Custom fill types

[NinjaTrader_RyanM1]

Hello AnotherTrader,

I see now you're looking at StopLimit fills.

With default it will use the limit price specified always. With this you can sometimes see orders filled outside of bars.
FillPrice = order.LimitPrice;

With liberal it will look at the bars high and low and fill no further than those extremes.
FillPrice = (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover) ? Math.Min(order.LimitPrice, nextHigh) : Math.Max(order.LimitPrice, nextLow);

[AnotherTrader]

Thanks for the response.

"Default" has:

 
else if (order.OrderType == OrderType.StopLimit)
{
// Stop limit orders are triggered when traded at the stop price and traded through the limit price
double nextLow = NextLow;
double nextHigh = NextHigh;
if (!order.StopTriggered
&& ((order.Action == Cbi.Action.Buy && order.StopPrice <= nextHigh + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.BuyToCover && order.StopPrice <= nextHigh + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.Sell && order.StopPrice >= nextLow - Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.SellShort && order.StopPrice >= nextLow - Strategy.TickSize / 2)))
order.StopTriggered = true; // stop limit order was triggered
 
if (order.StopTriggered
&& ((order.Action == Cbi.Action.Buy && order.LimitPrice [COLOR=red]>[/COLOR] nextLow + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.BuyToCover && order.LimitPrice [COLOR=red]>[/COLOR] nextLow + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.Sell && order.LimitPrice [COLOR=red]<[/COLOR] nextHigh - Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.SellShort && order.LimitPrice [COLOR=red]<[/COLOR] nextHigh - Strategy.TickSize / 2)))
[COLOR=red]FillPrice = order.LimitPrice; // set fill price[/COLOR]
}

"Liberal" has:

 
else if (order.OrderType == OrderType.StopLimit)
{
// Stop limit orders are triggered when traded at the stop price and traded through the limit price
double nextLow = NextLow;
double nextHigh = NextHigh;
if (!order.StopTriggered
&& ((order.Action == Cbi.Action.Buy && order.StopPrice <= nextHigh + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.BuyToCover && order.StopPrice <= nextHigh + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.Sell && order.StopPrice >= nextLow - Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.SellShort && order.StopPrice >= nextLow - Strategy.TickSize / 2)))
order.StopTriggered = true; // stop limit order was triggered
 
if (order.StopTriggered
&& ((order.Action == Cbi.Action.Buy && order.LimitPrice [COLOR=red]>=[/COLOR] nextLow - Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.BuyToCover && order.LimitPrice [COLOR=red]>=[/COLOR] nextLow - Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.Sell && order.LimitPrice [COLOR=red]<=[/COLOR] nextHigh + Strategy.TickSize / 2)
|| (order.Action == Cbi.Action.SellShort && order.LimitPrice [COLOR=red]<=[/COLOR] nextHigh + Strategy.TickSize / 2)))
[COLOR=red]FillPrice = (order.Action == Cbi.Action.Buy || order.Action == Cbi.Action.BuyToCover) ? Math.Min(order.LimitPrice, nextHigh) : Math.Max(order.LimitPrice, nextLow);[/COLOR]

I hope you can see the differences that I have tried to highlight in red.

It's all in the "<", ">", "<=" and ">=", so to speak!