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Date/Time: Mon, 23 Dec 2024 12:21:26 +0000



replay Fill Related question

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[2015-10-01 18:24:29]
ejtrader - Posts: 688
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]
Sierra Chart Engineering - Posts: 104368
The fill is going to be triggered based on the bid and ask prices themselves.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2015-10-01 18:56:32
[2015-10-01 19:00:30]
ejtrader - Posts: 688
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
[2015-10-02 04:11:18]
ejtrader - Posts: 688
If you would like to check this behavior - replay or realtime - you can pick NQ where this happens regularly.

Thanks

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