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Does anyone here track fills on touch in their systems for futures?

Patrick C All Messages By This Member #47294 Hey guys I'm about to run through a ton of trades by hand to check if the fills would have filled.. For example, I want to sell 1 E-Mini contract at 4000 and the high of the current candle is 4000. What are the probabilities that I got filled? (I know theres so much more too it) This whole system I am going through is for the E-Minis during live trading hours. I was thinking of doing 50% for the pass through Does anyone trade E-Mini's and keep track of this in their own systems? I think 50% should give me a ball park to see if the non-fills will break the profitability of the trading system. I've always felt like IB was pretty good with getting fills on touch with a limit order being smart routed.? But maybe some one has got this data from years of running. That would be nice :)
Nick #47295 I haven't traded e-mini's for a while but there used to be thousands of contracts at each price near the current price. When you place a limit order you go to the back of the line for that price, so all contracts ahead of you have to fill before you will get filled. I don't know the percentages but the closer you are to a popular price the lower the odds will be. You could also look into market-if-touched orders to see if more fills but with the risk of slippage winds up being a net gain. Note that stops always fill since they turn into market orders when touched. toggle quoted message Show quoted text On 5/27/2021 12:41 PM, Patrick C wrote: Hey guys I'm about to run through a ton of trades by hand to check if the fills would have filled.. For example, I want to sell 1 E-Mini contract at 4000 and the high of the current candle is 4000. What are the probabilities that I got filled? (I know theres so much more too it)
Raoul Suurmeijer All Messages By This Member #47298 开云体育 So, putting in the sell limit order at 4000 really early would increase your chance of actually getting triggered I assume? My open buy/sell limit always has an attached bracket order, all of them entered several hours in advance, so it's probably first in line I guess ;-) Regards, Raoul On 27-05-2021 18:59, Nick wrote: toggle quoted message Show quoted text I haven't traded e-mini's for a while but there used to be thousands of contracts at each price near the current price. When you place a limit order you go to the back of the line for that price, so all contracts ahead of you have to fill before you will get filled. I don't know the percentages but the closer you are to a popular price the lower the odds will be. You could also look into market-if-touched orders to see if more fills but with the risk of slippage winds up being a net gain. Note that stops always fill since they turn into market orders when touched. On 5/27/2021 12:41 PM, Patrick C wrote: Hey guys I'm about to run through a ton of trades by hand to check if the fills would have filled.. For example, I want to sell 1 E-Mini contract at 4000 and the high of the current candle is 4000. What are the probabilities that I got filled? (I know theres so much more too it)
Nick #47299 Yes, assuming it's not a popular price. If it's something commonly followed like previous high/low/close there might be a bunch of orders there already. toggle quoted message Show quoted text On 5/27/2021 3:08 PM, Raoul Suurmeijer wrote: So, putting in the sell limit order at 4000 really early would increase your chance of actually getting triggered I assume?

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