As far as I understand: if a market order is submitted on a onbarclose Event then this order will be filled
at the open oft the next bar (in a non tick-replay backtest) which is the next .last price? Which could be either a bid or an ask price?
1. How to simulate filling market orders on the next bar open at the ask vor buy orders and bid vor sell orders with multiple assets?
2. Is there a way to program my own fill algorithm for more realistisch backtests?
3. In live mode are mar****rders filled at actual bid/ask (when slippage =0)? ...meaning: Not filled on the .last price?
Thanks for any help!
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