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Direct MessagesDate/Time: Sat, 18 May 2024 16:14:36 +0000
Post From: LIFO /FIFO fill matching problem in REPLAY
| [2018-10-12 18:16:07] |
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We will do some more testing but let us explain how last in first out is implemented. In this explanation all quantities are 1. Lets say there is a buy at 100 and another buy 101. Total quantity is now 2. The average price will now be 100.5. There is then a sell of 1 at some other price. So the fill at 101 is now considered closed and the average price is now 100.
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