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Direct MessagesDate/Time: Fri, 03 May 2024 15:43:10 +0000
replay Fill Related question
View Count: 824
| [2015-10-01 18:24:29] |
| ejtrader - Posts: 688 |
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SC Team - One of the observations made during the fill logic during replays (as well as Sim) for limit long orders - you would expect the ask price to touch the limit price before a fill is done. In general this is a clean solution. However apparently - when there is a trade occurs below the limit price ( but ask Not touching the limit price) there is no fill. I think this logic has a flaw and might need your review. Probably the logic should change as below: For a limit long the fill should be made: - ask price touches the limit price - when there is a trade "below" the limit price - whether or not ask touches the limit price. Would you please review on this? PS: no big deal if you won't change this logic - but certainly think this as a flaw. Thanks |
| [2015-10-01 18:56:17] |
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The fill is going to be triggered based on the bid and ask prices themselves.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-10-01 18:56:32
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| [2015-10-01 19:00:30] |
| ejtrader - Posts: 688 |
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SC Team - It's understandable, but this is NOT realistic fill representation. If there is a limit price(long) in the queue, and a trade Happens AFTER it enters the queue with a price BELOW the limit price and still doesn't get a fill - This certainly doesn't represent a true/realistic fill case. When there is a trade below the limit price - it should be filled irrespective of best ASK price. Thanks if (limitLong >= bestAskPrice or limitLong > lastTradePrice) fill the Long order at limitLong Price if (limitShort <= bestBidPrice or limitShort < lastTradePrice) fill the Short order at limitShort Price Date Time Of Last Edit: 2015-10-01 23:20:30
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| [2015-10-02 04:11:18] |
| ejtrader - Posts: 688 |
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If you would like to check this behavior - replay or realtime - you can pick NQ where this happens regularly. Thanks |
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