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I am interested in automated trading and want to avoid using simple market orders to enter the market. I have identified an alternative but want to make sure I understand it's operation.
Let's assume the current inside bid is 4900 and inside ask is 4900.25. My study fires an alert to go long. I direct Sierra Chart to enter "buy limit @ 4901.00" This ensures a high likelihood I will get filled, but not at an extreme price.
I have done this in experimentation and get a fill at 4900,25. Does Sierra Chart interpret my order as "Order was submitted as a limit buy with max price of 4901, so the platform will execute a market-limit or stop-limit?"
Also if any programmers see this, is this functionality supported in ASCIL? And could my custom study direct an order to "buy limit 4901" through the trade window, where the trades could be managed with attached orders?
Can you help answer these questions from other members on NexusFi?
some platforms can handle this kind of order, but this is everything but a "buy limit" order, a buy limit order has to be beow the current price. You need some kind of "buy stop" order with an off-set (in ticks i.e. 0 to 2 ticks or so) but you will never know if you get a fill or the price just trades thru without you
I am not familiar with Sierra Chart but I would think that a Buy Limit @ 4901.00 means you want to buy but you are not willing to pay more than 4901.00 (Limit). Since the inside ask = 4900.25, below your limit buy price of 4901.00, the order executes immediately to the ask (which is what you experienced) . You get it cheaper as you wanted.
You should use a "Buy Stop Market" if you want to buy above the ask. At least that's how NinjaTrader works (and I believe other platforms too). But maybe Sierra Chart has other options? You should be able to find all order options in the Sierra Chart documentation.
Not sure what your problem is with the snarky reply but you were incorrect. A limit buy submitted above the best ask is 100% possible. An order book matching rules are price and then time prioritised.
So you will be filled effectively as a market order up to you limit price until your volume is matched and if its not completely match the remaining will then sit in the order book as best bid. Effectively you are sweeping the best asks.
First of all, let's please keep any disagreements cordial and professional, even if the other person seems to be very wrong. Disagreeing on the internet is not that unusual, and we strive to be civil about it on the forum. It's not that big a deal if we think someone is wrong; just correct them. Politely.
With that said, I don't know if different trading platforms allow traders to use different order types in all situations. I somewhat recall that Ninja has some restriction on where/when different orders can be placed. (I just checked NT, and it will let me place a buy limit below the current price, but not above it. I don't think Sierra Chart has this restriction, but I don't want to fire it up and see.)
Limit orders allow the buyer to define the maximum purchase price for buying a future or the seller to define the minimum sale price for selling a future. A limit price cannot be filled worse than the limit price but can be filled better.
For example, if the market is 12 offer and a trader enters a 15 bid, the trader will get filled at 12 if there are sell orders still on the offer. The buy order could get filled at 12,13,14 or 15.
I take this to mean that CME has no issue with a limit buy above the current ask, since they give an example of exactly that. But I think particular trade platforms may, which, if so, resolves the disagreement.
I'm not sure if @Tuglife's original question has been addressed with this discussion, since it was about how Sierra Chart (and its programming scripting languade ACSIL) would handle a particular situation. Things got a little off-track since then.
Bob.
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@bobwest good job pointing out that what the exchange/matching engine allow and what your software allow may not be the same thing. (eg trading crude at a negative price :-) )
Not trying to 'stir the pot' but @tr8er all three of the software programs I use (TT, Stellar & Tradestation) will allow a bid limit order higher than the ask price. In fact I believe all software that employ's a ladder will, but I could be wrong. I think what @Tuglife is asking is actually quite common.
