The almost fill

[Fairman]

The almost fill

Price touches the limit order's level, retreats a tenth of a pip short, and runs away without filling the order. The trade would have been a winner. Instead there is nothing.

This near miss is a source of outsized frustration. The next time, the trader moves the limit closer to the market to make sure it fills. Then it fills too easily, in poor conditions, and loses.

Chasing the fill is a pattern. Each almost-fill pushes the entry rule slightly toward the market until the original edge is gone.

The way out is statistical. Track the fill rate of limit orders at a given distance from the market and the outcome of those that fill. If the strategy's edge relies on the entry level, moving it is a change in strategy, not a tweak.

A modest improvement is to decide the entry offset in advance, test it across many trades, and leave it alone.

How many times in the last month was an entry level adjusted after a near miss, and did the adjustments help?

[Fairman]

An almost fill happens when price comes within a fraction of a pip of a limit order or take profit and then reverses without triggering it. It is one of the more frustrating experiences in trading, since the trade would have been successful if the level had been set slightly differently. It also reflects how orders work: a buy limit fills only when the ask reaches the level, and a sell limit only when the bid reaches it. If the chart shows bid prices and the order is a buy limit, the bid touching the level does not mean the ask did. Turning on the ask line in the chart settings often explains why an order did not fill despite the candle seeming to touch it.