Or is this by default what are the settings?
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Execution Price
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Execution Price
Just to clarify If I have the Bid Ask Last database, can I determine the execution price to be whether Bid Ask or Last?
Or is this by default what are the settings?Tags: None
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When it fills with the "last price"...does the volume correspond as well?
Ex: I send a LONG market order for 100 contracts.
11:30:04am Last 90.01 x 40
11:30:05am Last 90.02 x 60
how does the Strategy Analyzer calculate the fill price for 100 contracts?
Does it just fill with the 90.01 price?
Does it average with the 2 prices to fill the entire 100 contracts?
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Oil_Trader, you can look into the fill type used in the bin > custom > type folder to see the logic per order type - for a market order the fill is assumed to be the open of the next bar :
if (order.OrderType == OrderType.Market)
{
if (order.OrderAction == Cbi.OrderAction.Buy || order.OrderAction == Cbi.OrderAction.BuyToCover) // set fill price
FillPrice = Math.Min(NextHigh, NextOpen + SlippagePoints);
else
FillPrice = Math.Max(NextLow, NextOpen - SlippagePoints);
}BertrandNinjaTrader Customer Service
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