hi NT can you please clarify how orders are executed during marketreplay strategy testing?
1) when i enter a buy limit order at bid price, will my order only execute if there was an actual trade made during marketreply? meaning, if i wanted to buy 1 contract at bid and the bid size during this particular second was 500, in reality my order would most likely be filled. but during marketreplay testing, will that order not be executed IF in this particular second on marketreplay recording an order in real life was never executed?\
For example:
bid is 100, and size of bid is 1000
I send an order to buy at 100 in marketreplay. in the market replay recording the price moved to 100.01 with any orders being executed at 100. so at that point was my order in marketreplay testing skipped?
vs in reality. i'm pretty sure 9/10 times my order would had been executed at 100
1) when i enter a buy limit order at bid price, will my order only execute if there was an actual trade made during marketreply? meaning, if i wanted to buy 1 contract at bid and the bid size during this particular second was 500, in reality my order would most likely be filled. but during marketreplay testing, will that order not be executed IF in this particular second on marketreplay recording an order in real life was never executed?\
For example:
bid is 100, and size of bid is 1000
I send an order to buy at 100 in marketreplay. in the market replay recording the price moved to 100.01 with any orders being executed at 100. so at that point was my order in marketreplay testing skipped?
vs in reality. i'm pretty sure 9/10 times my order would had been executed at 100
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