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Direct MessagesDate/Time: Mon, 29 Apr 2024 20:04:51 +0000
[Programming Help] - Limit Order in Queue at Current Bid/Ask
View Count: 501
| [2020-08-10 09:01:15] |
| PeaceFrog - Posts: 102 |
|
Hello, Thank you for taking the time to answer my question. While using the “Replay Chart->Replay Chart (Control Panel)” in a “Spreadsheet System for Trading” study, the Sell Exit Limit Buy Order that is placed (by design) once a position is opened is not being filled when Price touches and trades on it. The Sell Exit Limit Buy Order only gets filled once Price has gone below the order’s Limit Price. For example, the Sell Exit Limit Buy Order is at 0.74500 (that has been active since the Sell Entry position opened) is not executed when Price decreases to and trades on 0.74500. It is only executed when Price decreases to 0.74495. The definition on: Order Types: Limit states: A Buy Limit order which is at or above the current Ask price will fill immediately. I can understand that a Limit Order may not fill if there are pre-existing orders at the same price (that’s why by design the Sell Exit Order is placed following the Sell Entry order – to get the optimal place in the queue at the Limit Price), however, there are multiple transactions at the Limit Price on multiple occasions with a fair amount of volume at times when, generally, volume is low and the Buy Limit Order is for a Quantity of 1. Is “Spreadsheet System for Trading” assuming that the Limit Order I’m entering is always the last in the queue at the Limit Price? I fear this issue is causing undue delay in settling positions and therefore creating unrealistic results. Thank you for again for your time and effort. It's very much appreciated. I look forward to your response. |
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