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I have a newb question for any experienced e-miny
traders out there. I'm new at working w/ daytrading
systems.
I'm working on a system that uses limit orders to
trade ES (& similar markets) intraday.
In back testing, about 5% - 25% (time frame dependent,
shorter time frame = > %) of the simulated fills are
at the exact highs & lows of the bars.
My question is this- Assume I'm trading 15 minute bars
on the ES, and during a liquid daytime market period I
issue an order to buy a single contract (or some small
# of contracts)on the next bar using a limit order.
Subsequently, the exact low of the next bar = my limit
price. What are the odds of me actually getting filled
at that price within the time frame of that bar.
Stated another way, what are the odds of getting a buy
order filled on a limit if the market touches your
limit price, but does not trade through it by even a
single tick.
Thanks for any advice,
Lance
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