how much do stray ticks affect the price in liquid contracts - lets say NIFTY and BANKNIFTY F&O ?
Those contracts are extremely liquid , so will stray ticks still have large deviations from the current price or will it be limited to 2-3% of current price?
There is no definitive answer to this, sometimes there can be 3 to 4 % away also. For options it can be much more, so it is recommended to place orders after seeing market depth at opening time.
Please check and let me know ,
I’m doing a backtest for a couple of strategies and entry at open is preferred. So just wanted to gauge what would be the impact cost.
No issues , I just want a rough estimate of the range in which a market order at open could be executed ,
as I mentioned earlier , If the High - 105 and low - 95 is for the first minute of market open , will a market order on open be executed at a price that lies between 105 and 95?
Obviously It is difficult to give concrete answers in the stock market , but I’m just working on estimations and approximations.