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Limit Order executed at "wrong" price in backtest
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Limit Order executed at "wrong" price in backtest
Hello,
in my strategy (during a backtest) I place a Limit Buy Order for the next bar at the price of 50$, and it gets actually filled at 50$, although the next 5 Minute bar opens at 49$ (gap down).
So in reality the order would be filled with a much better price.
I would expect that during a backtest NT simulates the fill price with the first price available that is lower than the limit.
Why does NT never simulates a better fill-price than the limit price ?
Thanks,
Derjan
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