Market VWAP is worse than Limit price
Market VWAP is worse than Limit price
02 Oct 2024, 17:50
Hello,
sometimes when I put a Stop Limit order and the stop is triggered then my limit order is not executed because of “Market Vwap is worse than Limit Price”.
I suppose that it is because I didn't leave enough room to the price on the Stop Limit Range Pips. It was on US30, I have been executed on a Stop Limit Long with a 2 points (converted in pips) Stop Limit Range but I was not executed on my short.
Could you give me some explanation? I try fo find out what is my best settings for my Stop Limit Range to be executed without giving a big room and finally it will result like a slippage…
Thank you!
Replies
PanagiotisCharalampous
03 Oct 2024, 05:30
Hi there,
Many people think that stop limit orders somehow improve execution and magically eliminate slippage. They don't. They only thing a stop limit order does is that it does not execute the part of the order that falls beyond the slippage you can tolerate. This is what happens in your case. The stop limit order did what you instructed it to do. It did not execute the order because it could not meet your slippage criteria. If you want your orders to be executed, just use market orders.
Best regards,
Panagiotis
@PanagiotisCharalampous
sebastien.t
03 Oct 2024, 07:50
RE: Market VWAP is worse than Limit price
My spread was 1 point.
The issue is not about the SL but the Stop Limit Range of 2. Because my order was not even triggered…
firemyst said:
What's the spread on your US30 when you place the order?
On a few brokers, the spread is larger than the 2-point SL you set.
If you're doing this in a bot or indicator, you need to check the spread before placing your order. It's not a guarantee since the spread could hypothetically change at any given moment, but it's a good safety check
@sebastien.t
sebastien.t
03 Oct 2024, 07:53
RE: Market VWAP is worse than Limit price
Thank you. To be honest it was the answer I was expected.
I m happy with that, no issue at all. I have my rules about the slippage so that s fine.
I will look around and try other brokers to get more liquidity/ depth market.
Thank you!
PanagiotisCharalampous said:
Hi there,
Many people think that stop limit orders somehow improve execution and magically eliminate slippage. They don't. They only thing a stop limit order does is that it does not execute the part of the order that falls beyond the slippage you can tolerate. This is what happens in your case. The stop limit order did what you instructed it to do. It did not execute the order because it could not meet your slippage criteria. If you want your orders to be executed, just use market orders.
Best regards,
Panagiotis
@sebastien.t
firemyst
03 Oct 2024, 00:14
What's the spread on your US30 when you place the order?
On a few brokers, the spread is larger than the 2-point SL you set.
If you're doing this in a bot or indicator, you need to check the spread before placing your order. It's not a guarantee since the spread could hypothetically change at any given moment, but it's a good safety check
@firemyst