Yes, no, maybe?
Depends on a number of factors.
Scenario 1 – You have more orders than available capital.
The advantage of having the order enter earlier (from my understanding of the order book) is that your order will be higher placed in the order book so you have more chance of getting filled should there be a limited number of shares traded at or below your order level compared to an order that is added to the book when it hits the order price (you are later in line).
The drawback of this is that when you place a limit order in Tradestation, it reserves that amount of capital, reducing the amount of capital available. Therefore, whether the order fills or not, the capital is reserved and it is taken as if there is an order placed. This means that you may have other trades that technically hit their limit order price that can’t be taken as some other stocks have hit a level close enough to enter the limit order and reserve the capital even though they don’t get filled.
For me, I have found having the order enter when price hits the order level hasn’t been too much of a disadvantage overall. I think I would be more disadvantaged by having orders enter earlier and reserving the capital but not being executed. I think this would deviate from the backtest more in my experience to date. However, this is something that I am consciously aware of and keeping a note of (originally in a spreadsheet and now mentally after a number of trades). I guess this also comes down to what you are comfortable with.
Scenario 2 – Your amount of capital is equal to or more than the amount / value of orders.
Enter them as soon as possible to get in the order book as the above doesn’t matter.
I hope this makes sense. If anyone has a better understanding of how the order book works then I am happy to be corrected.
