Or is this by default what are the settings?
Announcement
Collapse
No announcement yet.
Partner 728x90
Collapse
NinjaTrader
Execution Price
Collapse
X
-
Execution Price
Just to clarify If I have the Bid Ask Last database, can I determine the execution price to be whether Bid Ask or Last?
Or is this by default what are the settings?Tags: None
-
-
When it fills with the "last price"...does the volume correspond as well?
Ex: I send a LONG market order for 100 contracts.
11:30:04am Last 90.01 x 40
11:30:05am Last 90.02 x 60
how does the Strategy Analyzer calculate the fill price for 100 contracts?
Does it just fill with the 90.01 price?
Does it average with the 2 prices to fill the entire 100 contracts?
Comment
-
Oil_Trader, you can look into the fill type used in the bin > custom > type folder to see the logic per order type - for a market order the fill is assumed to be the open of the next bar :
if (order.OrderType == OrderType.Market)
{
if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover) // set fill price
FillPrice = Math.Min(NextHigh, NextOpen + SlippagePoints);
else
FillPrice = Math.Max(NextLow, NextOpen - SlippagePoints);
}BertrandNinjaTrader Customer Service
Comment
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by cmtjoancolmenero, Yesterday, 03:58 PM
|
11 responses
39 views
0 likes
|
Last Post Today, 11:40 AM | ||
Started by FrazMann, Today, 11:21 AM
|
0 responses
5 views
0 likes
|
Last Post
by FrazMann
Today, 11:21 AM
|
||
Started by geddyisodin, Yesterday, 05:20 AM
|
8 responses
52 views
0 likes
|
Last Post Today, 10:45 AM | ||
Started by DayTradingDEMON, Today, 09:28 AM
|
4 responses
27 views
0 likes
|
Last Post Today, 10:47 AM | ||
Started by George21, Today, 10:07 AM
|
1 response
22 views
0 likes
|
Last Post Today, 10:43 AM |
Comment