Market entries (54 trades)
- Average spread at entry: 22 cents.
- Average entry slippage: −4 cents.
- Fill rate: 100%.
- Fill rate: 70%.
- No negative slippage (by definition).
- Of the 18 unfilled orders, 11 would have been winners.
Net result: market entries came out slightly better overall, because the setups that moved away fast without filling my limit were often the best ones.
My current compromise: a limit order placed one or two ticks inside the spread, with a 30-second expiry. If not filled, I either let it go or enter at market only if the setup is still valid.
Has anyone tested this on gold or other thin markets? I wonder if the result changes in London hours where the book is deeper.