FORTS HFT Spreader Using Best-Price Limit Orders and Position Reversals

Summary

This FORTS Expert Advisor places limit orders around the best bid and ask when its spread condition is met. The spread input is measured in minimum price steps, so the threshold is converted using the instrument’s tick size. Once an order is accepted and a position opens, the EA places an opposite order at twice the volume to close the position and reverse. If initial orders are not accepted and the spread widens, it removes them and adjusts its quotes to remain one minimum step from the nearest best price.

The description illustrates the tick-size calculation with a futures contract example but gives no performance results, transaction-cost analysis, or risk limits. It warns that fast markets can delay order handling and prevent the EA from promptly restoring its best-price quotes. This execution-dependent behavior makes latency and order acceptance central practical constraints; the text alone does not establish trading profitability or suitability.

Key ideas

• The spread threshold is defined in minimum price steps and scaled by the instrument’s tick size.
• The EA places limit orders near the best prices when trading conditions are met.
• After a position opens, it sends an opposite order at twice the volume to close and reverse.
• Unaccepted orders are removed and adjusted as the spread changes.
• Fast markets can delay order handling and disrupt best-price quoting.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.