Strategy Methodology

Limit Order Execution

An execution strategy that places limit orders (maker orders) to avoid paying the spread, accepting slower fills in exchange for better prices.


Market orders execute immediately but pay the spread — the difference between bid and ask. Limit orders sit in the order book and execute when the market comes to them, collecting the spread instead of paying it. On platforms that offer maker fee discounts, this difference compounds.

The botwir3 maker-first module places limit orders at configurable distances from the current price. If the order does not fill within the configured time window, it cancels and reprices. The module never chases the market — it waits for the market to come to its price. The gate validates that the proposed limit price and size stay within the configured tolerance band.

Maker-first execution trades speed for price. In fast-moving markets, limit orders may not fill, and the opportunity passes. In stable or mean-reverting markets, limit orders consistently capture the spread. The user configures the aggressiveness (distance from mid), the timeout, and the retry logic.


Sources

Foucault, T. (1999). Order Flow Composition and Trading Costs in a Dynamic Limit Order Market.” Journal of Financial Markets, 2(2), 99–134.Modeled the strategic decision between limit and market orders.
Cont, R., Stoikov, S. & Talreja, R. (2010). A Stochastic Model for Order Book Dynamics.” Operations Research, 58(3), 549–563.Provided a mathematical framework for order book modeling and optimal placement.
Avellaneda, M. & Stoikov, S. (2008). High-frequency Trading in a Limit Order Book.” Quantitative Finance, 8(3), 217–224.Modeled the market maker's optimal bid-ask placement problem directly.

Used in

Limit Order Execution module — builder


See this in action

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Related

SpreadSlippageOrder BookLiquidity

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