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Can fills in tick mode obey queue order if limits used ?


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Can fills in tick mode obey queue order if limits used ?

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Can fills in tick mode for backtest, simulation or replay be made to obey queue order if limits used meaning when I am trying to sell at the ask or buy at the bid ?

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bidask201 View Post
Can fills in tick mode for backtest, simulation or replay be made to obey queue order if limits used meaning when I am trying to sell at the ask or buy at the bid ?

If you are asking whether the backtest uses the position in queue and fills you accordingly, the answer is no. There are two settings - fill on touch, or fill when penetrated. You should always use fill when penetrated.

The Inside Ask and Inside Bid is simulated during a backtest as far as I remember, as NT does not store the inside bid/ask fields in the storage database - only the Last gets stored. During a live test, the Inside Bid and Inside Ask will be correct and can be used to place Limit orders against.

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Last Updated on May 12, 2012


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