GAIN custom filltype

[darckeen]

Would like to share a custom filltype for the GAIN broker and was wondering how you export a file from the custom/type dir?

[NinjaTrader_JoshP]

darckeen,

Working from that directory is done at your own risk. We do not support exporting any custom types and you will have to do it manually.

[darckeen]

Okies, well here is an attempt at a FillType for GAIN or any other broker that submits pices as bid only and only allows you to take offers/hit bids.

Short comings that it tries to address are:

Slippage is only applied to market buys.

Limit and stop buys are trigger when the bid + slippage hits the target.

Limit orders do not need to trade through to get executed.

Can get better then limit price if order is submitted on a bar with a better open.

Stop orders always get the worst of the stop price or bar open.

Ditched multiple entry on same bar logic.


To use set the slippage to the typical bid ask spread of the pair. Seems true to fills reported from live sims.