Limit vs Market Entries for Scalping: Cost, Fill Rate and Missed Trades

[FXS Prop Desk]

The choice between limit and market orders shapes a scalper's costs more than most indicator choices.

Market orders: guaranteed fill, but you pay the spread and possible slippage. Good when the move starts immediately.

Limit orders: better price, no negative slippage, but no guarantee of a fill. The missed trades are often the best ones, because price never came back.

A fair comparison needs data on both:

• Average cost per market fill (spread + slippage).
• Fill rate of limit orders, and the result of the trades that did not fill.

Some traders use a hybrid: a limit order 0.2–0.5 pips better than the current price, cancelled after a few seconds and replaced by a market order if the setup is still valid.

Which order type do you use for entries, and have you compared the costs?

[Fairman]

The missed trades are often the best ones, because price never came back.

That line is the whole problem with comparing them on paper. If you only count the limit fills, limits look cheaper every time, because the sample leans toward trades where price came back to you, and those are more often the weaker moves. The fair test is to log every signal and score the unfilled ones as if they had been taken at market. Say a limit saves 0.3 pips per fill but misses 20% of signals, and the missed ones average +4 pips. That works out to giving up about 0.8 pips per signal to save 0.24. The hybrid you mention is probably the sensible middle, as long as the cancel timer is short enough that you aren't chasing a worse price afterwards. How many seconds would you give it?

[Shadow Trader]

To answer Fairman's question, I give the hybrid limit about 4 seconds on EURUSD during London and closer to 10 in the Asian session. The timer should be shorter than the time the move usually takes to leave without me, and that is much faster when the book is busy.

The more useful number came from logging what happened after cancelling. If price had already moved more than half a pip away when the timer ran out, I skipped the market order completely, because chasing it usually meant buying the top of the first push.

One thing that flatters limit orders in a backtest is treating a touch as a fill. Live, a buy limit at a price that is only touched once often does not fill, and the tester counts it anyway, so I only count a limit as filled if price trades at least 0.1 pips through it.

Put together with Fairman's missed trade arithmetic, limits only came out ahead for me on fades and range trades. For breakout entries I use market orders and accept the spread as the price of being in.

FXS Prop Desk, have you seen any data on how retail limit fills differ between brokers with the same raw spread? I suspect the execution model matters more than the quoted price here.

[Shadow Trader]

A measure that helped me compare the two order types is the markout, meaning where price sits 30 seconds after the fill. It shows adverse selection directly, which a cost per fill figure hides completely.

On my EURUSD log, limit fills on breakout setups had an average 30 second markout of about minus 0.4 pips, while market fills on the same setups were around plus 0.2. The limit saved spread, but it mostly filled on the attempts where price was about to turn against me.

On fades the picture reversed, with limit fills slightly positive after 30 seconds. That fits the idea that a resting order is only on the right side of the flow when the trade itself is betting on a turn.

Size is the other variable that rarely appears in these comparisons. At one lot a limit at the touch usually fills in full, but at five lots price that touches and bounces gives a partial fill on the winners, while price that runs through fills the whole order on the losers.

Fairman, in your 20 percent missed example, would you score the missed trades with the spread they would have paid at market? Adding that cost narrows the gap a little, though not enough to flip it.

[Shadow Trader]

Spread and commission are quoted costs. Rejection rate is an unquoted one. Each rejected order represents a missed entry or a missed exit, and for scalpers, a missed exit can be far more expensive than a missed entry.

A rejection during an attempt to close a losing position leaves the trade exposed longer than planned. A rejection on a profitable exit can allow price to reverse. Neither shows up in a broker's advertised cost structure.

Tracking rejection rate is straightforward. Count rejected orders divided by attempted orders over a month, split by entries and exits, and by session. A rate above one or two percent in normal conditions deserves attention, and spikes in specific sessions point to liquidity issues. Platform logs and journal tabs usually contain the raw data. Comparing two brokers over the same period using identical strategies gives a clear, quantitative way to decide which venue suits a scalping approach better.

[FXS Prop Desk]

The hybrid you mention is probably the sensible middle, as long as the cancel timer is short enough

No fixed number of seconds. The cleaner trigger is the candle: if the signal candle closes and the limit hasn't filled, cancel it, because after that it's effectively a different trade. Your point about scoring unfilled signals at market is the key one. Splitting that by hour is worth adding, since the missed-fill rate is very different between the London open and the midday lull.

[Fairman]

An expiry at the signal candle’s close is a cleaner rule than choosing a timer after seeing the outcome, provided the candle and signal are defined in advance. It is still worth checking the timeframe: for a slow setup, waiting a full candle may leave a stale order exposed, while on a very short bar a small delay can make fill quality depend on the feed. The comparison should therefore test the same pre-recorded signals under a few predeclared expiry rules, not optimize the timer on the best-looking sample.

For unfilled orders, I would keep two ledgers: the actual strategy outcome (no position, so no trade P/L) and a counterfactual market-entry outcome using executable bid/ask and realistic delay and costs. That makes opportunity cost visible without pretending the skipped order was actually filled. For limit fills, a simple price touch can overstate execution; queue position, partial fills, and whether price traded through the limit all matter. Splitting results by session, as you suggest, can expose different fill conditions, but the buckets need enough signals and a later holdout period. The useful comparison is net expectancy per eligible signal—including misses, rejects, and costs—not just average cost among orders that filled.