Limit Order Execution Mode
Overview
Execute copy trades using limit orders instead of market orders, reducing trading fees by approximately 67% while maintaining high fill rates through intelligent order placement.
How It Works
Instead of immediately executing at market prices (which incur taker fees), the system places limit orders at optimal price levels based on current order book depth. This captures maker fee rebates or significantly reduced fees.
Example Fee Comparison:
Market order: 0.06% taker fee
Limit order: 0.02% maker fee
Savings: 67% reduction per trade
For an account processing $100,000 in monthly volume, this represents $40 in monthly savings or $480 annually.
Two-Factor Decision System
The system intelligently decides between limit and market orders using two conditions:
1. Configuration Setting
The use_limit_orders parameter must be enabled in your strategy settings.
2. Rate Limit Capacity
Real-time API usage monitoring ensures sufficient capacity exists. The system maintains a safety buffer of 50 requests for essential operations.
Automatic Protection
The system continuously monitors API rate limits to prevent:
Rate limit violations that pause trading
Account lockouts from excessive requests
Trade execution failures during high activity
When API capacity drops below the safety threshold, the system automatically switches to market orders to ensure trade execution continues without interruption.
Order Placement Intelligence
Order Book Depth Parameter Configure how deep into the order book your limits are placed (default: 3 levels).
Depth 1-2: Faster fills, less price improvement
Depth 3-5: Balance of fill rate and price optimization
Depth 6+: Maximum price improvement, slower fills
The system analyzes current market conditions and order book liquidity to optimize placement depth dynamically.
Limit Order Management
Automatic Cleanup Unfilled limit orders are automatically cancelled during system cleanup cycles to prevent stale orders from executing at unintended prices.
Fill Rate Optimization The system tracks fill rates across different market conditions and adjusts placement strategy to maintain high execution probability (typically 85-95% fill rate).
Fresh Pricing Requirement Limit orders are only placed when fresh market data is available from the data gateway. Stale pricing triggers automatic fallback to market orders.
When Limit Orders Are Used ✅
Configuration enabled
API rate limit has ≥50 request buffer
Fresh market prices available
Sufficient order book liquidity exists
When Market Orders Are Used ❌
Configuration disabled
API rate limit approaching capacity
Stale or unavailable pricing data
Emergency execution required
Extreme market volatility (order book gaps)
Best Practices
Enable limit orders for cost-sensitive strategies with moderate urgency
Monitor fill rates—if consistently below 80%, consider adjusting order book depth
Use market orders for time-sensitive strategies where entry timing is critical
Higher order book depth works better in liquid markets (BTC, ETH majors)
Combine with Forward Mimic to optimize both timing and cost
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