I'm looking at how to squeeze every last pip out of my trades, so concentrating right now on the execution. I'm thinking of price improvement strategies, and so far the best I've come up with is once I want to get in, put in a limit at bid or ask +/- spread, wait for x amount of time, if not hit, replace with limit at market.
X amount of time I'm thinking will be quite a small window.
Placing a limit +/- the spread seems fairly arbitrary too - so possibly a calculation based on typical volatility for that time of day?
So, I've got a lot of backtesting to see if it improves overall profitability - but has anyone else tried this kind of thing, tested it, or have any brighter ideas?
X amount of time I'm thinking will be quite a small window.
Placing a limit +/- the spread seems fairly arbitrary too - so possibly a calculation based on typical volatility for that time of day?
So, I've got a lot of backtesting to see if it improves overall profitability - but has anyone else tried this kind of thing, tested it, or have any brighter ideas?