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Fill orders in ask/bid Prices

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    Fill orders in ask/bid Prices

    I have the following strategy coded by me (See attachment) this strategy have buy/sell signal to enter orders but actually the strategy fill orders in the actual price when signal is triggered but I want to do the strategy after send the tiger order put the fill if is
    Buy in the Bid price and if is Sell filling the order in de Ask price because actually the order is entering the market price I think.

    please check my code and send me idea in logic to do that.
    Attached Files

    #2
    GAVETSO, in realtime and market replay testing those market orders would execute on your Level 1 data, so considering the current bid / ask. To achieve this in backtesting, add a MarketData bid / ask series to your strategy and then submit to those added series instead of the primary please.

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      #3
      Ok i understund the procedure for Bakctest so for Live market how i can do for my strategy put always the order in bid and ask?

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        #4
        For Live market no changes would be needed, you issue a market order which is filled on the next best possible ask / bid price then.

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