Market vs. Limit Orders: Best Practices for Live Strategies

[Caspersky_]

Hi Team,

For live strategies on different timeframes (e.g., 15-second bars or even 5-minute bars), what’s the recommended approach for entering trades:

• Market orders (e.g., EnterLong) for guaranteed execution but potential slippage?
• Limit orders (e.g., EnterLongLimit(DefaultQuantity, GetCurrentAsk(), "")) to avoid slippage but risk missing entries?
• Or perhaps adding 1 tick to limit orders to improve the likelihood of execution while still controlling slippage?

I’d appreciate your insights on which approach works best across various conditions, particularly for scalping in volatile markets.

Thanks,
Casper

[elirion]

Depends entirely on your strategy and instrument of choice.
For me i scalp small movement on /ES and /NQ. I always use limit order for entries. I will get 1 or 2 missed trades here and there, but it doesn't bother me since there are plenty of opportunities around. Since I scalp small movement, slippage will hurt me more. So i need the precision when it comes to entries.

[Caspersky_]

Depends entirely on your strategy and instrument of choice.
For me i scalp small movement on /ES and /NQ. I always use limit order for entries. I will get 1 or 2 missed trades here and there, but it doesn't bother me since there are plenty of opportunities around. Since I scalp small movement, slippage will hurt me more. So i need the precision when it comes to entries.

Thank you! Could you clarify, for example, whether you are using GetCurrentAsk() or something else in EnterLongLimit(DefaultQuantity, GetCurrentAsk(), "")?

[elirion]

Thank you! Could you clarify, for example, whether you are using GetCurrentAsk() or something else in EnterLongLimit(DefaultQuantity, GetCurrentAsk(), "")?

nope, i used a pre-determined value for my limit value. For example: EnterShortLimit(positionSize, limitEntryPrice, SHORTENTRYNAME);
my limitEntryPrice is always at the close of my signal bar.