I have some additional information that should help you understand my issue with market replay. You can look at the tick data for Dec CL from 10-21-2011 at time stamp 7:06:40. I have a buy stop order at 87.87 and the NT market replay simulator gives me a fill at 87.83; which is positive slippage of 4 ticks. I went through the tick data for the 7:06:40 time frame of 1 second. After the stop trigger was hit at 87.87 there were no trades below 87.87 in the 7:06:40 time frame. The price continually ticked up until my profit target (limit fill) was hit; which also generated positive slippage of 2 ticks.
How can the market replay simulator show an 87.83 fill on my buy stop when this price was never traded during the time frame of the order?
Here is the buy stop order and fill info:
CL 12-11 Buy Stop 1 0 87.87 Filled 1 87.83 0 Buy Stop Gtc Replay101 Market Replay Connection cae995f302b24c20b6f89ef97df162ec 10/21/2011 7:06:40 AM
Here is the automatically generated profit target order and fill info; this was based on the buy entry price:
CL 12-11 Sell Limit 1 87.91 0 Filled 1 87.93 0 Profit target 30f93ebf2dbc4e26814cf0600fded961-60 Gtc Replay101 Market Replay Connection 0b046abae24347b493f2edb668240edd 10/21/2011 7:06:40 AM
Thanks for you attention to this question,
Tim
Comment