Are there any plans to improve the simulator engine fill algorithm so it is better able to handle fast markets? Currently to achieve any sort of decent testing, I have to save the trades afterwards and then filter out trades which would have been clearly impossible to fill, then generate my own results stats. Rather anoying.
One example of a trade which would never have filled.
Someone hits the whole bid at price 10, then the whole bid at 9, then I issue a limit sell at 9, then the whole bid at 8 is hit. In a fast moving market this happens before a bid level one is received. I then get filled at 9 even though all the trading is now at 6/7.
Or is this only a problem in replay because of the 1 second granularity?
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