I am currently working on a system with limit buy orders, and found the following link about using limit orders which is not advisable in a portfolio-level backtest.
It says: "In a portfolio-level backtest we usually advocate against using limit orders."
The reasons are clearly explained there, but I can't help but wonder what entry order types you all usually use if not limit orders. Especially, I mainly do end of day trading, so I would place limit orders when the market is closed and forget about them until after the end of the next trading day.
Whether to use limit orders is a matter of personal preference. If that's what you intend to do in live trading, then just be sure you know exactly how you want to manage the capital in your account, including whether you will allow the use of margin. You may find that a CBT is required to achieve the desired behavior.
I guess placing market orders on open will require automated trading API? It doesn't look like it's possible by manual orders, especially when there are 2 or more orders to place. But even if it's automated, the system still needs to scan the open prices to determine if they meet the criteria to enter a trade, then the orders will be placed right after open (not exactly at open, unless there is a way to scan the open order book? ).
Not sure if my understanding is correct, please enlighten me. Thank you very much indeed.