What timeframe for 99% limit order fill rate? (ES/NQ)

January 18th, 2022, 05:19 AM

glennts

Below compares the ES and NQ 1 Min and the 5 Min bars against the prior bar's close. The white horizontal is the prior close.

There is a lot of useful information that can be extracted from these types of studies.

Hi @glennts,

Thanks for posting this. Can I ask what program or method you used to analyze/display the data like this? I'm trying to look at the markets from slightly different angles to see if I can learn anything new, but I'm not exactly sure how to do this.

Could you point me in the general direction about how to pull stats from the data I get through a charting platform like NT8, or where I might find places where that data is available to look at and play with? This doesn't have to be anything exhaustive - If I can just get a scent of how to do this, I'll put in the time to learn.

An example of what I mean is the size of the bar on the charts above. By isolating them against the prior close, I figure I should be able to find the standard deviations of bar size (and what precedes/follows outliers) which - in my ideal world - might help me find a statistical edge to trade on, or at least inform some of what I'm doing. Perhaps there are other ways to do what I just mentioned, but the big thing I'm looking for is just a different perspective.

Thanks!
Mike

January 18th, 2022, 07:32 AM

This will get you started:

How do you code a detrended oscillator?

I'm having trouble coding the difference between a shorter-period simple moving average and a longer-period simple moving average as an oscillator in NinjaTrader. The result is a de-trended oscillator that can help getting into a strong trend. Would …

Instead of plotting the osc as a line, choose bar. Any oscillator indicator is the difference between two inputs.... generally a ma... but it can be anything you define... current price to the prior close, or the prior low or prior high... or the prior typical price. For what you are looking for it might be helpful to identify what your entry might consistently look like.... prior High + 1 tick for example and then detrend against that to see what on average is the possible follow thru risk/reward. Look at this on different time frames... 1 min, 5 min, 15 min etc to get a feel for how bar length relates to R/R.

Another approach that is interesting is to simply plot the range of individual bars... if you do 100 bars and can see that all but x bars are > y ticks... then you develop assumptions about profit/loss potential. For example: 95% will range > 5 ticks, 82% will range > 10 ticks, 70% will range > 20 ticks. You will need to keep in mind that the range is the low - high of a bar and your entry will be somewhere between those two so the average range of that bar is not really available to you. However, take a look at the range of 180 min bars and you will have a better perspective on what could happen if you get in near the start of the bar and have entered on the correct side of the move.... a skill without which you will just be roadkill.

January 20th, 2022, 05:23 AM

mwf2220

Can I ask what program or method you used to analyze/display the data like this?

Hi Mike

coding detrended bars can be a bit painful in Ninja, unless you are already into programming in NT. For research purposes you could get started creating a detrender in TradingView (tradingview.com) with 10-12 lines of code.

See https://www.tradingview.com/pine-script-docs/en/v4/annotations/Custom_OHLC_bars_and_candles.html

Hope it helps.

What timeframe for 99% limit order fill rate? (ES/NQ)

Discussion in Emini and Emicro Index

What timeframe for 99% limit order fill rate? (ES/NQ)