On Fri, Oct 6, 2017 at 12:02 pm, Fatih Ulupinar wrote:
I issue a MARKET order to ensure execution
You may wish to look into the priority that Limit orders vs. Market orders get filled.
For stocks, I submit Limit orders, then monitor best bid/ask and update unfilled orders' limits based on best bid/ask and the delta-best velocity. I check for best bid/ask beyond order limits every 1/8 second.
