Is there some documentation available for the logic of fills using the Esignal $Playback feature?
I have an EFS which works fine firing orders to NT but the fills have some sort of confusing behavior.
For example, YM futures contract 1 minute bars. To put it simply the script gets a signal and says to buy on the open of the next bar. Say the bar opens at bid 10700 ask 10701 during normal market hours you would expect to be filled somewhere around 10701 or 10702 if the size was there.
The problem lies in the fact that I am getting fills that are the high of the bar even if the bar is 12 points long has a high of 10712. That is 10 points of slippage which doesn't mimic real life. I have checked the Simulator options and slippage is zero but I don't even think that applies to Replay.
Can someone shed some light on this?
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