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Backtest: Pending Orders - Market Orders

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APeng
359
APeng  

I got a question about when a order is filled during a backtest:

1)

OP_BUYSTOP at  1.3400

Current Ask at     1.3399

Next tick Ask at    1.3402

The limit order is filled at 1.3400, right?

2)

OP_BUY if Ask    >= 1.3400

Current Ask at         1.3399

Next tick Ask at        1.3402

The market order is filled at 1.3402, right?


Thanks in advance for answer!

Alain Verleyen
Moderator
33358
Alain Verleyen  
APeng:

I got a question about when a order is filled during a backtest:

1)

OP_BUYSTOP at  1.3400

Current Ask at     1.3399

Next tick Ask at    1.3402

The limit order is filled at 1.3400, right?

No, this is a stop order, not a limit order. Will be triggered at 1.3402.


2)

OP_BUY if Ask    >= 1.3400

Current Ask at         1.3399

Next tick Ask at        1.3402

The market order is filled at 1.3402, right?

Yes.
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