Hi,
I just simulated a trade with Bookmap and MT5 and got completely different results.
What does this mean if the price (white) is outside of Ask (red) and Bid (green)?
I think there was a high buy pressure from buy market orders and they accepted a worse price as the best Ask to fill their large orders quickly. But why do I and we others get the best ask price?
On MT5 I lost 5 ticks instead of the SL. Why they are so differently and what is more realistic?
Thanks...
Why I get a win trade if Price outside of Ask and Bid?
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arminfuchs
- Posts: 4
- Joined: Mon Apr 11, 2022 9:33 am
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Why I get a win trade if Price outside of Ask and Bid?
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Re: Why I get a win trade if Price outside of Ask and Bid?
If you can send a more zoomed out view that includes the instrument name/provider and the time line, it'll be more clear
But regardless, in a quick price moves (sub-second), for example when a big buy order matches against several limit sell orders, you could see last traded price goes outside the BBO. The reason it is presented this way by Bookmap, is because this is exactly the order of events that are sent by the exchange/market data vendor.
When you trade via the simulator in those places, the results won't be accurate
But regardless, in a quick price moves (sub-second), for example when a big buy order matches against several limit sell orders, you could see last traded price goes outside the BBO. The reason it is presented this way by Bookmap, is because this is exactly the order of events that are sent by the exchange/market data vendor.
When you trade via the simulator in those places, the results won't be accurate
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arminfuchs
- Posts: 4
- Joined: Mon Apr 11, 2022 9:33 am
- Has thanked: 1 time
Re: Why I get a win trade if Price outside of Ask and Bid?
Thanks!
- Instrument: S&P500 Mini Future
- Datafeed: Rithmics
. TimeScale: 30msec
"The NBBO refers to the SEC rule that requires brokers to guarantee that customers receive the best prevailing ask price when they purchase securities and the best prevailing bid price when they sell securities."
If this is the case how is it possible that the price goes outside the BBO?
1. Because market makers can send special orders that also accept worse prices than BBO, but this would be an advantage for retail traders?
2. The BBO isn't guaranteed, is it?
I'm asking this questions because I want to find out what costs are included in Simulated Trading when I trade with TP and SL?
1. Spread?
I have to pay it for the TP or the SL.
TP = Limit Order: I get the Ask, but I'm not always filled and I make a loss through the SL.
TP = Stop Market Order: I'm always filled, but have to pay the spread on the Bid.
So it cancels out.
SL: If my SL is larger than the spread then I don't have to consider it because I get the Bid price.
2.Slippage
Slippage going to always average out, in the long run, to zero, simply because of the unpredictability of price movements.
TP = Limit Order (correct price, no slippage)
SL = Stop Market Order (slippage)
3. Market Impact Costs
I don't have one because I only trade with small volumes
If the rules are so clear, why are the results of Bookmap and MT5 are so differently and which is more realistic?
- Instrument: S&P500 Mini Future
- Datafeed: Rithmics
. TimeScale: 30msec
"The NBBO refers to the SEC rule that requires brokers to guarantee that customers receive the best prevailing ask price when they purchase securities and the best prevailing bid price when they sell securities."
If this is the case how is it possible that the price goes outside the BBO?
1. Because market makers can send special orders that also accept worse prices than BBO, but this would be an advantage for retail traders?
2. The BBO isn't guaranteed, is it?
I'm asking this questions because I want to find out what costs are included in Simulated Trading when I trade with TP and SL?
1. Spread?
I have to pay it for the TP or the SL.
TP = Limit Order: I get the Ask, but I'm not always filled and I make a loss through the SL.
TP = Stop Market Order: I'm always filled, but have to pay the spread on the Bid.
So it cancels out.
SL: If my SL is larger than the spread then I don't have to consider it because I get the Bid price.
2.Slippage
Slippage going to always average out, in the long run, to zero, simply because of the unpredictability of price movements.
TP = Limit Order (correct price, no slippage)
SL = Stop Market Order (slippage)
3. Market Impact Costs
I don't have one because I only trade with small volumes
If the rules are so clear, why are the results of Bookmap and MT5 are so differently and which is more realistic?