Feedback are welcomed.
When an investor places an order to purchase or sell a stock, there are only two fundamental execution options: place the order "at market" or "at limit." Market orders provide instruction to execute, as quickly as possible, a transaction at the present, or market, price. Conversely, a limit order provides instruction to only execute at or under a purchase price or at or above a sales price.
Limit Orders are extremely important and its analysis. To take into account the nearest ASK and Nearest Bid. In historical the Open[0] is more important then the Close[0] when it comes to limit orders, The BID and ASK is found in level 2 data that is the value the should be used to Fill with out intense custom programming which is now what has to be done to get results.
Currenty GetCurrentBid() or GetCurrentBid() The main functions for Bid/ASK limit orders, Ninja Trader help states: When accessed during Historical, the Close price of the evaluated bar is substituted.
Meaning the making money on the current bar is impossible cause you need the previous close, you have to take the trade to next bar which depending on the bar type like 5 bars there is a lost 5 minutes of trading and to any day trader 5 minutes can make the difference of in the money or at a loss.
This is fundamentally mathematically un-realistic in the case of Limit Orders which deals with Opening price more than closing price.
I hope we all can contribute to this thread and show how mathematically using the Close of the current bar is totally way off from a realistic approach to limit orders and push by voting here that the next release a fix is added to limited order fills.
Please share your thoughts.
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