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I have written a simple ES day trading system on 1 minute bars. It relies on limit orders being filled, which is probably the failure point of the strategy. But... with encouraging results, I'm not ready to ditch it yet.
I am using TradeStation. Of course it is profitable backtesting as long as I configure TS to assume the limit order was filled on touch. It loses profitability if I configure the backtest engine to assume a fill only if price goes through the limit order price. At that point the equity curve looks more like a seismograph rather than something you would want to put into your bank account.
Changing the fill assumption to "pass through" changes this:
to this:
A new limit order is placed every 60 seconds. Wouldn't this present a problem with always being last in the order queue, making my order "low man on the totem poll?"
Then... there are latency issues. What type of server connection would I need in order to make this possible? Would an AWS server close to TradeStation's server suffice? Or would I need something closer to the exchange?
What else am I not missing, or perhaps I should say, is it even possible to trade a strategy based on 1 minute bar limit orders?
Any feedback is greatly appreciated!
Dave
Can you help answer these questions from other members on NexusFi?
It's absolutely dismal when assuming a fill on price pass through:
It's amazing how something that looks good 'on paper' is simply not mechanically viable. I was hoping that I was missing something.