I'm running an automated scalping strategy on the ES-mini which is profitable. It tries to carve
a one to three handful pips per trade out of the market.
The strategy uses limit orders with fill limit order on touch checked. Between the backtest and real
trading is very little difference except for the slippage I can see.
To reduce the slippage I can do the following:
- Uncheck Limit Order On Touch, then it's a limit order and the risk is to miss the trade
- Even reduce the limit order one or two pips more than the ask (long trade)
Both solutions can result in a missed opportunity.
I know I have to try it out and see what's what but any suggestion
or experience on that topic?