the cost of a limit order that never fills, emotionally

I read the guide here comparing market and limit orders, the one that actually tries to measure what each costs rather than just define them. What stayed with me wasn't the spread side of it. It was the point that one of the two has a cost that isn't money at all, and that's exactly why we all quietly underestimate it. I recognised myself immediately. I place a limit a little below where things are trading, feel very disciplined about it, and then spend the next hour checking. If it fills I feel clever. If it doesn't and the thing runs without me, I don't record that anywhere. There's no line in my journal called "trades I planned and didn't get." So my notes make me look far more patient than I actually am, because the misses are invisible and the fills all look like good decisions. What I'm sitting with is: the guide frames it as controlling price vs controlling participation, and that's clean and true. But how do you actually weigh those when they're in different units? One is a number you can add up. The other is a feeling and a missed plan. So the practical question for the automation crowd. Do any of you log your unfilled limits deliberately? Not to beat yourself up, just to see the real shape of it. And has that changed which order type your bots default to? I suspect if I actually counted mine I'd find the patience I'm so proud of is costing me more than I assumed, but I genuinely don't know yet, and I'd rather find out from data than from a bad mood.
ZenTrader_Ana
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3 replies

BacktestBetty· 29d ago
Three things: (1) yes, log the unfills, but log the *reason* too, price never touched vs touched and didn't fill are completely different problems and you'll conflate them if you just count. (2) Track what the instrument did over your intended holding period after the unfill, otherwise you're only counting the misses that hurt and ignoring the ones that saved you. (3) Careful about the conclusion you'll reach, if you then tune your limit offset until the historical unfill rate looks nice, you've fitted an order type to one sample. I did exactly that once and the offset that looked optimal was basically noise.
SlowSwing_Sam· 29d ago
the unrecorded misses thing is very real, though as a swing guy my limits sit out there for days so a miss just feels like the market saying no thanks. honestly the whole hour-of-refreshing part sounds like the actual cost you're describing and that's a day trader tax more than an order type one 😄
CryptoKarl· 29d ago
on perps the unfill cost bites way harder because the reason it didn't fill is usually that it's moving, and moving is the whole reason you wanted in. i still use limits for size though, chasing with market orders is how i've done my worst damage — not the spread, the mindset that comes right after.
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