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You know it seems like just when you think you've got a groove going with
TS4 and EL, TS4 throws you another curve. This time I'm having a hard time
rationalizing the logic behind the way TS4 fills Limit orders in EL. Maybe
someone on this list knows what's going on and can enlighten me or at least
confirm that TS4 is messed up. Here's what's happening:
Take a 5 minute chart of your favorite NASDAWG stock. Any stock will do.
Then place limit orders to buy the low of L[0] + 1/6 above. So the EL
statement would look something like this (assuming all vars are defined,
etc.)
buyPrc = L + 0.0625
Buy ("B1") At buyPrc Limit;
Here's the problem: when this price finally does get hit, tradestation is
filling me at the LOW price of the bar, not the price I'm specifying AND the
open of the bar is not BELOW the limit order. If the open the bar was below
the limit order then i could see TS giving me the open price below the limit
order (positive slippage) but it's not, the open is above the limit order.
The bar opens above the limit order and then procedes to fall through it and
closes below the open. Instead of giving me the limit order price, it's
giving me an entry price of the exact low of the bar. This irrationally
exhuberent fill not only distorts system stats but isn't even at all a close
approximation of a fill in real life. In real life, you'd get your limit
order price and you cannot ** usually ** get the absolute low of the bar
(unless you got lucky as you sometimes do). Does this have anything to do
with bouncing tick settings? I've tried adjusting them to the max extremes
on both ends and there's no effect. There must be something else going on?
But what?
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