Support Board
Date/Time: Mon, 23 Dec 2024 15:44:45 +0000
Post From: replay Fill Related question
| [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 |