Support Board
Date/Time: Mon, 27 Jan 2025 19:15:52 +0000
Post From: Queuing
| [2019-01-29 16:56:00] |
| Chad - Posts: 234 |
|
Hi SCE, figured to ask this here, even given the age of this thread... ...going off of your reply about sim trading, I take it that any development on simulating a 'size Pro Rata' order matching algorithm is not available in the course of a backtest within SC? If true, might you have any suggestion for modeling sPR within a market depth study, and/or a compromise to the order logic that would approach some approximation of dealing with sPR, e.g. pricing limit orders for a strategy at the bid-ask mid or rounding up/down to the nearest level of the LOB? |