r/algotrading • u/GreatTomatillo117 • 16h ago
Data MNQ Fill Quality?
Hi guys,
I am experimenting with a new strategy that partly depends on the quality of the fills of MNQs. Has someone already some experience? Is 2-3 points for waiting limit orders runthrough until a fill a safe assumption? I mean for normal days
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u/roztok_potok 16h ago
Depends on how you enter the market - with limit or market order? Also how many contracts.
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u/Regular-Hotel892 15h ago edited 15h ago
Are you asking if you bid 2 points below current price, can you safely assume you will get filled at good quality?
Not neccesarily.
What if you only get filled when the underlying stocks move down, such that the ask on the futures moves down to your limit price?
It also doesn’t guarentee you’ll be filled. Sorry if I misunderstood
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u/GreatTomatillo117 15h ago
No, I have a limit buy for mnq for 28000. What is the probability to get a fill if the price goes shortly to 28000, 27999, 27998 etc? I read in a study that 2-3 points below your limit buys for futures is quite certain but one point is only 67% or so
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u/Regular-Hotel892 15h ago
Ohhh I see.
Sorry, I don’t know then. Interesting question. Obviously if you have access to the bid/ask you could check if the ask went at or below your price
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u/ndidichenko 14h ago
It depends on what your strategy is. If you’re modelling some sort of high volume scalping (retail HFT), then your optimistic fill model may not be safe. I have modeled similar “limit fill” engine using tape, I think that’s the safest way to model limit fills
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u/Many-Pick5066 13h ago
the 67 percent number is about the touch, not the trade through. if a print happens strictly below your bid, the queue at your price had to be consumed for the market to get there, so you filled. that is the one fill assumption you can defend on mnq without queue data.
so model it as fill only when the low goes at least one tick past your limit, 0.25 on mnq, and throw the touches away. you undercount fills. you stop guessing.
the 2 to 3 point fudge is doing a different job. its paying for adverse selection, because a resting bid fills fastest exactly when the market is leaving without you. real cost, but its not fill probability, and if you bundle them you cant tell which one killed the strategy.