Entering a limit buy above the current ask?

February 5th, 2024, 09:28 PM

Thank you to everyone who weighed in with constructive feedback.

The subject of this post is something I looked into some time back (I screwed it up somehow). What I remember at the time was SC's documentation stating that you couldn't enter a limit buy above market. That was one of the reason's for my post. As I posted earlier, I want to use this technique in algo trading to control gaps or slippage, and I have been able to buy limit above marker in manual trade entries.

I just did a new search and came up with an answer from the SC support board that confirms what a couple of people have said on this thread, with an interesting detail.

Question put to their board was: How to enter a buy limit order above current ask in a spreadsheet system.

Sierra Chart Engineering replied:

This is going to be easier to do with ACSIL because there is a specific order type that supports this.

Refer to:
Automated Trading From an Advanced Custom Study

Order Types: OCO Buy Limit Sell Limit

February 6th, 2024, 05:36 AM

Tuglife

Thank you to everyone who weighed in with constructive feedback.

You actually can just check this yourself. Open a DOM hit "buy market" and look into the Activity log. You will have a buy order without a limit price (order 1 in pic). Then submit a buy above the bid and you will see the order has a LIMIT price but still fills at best bid. (order 2 in pic)

Same with NT

or if you want to test it in ACSIL for yourself here is the code.

Code

SCSFExport scsf_AA_TemplateFunction(SCStudyInterfaceRef sc)
{

    // Section 1 - Set the configuration variables and defaults
    if (sc.SetDefaults)
    {
        sc.GraphName = "Limit Test Function";
	sc.GraphRegion = 0;
	sc.AutoLoop = 0;
		
	sc.AllowOnlyOneTradePerBar = false;
	sc.MaximumPositionAllowed = 1;
	sc.SendOrdersToTradeService = false;

	return;
	}


	if (sc.GetBarHasClosedStatus() == BHCS_BAR_HAS_CLOSED)
	{
		s_SCNewOrder NewOrder;
		NewOrder.OrderQuantity = 1;
		NewOrder.OrderType = SCT_ORDERTYPE_LIMIT;  // <<<<< NOTE Limit order priced above current market
		NewOrder.Price1 =  sc.Close[sc.Index] + 4;
		int Result = 0;
		Result = (int)sc.BuyEntry(NewOrder);
	
	}


}

February 6th, 2024, 04:14 PM

Trembling Hand

You actually can just check this yourself. Open a DOM hit "buy market" and look into the Activity log. You will have a buy order without a limit price (order 1 in pic). Then submit a buy above the bid and you will see the order has a LIMIT price but still fills at best bid. (order 2 in pic)

Thanks for the testing tip.

Are you saying that a BuyLimit 3 points above the Market offers the same entry protection as a BuyStopLimit at Market with a Limit Offset of 3 points?

This is esoteric, and would be difficult to confirm.

I've always understood the two to be different:
The BuyLimit above Market immediately fills at Market and offers no entry price protection.
The BuyStopLimit at Market offers entry price protection to its Limit Offset.

March 31st, 2024, 05:57 PM

This thread inspired me to write a clarifying thread. Nothing fancy, just a scenario to try to clear up a marketable limit order.

Limit and Market order mechanics

I was reading a thread where there was confusion around market and limit orders placed above or below the market which can be filled immediately. This seems to be a strangely persistent confusion. This post attempts to clarify some things.

A buy market …

Entering a limit buy above the current ask?

Discussion in Sierra Chart

Entering a limit buy above the current ask?