Hi, one of my models work on an intraday straddle (ATM). And my code reads the CMP of PE and CE, calculates position sizing and places a Limit order with a tolerance of 5 rupees. My reason for using Limit order is to reduce slippages. However, for the past few days I have seen one of the legs not getting filled due to quick drop in the premium. Later having to manually readjust the order and entering at a lower price (these are short positions)
What is the best method to enter an ATM Straddle?
- By Limit order with a wider tolerance of say 10 Rs.
- Or by premium matching where the premiums of PE and CE are close to each other (say within 10 or 20 Rs) and fire a market order.
- Or Something Else?
Thanks in advance.