Support Board
Date/Time: Mon, 13 Jan 2025 02:03:30 +0000
Post From: Limit order Fills on Replay
| [2017-03-06 21:46:31] |
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and a limit sell order is entered at 37.00. The eventual fill is 37.03 which is an example of this price improvement that wouldn't occur in the real market. That 37.00 limit would have stood in the orderbook and got taken out prior to price trading at 37.03. The problem is the order price you are setting. You are using an order price below the current price.You can see that here: https://www.sierrachart.com/Download.php?Folder=SupportBoard&download=11130 So the solution to this is on your side. Could this logic be applied to the replay back test to ensure that price improvement on limit orders doesn't occur? No, we would not do this for replay back testing.
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 |