One might think that enabling "Fill limit order on touch" would solve this problem. Well, that is not how limit orders are filled in the real world either (ie, you're unlikely to be first in line in the order book). Indeed, I'm surprised that this option is even offered. eg, have you ever watched the DOM and see the market hit your limit order price, but it doesn't get filled?
I pointed this out to the Help Desk a month ago. After some disbelief on their end that there was even a problem, they finally relented that this is an error. However, this was not fixed in the most recent release (yesterday). They said they have scheduled this for the next release, but have not suggested a date. Since releases are usually several months apart, this might not get fixed for awhile.
In sum, until this is fixed, do NOT use limit orders in your script if you intend to do any backtesting or optimizations with it.
Comment