While being aware that market orders can get wildly variant fill prices due to slippage / market liquidity, I had this occur in my sim101 account today and I wanted to throw it out there to see if people knew more about this.
On a 30 minute chart, I have it set to CalculateOnBarClose = true, and at the close of 8:30 (or 8:29:59) it met conditions to issue a market buy order which I would have expected to fill somewhat close to the open of the next bar at 8:30:00. I know that you can have slippage in your fill and not get in right at the open, but this market order got filled 20 pips above the open price (again this was Sim101 not live market).
So I zoomed in on the tick chart to see what happened and according to this picture attached you can see that the execution (and the following profit targets) all got filled in a price vacuum where no ticks or transactions actually occurred. Does anyone know about how this could have been caused, and whether this would happen in non-simluation live accounts? (I would assume that in the worst case, if I got these fills in real life I would be the one printing ticks in those locations and at least it would not be in a white space area anymore)
Thanks for being willing to look at this nitty gritty stuff!
Can't seem to use the insert picture feature so the image is here: http://tinypic.com/r/6ghdl1/6
Or Maybe this will work:
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