Limit Order Fill Odds Study

"Wait for a better price" is a habit most traders never actually measure. This script tests it directly: for every closed bar in the lookback window, it pretends a limit order was placed a fixed pip distance from that bar's close - a buy limit below, a sell limit above, or both - and then checks the following bars to see whether price actually traded back far enough to fill it, and how many bars that took. The signal bar's own range is never counted as a fill, even if it happens to touch the limit price - the order is only placed once the bar has closed, so the earliest possible fill is the bar after it. This avoids the common mistake of testing whether a bar touched its own future price. Results are reported as a fill percentage, an average bars-to-fill, and the fastest and slowest fill observed, separately for each side tested. Notes and limitations This assumes the limit order rests at a fixed price with no expiry other than the bar-count cutoff, and ignores spread, slippage and broker fill rules - it answers "did price trade at or through this level", not "would this exact order have filled at this broker". Treat the output as a starting estimate of how often the market revisits a given distance, not a fill guarantee. Needs InpLookbackBars + InpMaxWaitBars + 1 bars of history loaded on the chart; the script checks this and refuses to run on too short a history rather than silently testing fewer signals than requested.

Script · MT4 · v1.0 · Free

Tags: Pending Orders · Alerts · MT4 Script · MQL4 Source Code

MQL4 & MQL5 scripts · PolyMaria