How to exit from 2 positions at desired prices (limit orders) at the same time?
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Let me give you some context:
My algorithm, consists of 2 positions (hedged), looks for minute price inefficiencies, and exits when there is a net profit scenario. However, I'm finding it hard to execute the exit.
If I give 2 simultaneous Market orders, the prices are not desirable, and the trade ends up in net loss. Example, I need 1 point to breakeven, and due to slippage in market orders, this reduces to say 0.6 points, hence the loss!
If I give 2 simultaneous Limit orders, there is no guarantee that the orders execute at the same price. Worse, 1 position gets executed, leaving the other as unhedged naked position with no guarantee of it getting filled.
to summarize: how to exit from 2 positions at the exact same prices, also guaranteeing that these orders will get filled?
Please suggest some ideas to deal with this! Thanks in advance!
-Sudip