bit more into detail on this please, I am a beginner trader and really don't understand what you mean by spread them wide?

Any further help much appreciated

Many thanks in advance

 

[DionysusToast]

A limit order puts you in a queue. If you place a limit order & you get filled immediately - it is not a good sign IMO. You have to wait your turn in the queue. If there's no queue & you get filled immediately, it's a sign you might be a sucker...

As per my other post on another thread - if you SIM trade/backtest a system with limit orders, presume a fill on the SIM/backtest only if price moves 1 tick beyond your limit order.

 

[timsk]

A limit order puts you in a queue. If you place a limit order & you get filled immediately - it is not a good sign IMO. You have to wait your turn in the queue. If there's no queue & you get filled immediately, it's a sign you might be a sucker...

Hi sopodo,
Just to add to DTs point, your stop orders are filled instantly because they're NOT limit orders. A stop order is an instruction to your broker to send a market order to the exchange at the best available price (which may result in slippage if the market is moving fast). Hence, when price hits your stop, the order is always triggered wheres, your limit orders aren't necessarily filled for the reason DT explains. The good news with limit orders is that you won't ever suffer from slippage.
Tim.

 

[sopodo]

A limit order puts you in a queue. If you place a limit order & you get filled immediately - it is not a good sign IMO. You have to wait your turn in the queue. If there's no queue & you get filled immediately, it's a sign you might be a sucker...

As per my other post on another thread - if you SIM trade/backtest a system with limit orders, presume a fill on the SIM/backtest only if price moves 1 tick beyond your limit order.

Many thanks for your reply

I am having a bit of trouble understanding what you mean about when backtesting you should presume a fill only if price moves 1 tick beyond your limit order...By this are you saying that if the market is for example trading at 1068.25 and I placed a buy limit order and was filled at 1068.25, then placed a sell limit order at say 1069.25. I would take a 4 tick profit in this case in the simulator. But what your saying is with this 1 tick beyond your limit order rule you have to presume in real live trading I am not filled at 1068.25 and 1 tick beyond that so 1068.50, so selling in this same example at 1069.25 will make me a 3 tick profit in real live trading. Correct?

To add to the above, even though you are presuming you are filled at 1 tick beyond your limit order in real live trading. There is still always the possibility you won't have to adhere to this 1 tick rule and get filled at the same example price in the above of 1068.25 which the market is trading at when you place your limit order, is that right, it can happen at times, correct?

I hope you can please answer those 2 questions

Many thanks in advance

 

[pboyles]

The price you put your order in at is the price you get. However if it only touches this price you may not get filled. If you are backtesting don't assume that order was filled unless price trades at least one tick beyond it.

For instance if you are short from 1100 and your target is 1099 only assume your target was filled if price traded 1098.75.

 

[Chartsy]

when you place a buy limit on es , assume there are 1000 other contracts also being bidded at your price. the reason you may have to place 1 tick above is that there may be much more liquidty at the bid , ie a large queue than is hitting the bids (sellers at market)
say you go long at 1000 and there are 10000 buy limits there, but only 1000 contracts being sold at market, that means that 1000 of those bids will be hit by market sellers, then all of a sudden, all those bids have been hit, all the sellers @ market are gone...so kaboom price flies up...

whereas you may have got filled at 1000.25

 

[Chartsy]

btw is it ninjatrader you are using? i tried to get that working but grrr wouldn't work on windows 7 for some reason, just says 'failed to download ninjatrader'
but yeh, if you want to go long on demo at a price , go long one tick above your price and then flick through your trades and see if you would;ve been filled

 

[sopodo]

pboyles and Chartsy,

Many thanks for your replies

btw is it ninjatrader you are using? i tried to get that working but grrr wouldn't work on windows 7 for some reason, just says 'failed to download ninjatrader'
but yeh, if you want to go long on demo at a price , go long one tick above your price and then flick through your trades and see if you would;ve been filled

I am not using ninjatrader, I too can't get that to work.

I read that some simulators have an algorithm that when placing buy or sell orders you sometimes won't be filled because of market conditions while other times you will. This they normally called proof of fills. Would this 1 tick rule still apply to simulators that offer this? I don't see any reason why it should apply, as these simulators are designed to 99% mimic real time live trading. Can you or anyone please confirm this?

One simulator to think of is Ninjatrader I believe uses this algorithm but you need to setup as it's not on by default in your sim 101 account.

Do you know of other simulators that offer this algorithm?

Many thanks in advance

 

[sopodo]

can anyone please answer my above question as this is really bugging me and I don't know where to go with my simulator?

 

[pboyles]

can anyone please answer my above question as this is really bugging me and I don't know where to go with my simulator?

Ask the broker that is providing the sim. I have no idea about any algorithm that is used.

 

[DionysusToast]

I can't see why any broker is going to put in a lot of time & effort into this. Sim is great for getting used to a new platform but if you want to practice trading, surely it's better to get a spread betting account where you can play for pennies.

If our limit order is at 1101.25 and the price hits that point & reverses, just consider you didn't get filled.

If this issue is making the difference between profitable/not profitable on SIM, then in a likeliness, you do not want to trade the same way live as you'll be a net loser.

 

[sopodo]

I can't see why any broker is going to put in a lot of time & effort into this. Sim is great for getting used to a new platform but if you want to practice trading, surely it's better to get a spread betting account where you can play for pennies.

If our limit order is at 1101.25 and the price hits that point & reverses, just consider you didn't get filled.

If this issue is making the difference between profitable/not profitable on SIM, then in a likeliness, you do not want to trade the same way live as you'll be a net loser.

Okay I am seriously started to not get what you guys are saying

I have come across 2 kinds of simulators. 1 simulator is the kind that most brokers offer which are only really used to get you acquainted with the platform, a lot like what your saying DionysusToast. This type of simulator always fills you, so are you saying that if the limit order is at 1101.25 and the price hits that point and reverses, just consider it didn't fill even though the simulator fills it (as most of these brokers simulators fill you always)?

Then the other simulator is where it's actually a simulator that tries to mimic trading 99% where if you have a limit order at 1101.25 and the price hits that point and reverses it doesn't fill (this type of simulator actually has a real world fill feature where due to how the market is moving you may or may not get filled). Now with this type of simulator as you may or may not get filled does this 1 tick rule apply that is talked about in this thread?.....I don't see why this 1 tick rule should apply, as when using this simulator. I have a limit order and it never executes as the price touches and reverses many times. As a limit order puts you in a queue I have waited for the price to touch the limit price many times and still haven't got a fill, sometimes even waited fifteen minutes and then the market moves way against me so I have to sell at a loss. Other times the market moves in my favor touches my limit and then moves through and touches my limit price and fills and I make a profit. So with this simulator then this 1 tick rule shouldn't apply, am I correct?

I look forward to a reply on this

Many thanks in advance

 

[pboyles]

Okay I am seriously started to not get what you guys are saying

I have come across 2 kinds of simulators. 1 simulator is the kind that most brokers offer which are only really used to get you acquainted with the platform, a lot like what your saying DionysusToast. This type of simulator always fills you, so are you saying that if the limit order is at 1101.25 and the price hits that point and reverses, just consider it didn't fill even though the simulator fills it (as most of these brokers simulators fill you always)?

Then the other simulator is where it's actually a simulator that tries to mimic trading 99% where if you have a limit order at 1101.25 and the price hits that point and reverses it doesn't fill (this type of simulator actually has a real world fill feature where due to how the market is moving you may or may not get filled). Now with this type of simulator as you may or may not get filled does this 1 tick rule apply that is talked about in this thread?.....I don't see why this 1 tick rule should apply, as when using this simulator. I have a limit order and it never executes as the price touches and reverses many times. As a limit order puts you in a queue I have waited for the price to touch the limit price many times and still haven't got a fill, sometimes even waited fifteen minutes and then the market moves way against me so I have to sell at a loss. Other times the market moves in my favor touches my limit and then moves through and touches my limit price and fills and I make a profit. So with this simulator then this 1 tick rule shouldn't apply, am I correct?

I look forward to a reply on this

Many thanks in advance

A simulator is never the same as the real market so never assume what happens on any simulator will be repeated in the real market. For instance if you are trading forex or spreadbetting your broker may widen the spread or they may delay filling your orders and so on.

So regardless of what sim you use it will not be the same as the live market so there is no point looking for one with an 'algorithm' that mimics the live market.