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Steve2

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Subject : RE: Improving RTM Results With Limit Entries
Posted : 8/15/2017 9:22 AM
Post #36859 - In reply to #36856

Hi Mark,

I think getting away from MOO orders is good. Regarding only submitting limit orders, did you happen to do an experiment that did not reduce the allocation if the order didn't fill at the open? That is, just submit a day limit order at 8% allocation? It's a simpler approach that could be more accurately simulated than canceling and resubmitting orders. I'm wondering how much PPT is gained by reducing the allocation after open.

Steve
Deleting message 36859 : RE: Improving RTM Results With Limit Entries


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