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Limit Orders - Proving a fill
Started:August 26th, 2009 (03:07 PM) by zeller4 Views / Replies:1,290 / 1
Last Reply:August 28th, 2009 (03:14 AM) Attachments:0

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Limit Orders - Proving a fill

Old August 26th, 2009, 03:07 PM   #1 (permalink)
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Limit Orders - Proving a fill

don't know if I missed "elementary school of NT strategy coding" but I'm seeing the following trade plots of a strat:


those markers are no where near the price of th candles at that particular point in time. Do I need to verify a fill with something like this?:

if (High[0] > limitEntryOrder && Low[0] < limitEntryOrder) { filled = true;}
or please tell me what is the built-in syntax for verifying a fill occurred...

thanks for your help!

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Old August 28th, 2009, 03:14 AM   #2 (permalink)
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Is this in live simulation or backtest/replay?

You say this happened on a limit order?

The only time I see this is in live trading or live sim using market orders. It happens often in a fast market due to slippage, Ninja always draws the entry/exit signal over the bar where it was generated even if the actual fill price is not within that bar.

On a limit order, this should not happen.. this is the reason I use limit orders for all my entries =)

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