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Limit Orders - Proving a fill
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Limit Orders - Proving a fill

  #1 (permalink)
Elite Member
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Futures Experience: Intermediate
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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:

2009-08-26_1438

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?:

 
Code
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!
Kirk

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  #2 (permalink)
Elite Member
Austin, TX
 
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sefstrat's Avatar
 
Posts: 285 since Jun 2009
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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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