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| Market order with default slippage vs. partial fill or rejected orders |
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gdoban
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| Post subject: Market order with default slippage vs. partial fill or rejected orders |
Post rating: 0
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Posted: Sat 23 Sep, 2017, 21:44
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User rating: 0
Joined: Wed 18 Mar, 2015, 23:57
Posts: 8
Location: Switzerland, Geneva
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Hello everybody,
I have experienced quite a few situations when small orders (0.1m to 0.3m) have been only partially filled or even rejected despite high slippage parameter (e.g. 4 bps) and theoretically huge liquidity pool for an instrument (e.g. EURUSD).
Here is the standard code for submitting an order
myOrder = myEngine.submitOrder(label, instrument, myOrderCommand, amount, 0, mySlippage, stopLossPrice, takeProfitPrice);
1. How this code can be modified to submit a market order with a default max slippage regardless of an instrument? For example, EURUSD has a max allowed slippage of 5 bps, while slippage for metals is much higher.
2. Is (maximum) slippage almost a gurantee of filling an order? What else can be done to ensure order is filled?
Going through forums and Wiki I could not find an answer.
Thank you for your help.
Happy trading,
Gdoban
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mtnfx
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| Post subject: Re: Market order with default slippage vs. partial fill or rejected orders |
Post rating: 0
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Posted: Thu 05 Oct, 2017, 09:00
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User rating: 18
Joined: Thu 20 Apr, 2017, 22:42
Posts: 165
Location: Russian Federation,
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Just an idea - instead of BUY/SELL, send a 'Buy Limit/Sell Limit' with the limit well above/below current price.
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