Get Filled on Autotrading

Hi Guys,
I'm using some intraday strategies on my own for testing them on the real market with IB Controller (just Paper by now). One of the usual problems on Intraday is getting a good fill. This can be a big issue in scalping strategies with short time frames, 1-10m. So i would like to know how to get a better fill if this can be, besides using limit orders for a certain price. Such as submitting an order for the Bid, wait n seconds and change it for the Ask if not filled before. I was looking some examples but nothing found.

Also i would like to introduce on my backtests a Var for bad filling. Of couse you can always Buy at Price+x ticks but i wonder if there are other alternatives for simulating bad filling.

Thx,

It's a vast topic, imo it depends on your market. One way consists in managing yourself the execution, but before that consider exotic order types managed by IB, such as Pegged to Primary, Limit if Touched (Market If Touched is a good compromise too), Market to Limit, Passive Relative...much simpler and could make your day.
Consider also using FOK orders (TIF attribute)
https://interactivebrokers.github.io/tws-api/available_orders.html

1 Like

Hi Alligator, thanks for the link. Market to Limit or PR can be a good start for testing other market filling. Also FOK Orders looks good. But i don´t know if all this orders can be allowed on IB Controller.

And the other question i posted for Backtesting slippage, what do you usually use, just Buyprice=Buyprice+slippage?

Best,

All cited orders type can be used with IBController. For others not available, I will release soon a fork of IBC allowing to use all of them.
About slippage, best method also depends on what you trade. The simplest consists in increasing commission. Nothing can replace sim/live tests though, especially for estimating slippage.

2 Likes

Thks Alligator I'll try to test them and i'll stay tuned on the new IBC

"Nothing can replace sim/live tests though, especially for estimating slippage."
Yeah, Absolutly agree. That's why I'm starting to revise my strategies on the real market.
Best,