Are the exact rules for how NextLow/NextHigh are calculated available? I often need to back test with 1 tick bars due to the nature of the strategies I work on and it isn't immediately obvious to me how that would work if using the default fill type.
Reading the code and assuming NextLow is the low the current bar will make at some point, it doesn't seem possible to get a trade through on a 1 tick bar.
Also it appears Market Replay behaves differently than back test with regard to fill types; is that correct?
Lastly, when using Market Replay is there any estimation of your position in the bid queue (for a long limit order) for determining if you would have gotten filled?
Best Regards,
Scott
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