What are the chances that a limit order will be filled?

How far from the previous day’s market closing price? Buy order   (below the previous day’s closing price) Sell order (above the previous day’s closing price)
0% (at the closing price) 97% 98%
0.25% 94% 97%
0.50% 90% 95%
1.0% 81% 92%
2.0% 68% 81%
3.0% 58% 69%
4.0% 50% 57%
5.0% 42% 45%
6.0% 35% 35%
10.0% 18% 11%
15.0% 9% 3%
20.0% 5% 1%

Notes: This data set only applies to the one security tested, VTI, as a proxy for the whole U.S. stock market and for the time period December 2004 to December 2011 (seven years of daily data).

I adjusted for dividends. I also made an adjustment for the artificially low price on the flash crash day, since that price was not “real.”

I used a period of 60 days for a good-til-cancelled order to get filled.

The percentages listed in the table should be used as a guide to help one decide how to price limit orders, not a firm prediction of future market behavior.  Different securities will behave differently.  For example, I would expect a bond fund to not fluctuate nearly as much as a stock fund, therefore the chances of having a limit order filled for a bond ETF would likely be sizably lower than what is indicated on this chart.  Likewise, a more volatile stock market ETF, such as an emerging markets ETF or an individual stock, would be expected to have a higher probability of having a limit order filled than the probabilities published on this chart.  Keep in mind that this chart applies only to a single data set: the entire U.S. market.  It also applied during a time when the markets gyrated a fair amount, but did not trend strongly in one direction.  As always, past performance does not guarantee future results.

A few other fun facts about this data set:

The average compound annual appreciation over the seven-year period was 2.6%.

The average daily fluctuation (high minus low as a percentage of price) was 1.57%.

What are the chances that a buy limit order placed 1% below the market close will get executed the next day?  29%.  A sell order placed 1% above the market close? 27%.

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