NexusFi: Find Your Edge


Home Menu

 





Relationship between timeframe and unfilled limit orders


Discussion in Emini and Emicro Index

Updated
    1. trending_up 2,357 views
    2. thumb_up 0 thanks given
    3. group 1 followers
    1. forum 1 posts
    2. attach_file 0 attachments




 
Search this Thread
  #1 (permalink)
 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


Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Trump Media to sell instant access to market-moving soci …
Traders Hideout
UCL Final Kicks Off at Noon ET: PSG at 56.5% as Iran May …
Prediction Markets & Event Contracts
I Have a Thing Called Iran -- Trump Stays in DC as Airsp …
Prediction Markets & Event Contracts
Netherlands & Germany Surge as World Cup Field Narro …
Prediction Markets & Event Contracts
Iran Talks Final Stages -- Two VLCCs Exit Hormuz, Record …
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
NexusFi site changelog and issues/problem reporting
8 thanks
Darmok and Jalad at Tanagra
1 thanks




Last Updated on May 22, 2012


© 2026 NexusFi®, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Downloads - Top
no new posts