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Statistical Fill Type for Historical Mode
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Statistical Fill Type for Historical Mode
The current fill types ('Default' for pierce only, 'Liberal' for touch only) always work the same way. How about a new fill type -- 'Statistical' -- which fills x% of the time (say 50) on a random basis in order to more realistically evaluate historical data for a given strategy? The user could then run a meaningful sample size (say 1000 runs) over the same data to get a feel for average results. Of course there would be a tabulator program that automatically performs these runs and tabulates the results (profit/loss). Offhand, this shouldn't be too hard to implement...Tags: None
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Default fill type
I understand the default fill type fills orders if they are penetrated such as entry and target orders, but my stops seem to get filled when touched is this normal?
I assumed all orders under the default fill type need to be penetrated to get filled?
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