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Relationship between timeframe and unfilled limit orders


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 placcio 
bologna italy
 
Experience: Intermediate
Platform: multicharts
Broker: berkeley
Trading: ftsemib future
Posts: 7 since Jan 2011
Thanks Given: 1
Thanks Received: 6

Hi, I'm backtesting an intrday systems. It works with limit orders on 10 min time frame. I just have systems witch works with limit order on daily time frame. I have found very big differeces.
On daily basis I never had an unfilled orders in realtime.
that was false in intraday.
I think there is a link beetween time frame and unfilled limit order.
Mare small the time frame more unfilled orders.
There is anyone that have mede some study about?

If I consider, in backtesting my intraday system, filled only the orders 1 tick beyond limit the system don't works, and olso is a pessimistic backtest.
Not all limit order reain unfilled in the reality.

Maybe understanding the relation between time frame and unfilled orders is possible to calibrate the systeme choosing the right timeframe and have a more realistic backtest.

Thanks


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Last Updated on May 22, 2012


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